DFSV — Dimensional US Small Cap Value ETF factor decomposition

Factor return decomposition

Each bar = β_i × factor return, geometrically annualized.

Sharpe — Backtested Sim.

0.568

Rel. to market: 1.278

Sharpe — Realized

0.279

Rel. to market: 0.515

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 DFSV's regression betas to the full factor history (geometric mean per factor, annualized). The Sharpe uses DFSV'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 DFSV's lifetime only (2022-Mar → 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)	0.880	14.01	+1.53%	-4.16%
Value (HML)	0.437	7.03	+1.45%	+0.85%
Profitability (RMW)	0.269	3.99	+0.84%	+0.72%
Investment (CMA)	0.091	1.23	+0.27%	-0.16%
Momentum (UMD)	-0.060	-1.35	-0.43%	-0.29%
Factor-Beta subtotal · non-market			+3.66%	-3.04%
Alpha (intercept)	—	0.68	+1.27%
Smart-Beta Net · Factor-Beta + Alpha			+4.94%	-1.76%
+ Mkt-RF contribution · market	1.023	31.10	+6.18%	+8.80%
= Total excess return			+11.12%	+6.24%
+ Rf base (%)			4.44% → 15.56% total	4.10% → 10.34% total

Fund snapshot

Issuer

Dimensional

Asset class

Equity

Inception

2022-02-23

Dividend yield

1.45%

Div CAGR

24.64%

Dividend valuation

92 (100=median)

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All US Leaders US Universe Methodology

Research disclaimer

Factor decomposition shows what DFSV'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.

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