Dimensional Emerging Markets Sustainability… (DFSE) Performance
DFSE total return
Distributions reinvested · as of Oct 23, 2026- YTD
- +9.9% since Dec 31, 2025
- 1 year
- +9.9% total return
- 3 years
- +19.0% a year
- Since first price
- +18.0% a year since 2022
DFSE trailing returns vs SPY, QQQ, AGG
| Period | DFSE total return | Price only | S&P 500 (SPY) | Nasdaq-100 (QQQ) | U.S. bonds (AGG) |
|---|---|---|---|---|---|
| 1 month | −7.8% | −7.8% | −1.0% | −5.0% | +0.9% |
| 3 months | −2.9% | −3.6% | +3.2% | +1.9% | −0.4% |
| 6 months | −1.9% | −3.1% | +7.8% | +8.4% | −1.5% |
| YTD | +9.9% | +8.4% | +12.3% | +15.1% | −1.0% |
| 1 year | +9.9% | +7.7% | +14.4% | +15.9% | −1.1% |
| 3 years | +68.6%+19.0%/yr | +58.5% | +87.4%+23.3%/yr | +101.4%+26.3%/yr | +16.6%+5.2%/yr |
| Since inceptionNov 2, 2022 | +92.8%+18.0%/yr | +77.5% | — | — | — |
Total return from adjusted closes (distributions reinvested, before tax). Periods of 3 years or more are also shown annualized. Price only excludes distributions.
Growth of $10,000: DFSE vs SPY
From Nov 2, 2022: DFSE grew to $19,282, SPY to $21,352.
Year-end values with distributions reinvested, no taxes or trading costs. Start: first common trading day of both funds.
DFSE returns by calendar year
3 of 3 full years positive. Best 2025 (+28.2%), worst 2024 (+6.9%). 2026 is year to date.
DFSE annual returns table
| Year | DFSE | Largest drop | SPY | QQQ | AGG |
|---|---|---|---|---|---|
| 2026YTD | +9.9% | −12.9% | +12.3% | +15.1% | −1.0% |
| 2025 | +28.2% | −15.0% | +17.7% | +20.8% | +7.2% |
| 2024 | +6.9% | −11.0% | +24.9% | +25.6% | +1.3% |
| 2023 | +14.7% | −11.9% | +26.2% | +54.9% | +5.7% |
Largest drop = deepest fall from a high within that calendar year.
Calendar-year return vs largest drop within the year
Most years include a sizable fall at some point even when the year ends higher.
DFSE largest drawdowns
Now 10.7% below the high| Peak | Decline | Bottom | Recovered | Fall | Underwater |
|---|---|---|---|---|---|
| Oct 4, 2024 | −19.8% | Apr 8, 2025 | Jun 9, 2025 | 6 months | 8 months |
| Feb 25, 2026 | −12.9% | Mar 30, 2026 | Apr 17, 2026 | 33 days | 51 days |
| Jun 2, 2026 | −12.3% | Jul 29, 2026 | not yet | 57 days | 5 months so far |
| Jul 31, 2023 | −11.9% | Oct 27, 2023 | Feb 23, 2024 | 3 months | 7 months |
Declines from a closing high (distributions reinvested) of 10% or more. Underwater = time from the peak until the old high was regained.
DFSE risk statistics
| Statistic | 3 years | Since 2022 |
|---|---|---|
| Annualized return | +20.5% | +16.8% |
| Volatility (annualized) | 14.5% | 15.0% |
| Sharpe ratio | 1.06 | 0.82 |
| Sortino ratio | 1.96 | 1.44 |
| Best month | +12.4% | +12.4% |
| Worst month | −8.7% | −8.7% |
| Best 12 months | +43.8% | +43.8% |
| Worst 12 months | +6.9% | +1.2% |
| Positive months | 72% | 65% |
| Beta vs S&P 500 | 0.80 | — |
| Correlation with S&P 500 | 0.68 | — |
From monthly total returns. Sharpe and Sortino use 1–3 month T-bills (BIL) as the risk-free rate, so they need history from 2007 on.
DFSE rolling returns
| Holding period | Periods | Worst | Median | Best | Positive |
|---|---|---|---|---|---|
| 1-year | 36 | +1.2% | +15.1% | +43.8% | 100% |
| 3-year (a year) | 12 | +14.8% | +19.4% | +21.9% | 100% |
Every holding period starting at a month-end since 2022. Returns for 3 years and longer are annualized.
DFSE performance overview
Dimensional Emerging Markets Sustainability… (DFSE) returned +9.9% over the past year, with distributions reinvested. Since its first recorded price in 2022 it has returned +18.0% a year, turning $10,000 into about $19,282. Over the same year S&P 500 (SPY) returned +14.4%.
The deepest decline was −19.8%, from Oct 4, 2024 to Apr 8, 2025, and it took 2 months to get back to the old high. DFSE finished 3 of its 3 full calendar years with a gain; the best year was 2025 (+28.2%) and the worst 2024 (+6.9%). Volatility has been 15.0% a year.
Related: DFSE chart, DFSE holdings, DFSE dividends. See the DFSE overview for the latest quote and fund facts.
DFSE performance FAQ
What is the DFSE return over the past year?
DFSE returned +9.9% over the 12 months to October 23, 2026, including reinvested distributions. On price alone it rose 7.7%.
How much would $10,000 invested in DFSE be worth?
$10,000 invested in DFSE at its first recorded close on November 2, 2022 would be worth about $19,282 on October 23, 2026 with distributions reinvested.
What was the worst year for DFSE?
The worst calendar year was 2024, with a total return of +6.9%. The best was 2025 at +28.2%.
What is the biggest drawdown of DFSE?
The largest peak-to-trough decline was −19.8% between October 4, 2024 and April 8, 2025. It recovered to the old high on June 9, 2025, 2 months after the bottom.
How volatile is DFSE?
Over the past 3 years DFSE had an annualized volatility of 14.5% and a Sharpe ratio of 1.06 (excess return over 1–3 month T-bills per unit of risk).