DFAS — Dimensional U.S. Small Cap ETF factor decomposition

Factor return decomposition

Each bar = β_i × factor return, geometrically annualized.

Sharpe — Backtested Sim.

0.436

Rel. to market: 1.094

Sharpe — Realized

0.180

Rel. to market: 0.397

How are these computed?

Currency basis: returns and factor contributions on this page are in USD. Fama-French (Ken French data library, 1964→present)

Backtested Sim. applies DFAS's regression betas to the full factor history (geometric mean per factor, annualized). The Sharpe uses DFAS's realized in-sample volatility as the denominator — a deliberately conservative choice, since fixed-loading factor returns are smoother than what any real fund actually delivers.

Realized applies the same betas to the factor returns observed during DFAS's lifetime only (2021-Jul → 2026-Feb). The Sharpe is the fund's actual excess return over its actual volatility. Full methodology →

Factor exposures

Factor	β	t-stat	Backtested %	Realized %
Size (SMB)	0.836	19.97	+1.47%	-5.21%
Value (HML)	0.234	5.54	+0.80%	+1.49%
Profitability (RMW)	0.212	4.94	+0.67%	+1.21%
Investment (CMA)	-0.027	-0.50	-0.08%	-0.05%
Momentum (UMD)	0.043	1.40	+0.31%	+0.20%
Factor-Beta subtotal · non-market			+3.17%	-2.35%
Alpha (intercept)	—	-0.66	-0.88%
Smart-Beta Net · Factor-Beta + Alpha			+2.29%	-3.23%
+ Mkt-RF contribution · market	1.004	42.61	+6.09%	+7.16%
= Total excess return			+8.38%	+3.49%
+ Rf base (%)			4.44% → 12.83% total	3.51% → 7.00% total

Fund snapshot

Issuer

Dimensional

Asset class

Equity

Inception

1998-12-15

Dividend yield

0.94%

Div CAGR

-22.26%

Dividend valuation

108 (100=median)

Embed this chart

Use this iframe URL on Discourse forums (e.g. Rational Reminder Community) or any site that allows iframe embeds. For Reddit and Twitter, paste the page URL directly — the social card image is auto-generated.

<iframe src="https://verifiedbeta.com/embed/us/DFAS/waterfall/" width="720" height="540" style="border:0;" loading="lazy"></iframe>

All US Leaders US Universe Methodology

Research disclaimer

Factor decomposition shows what DFAS's historical betas would have earned under each scenario — not a forecast, not investment advice. Backtested simulation assumes loadings stay fixed across the long sample, which is unrealistic for any real-world fund. Use this as one input to ETF due diligence, not a substitute for it.

Monthly updates

Get the next US ETF leaders update

Get one monthly email when the US leaders table refreshes, plus methodology and download-access updates.

Monthly leaders refresh Download-access updates Low-volume research notes

One monthly email when the data drop lands. This browser will remember you after signup.