Dimensional ETF Trust

10-Year Study

DUHP.US · · US · ETF

Executive Summary: Dimensional ETF Trust has compounded at 12.1% annually over the last 10 years, with a maximum drawdown of 18.5% and an annualized volatility of 12.1%.

1Y CAGR
+15.6%
3Y CAGR
+18.2%
5Y CAGR
+12.1%
10Y CAGR
+12.1%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
18.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.57
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.98
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +21.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 2.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
100%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.61.5-6.35.7————————2.2%
20253.01.2-5.8-1.45.04.01.52.02.90.50.20.213.8%
20241.95.13.4-4.93.72.91.83.11.8-1.25.7-4.819.5%
20235.0-2.82.90.1-1.77.72.9-0.5-5.1-2.08.35.521.1%
2022——3.7-6.3-0.3-8.38.8-3.9-9.010.47.5-4.8-4.4%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 12.1%. The dominant macroeconomic risk driver is QUAL.US, accounting for 45.7% of variance. Idiosyncratic stock-specific factors contribute 2.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2022-02-0110000
2022-03-0110371.868157340297
2022-04-019721.885335132518
2022-05-019694.318083041173
2022-06-018887.37577144844
2022-07-019669.48272079672
2022-08-019290.288131594307
2022-09-018458.055142782638
2022-10-019341.904292792364
2022-11-0110039.446833698275
2022-12-019561.32471822212
2023-01-0110035.224822116717
2023-02-019756.489273193125
2023-03-0110043.586060739019
2023-04-0110055.58981915717
2023-05-019879.796846736841
2023-06-0110640.50399228448
2023-07-0110953.22259521257
2023-08-0110901.109726769622
2023-09-0110347.777855963179
2023-10-0110142.348017931134
2023-11-0110980.168963247805
2023-12-0111579.901569180971
2024-01-0111798.49414920258
2024-02-0112401.53813676834
2024-03-0112826.05726206688
2024-04-0112197.14310549648
2024-05-0112651.58884229959
2024-06-0113022.546369690926
2024-07-0113254.591437594945
2024-08-0113661.68441705196
2024-09-0113910.658923552617
2024-10-0113747.325024524922
2024-11-0114535.351068541462
2024-12-0113836.608151793735
2025-01-0114258.35399497498
2025-02-0114434.436713288163
2025-03-0113602.99017761423
2025-04-0113414.200032285973
2025-05-0114079.125464110833
2025-06-0114645.206154202766
2025-07-0114867.606823101853
2025-08-0115164.14104830064
2025-09-0115598.966848930631
2025-10-0115673.307366582365
2025-11-0115702.240563597155
2025-12-0115741.480435943393
2026-01-0115998.112512469423
2026-02-0116238.187680832481
2026-03-0115215.798601769106
2026-04-0116080.89705328427
Annual Return Matrix
YearAnnual Return
20230.2111189516565437
20240.194881326851587
20250.13766901998324776
20260.02156192479621355
Total Factor Risk
0.12064653019735577
VTI.US Exposure
0.4438675983945079
VEA.US Exposure
-0.033275274904307976
VWO.US Exposure
-0.01552516823227512
QQQ.US Exposure
-0.1320223374467587
VTV.US Exposure
0.17955202083493002
IJR.US Exposure
-0.029743112872385364
QUAL.US Exposure
0.45725087831210687
SHV.US Exposure
0.14839859631301577
TLT.US Exposure
0.008244757247016916
LQD.US Exposure
-0.00418132543447915
HYG.US Exposure
0.009108973458981793
GLD.US Exposure
0.00278930734602057
USO.US Exposure
0.008268180078019445
VNQ.US Exposure
-0.0232994437342689
BTC-USD.CC Exposure
-0.008847058982850665
CPER.US Exposure
-0.0027949261953316624
VIX.INDX Exposure
-0.03813883908057672
UUP.US Exposure
0.007259606713227116
TIP.US Exposure
0.0029505083994619376
Idiosyncratic Exposure
0.020137059785945877
Value Score
41.9
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
11.9
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.1%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →20.3x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.99%
Market Cap$277.4B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$39
Avg Yield on Cost
0.39%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$39.320.39%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+1.8%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+3.4%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.6% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.96
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust a high-risk investment?

Dimensional ETF Trust (DUHP.US) has an annualized volatility of 12.1% and experienced a maximum drawdown of 18.5% over the last 10 years. Its primary macro risk driver is QUAL.US.

What is the 10-year return of DUHP.US?

Over the past 10 years, DUHP.US has generated a Compound Annual Growth Rate (CAGR) of 12.1%. It has had a positive return in 100% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

Run a Full Backtest on Dimensional ETF Trust

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest