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DFAT ETF vs the S&P 500: Returns, Risk and Crash History
Dimensional U.S. Targeted Value ETF (market value $14.3 billion): how it compared with the S&P 500, how it behaved in every crash since 2008, its risk‑adjusted returns. Data as of Oct 30, 2026.
What changed since Oct 26
Exent re-checks this page every day.
+24.7% 1‑year return through Oct 30 (was +15.8%)
Key takeaways
- DFAT returned +62.3% over the 5 years to Oct 30, 2026 versus +75.9% for the S&P 500: it lagged the index.
- Its 5-year Sharpe ratio was 0.40 against 0.58 for the S&P 500.
- Its deepest crisis drawdown was −21.4% in the 2025 tariff selloff (S&P 500: −19.0%).
- Five‑year volatility was 20.9% and beta 0.99.
What is your own portfolio exposed to? Check it with Exent →
In this article
- Did DFAT beat the S&P 500?
- Is DFAT good for retirement?
- DFAT returns by year vs the S&P 500
- DFAT risk-adjusted returns: Sharpe, Sortino and volatility
- How DFAT behaved in past crashes
- What moves with DFAT, and what doesn’t
- What does DFAT hold?
- The right benchmark for DFAT
- Other popular ETFs
- Data and methodology
Did DFAT beat the S&P 500?
Over the 5 years to Oct 30, 2026, Dimensional U.S. Targeted Value ETF (DFAT) returned +62.3% including dividends, versus +75.9% for the S&P 500 (SPY). It lagged the index by 13.6 percentage points, or +10.2% a year against +12.0%.
| Period | DFAT | S&P 500 | DFAT per year | S&P 500 per year | Result |
|---|---|---|---|---|---|
| 1 year | +24.7% | +12.0% | +24.7% | +12.0% | Beat |
| 3 years | +69.3% | +87.4% | +19.2% | +23.3% | Lagged |
| 5 years | +62.3% | +75.9% | +10.2% | +12.0% | Lagged |
| Period | 1 year | 3 years | 5 years |
|---|---|---|---|
| DFAT | +24.7% | +69.3% | +62.3% |
| S&P 500 | +12.0% | +87.4% | +75.9% |
| DFAT per year | +24.7% | +19.2% | +10.2% |
| S&P 500 per year | +12.0% | +23.3% | +12.0% |
| Result | Beat | Lagged | Lagged |
Total return with dividends reinvested, from month-end prices to Oct 30, 2026. Beating the index on raw return is only half the story: the next section adjusts for the risk taken. See also how to beat the S&P 500.
Is DFAT good for retirement?
DFAT can be a core retirement holding. It is Dimensional US Targeted Value: active small/mid-cap value with a profitability screen. It targets smaller, cheaper, more profitable US companies (about 1,500); a deliberate value tilt.
Pros
- Combines value and profitability screens, which reduces exposure to the cheapest but weakest companies.
Cons
- 0.33%, more than six times VBR, and value tilts can lag the market for long periods.
When it is the wrong choice: If you want low tracking error versus the market: targeted value deliberately behaves differently.
Similar ETFs to compare
| ETF | Expense ratio | Why consider it |
|---|---|---|
| DFAT | 0.33% | this fund |
| VBR | 0.05% | index small value |
| AVUV | 0.25% | similar active approach |
Fits: Retirement ETFs in your 30s and 40s · Early retirement (FIRE). How to choose: Best ETFs for Retirement in 2026: How to Choose by Age and Situation.
Source: the fund’s active strategy and mechanics were checked on the Dimensional DFAT fund page on Oct 25, 2026. Expense ratios are Exent market data as of Oct 25, 2026; returns and drawdowns quoted here are 5‑year monthly total returns to September 30, 2026 (Exent market data). Educational, not a recommendation for your situation.
DFAT returns by year vs the S&P 500
DFAT beat the S&P 500 in 1 of the 4 full calendar years shown.
| Year | DFAT | S&P 500 | Difference |
|---|---|---|---|
| 2026 (to Oct 30, 2026) | +18.8% | +11.7% | +7.1% |
| 2025 | +8.7% | +17.7% | −9.0% |
| 2024 | +7.8% | +24.9% | −17.1% |
| 2023 | +20.9% | +26.2% | −5.3% |
| 2022 | −6.2% | −18.2% | +12.0% |
DFAT risk-adjusted returns: Sharpe, Sortino and volatility
Over 5 years, DFAT had a Sharpe ratio of 0.40 against 0.58 for the S&P 500, so it earned less return per unit of risk than the index. Its annualized volatility was 20.4% and its beta 0.99: it tended to move about 1.0× as much as the market.
| Metric | DFAT | S&P 500 |
|---|---|---|
| Annual return | +10.2% | +12.0% |
| Volatility (annualized) | 20.4% | 15.5% |
| Sharpe ratio | 0.40 | 0.58 |
| Sortino ratio | 0.66 | 0.91 |
| Max drawdown (month-end) | −18.5% | −23.9% |
| Beta to the S&P 500 | 0.99 | 1.00 |
Sharpe divides return above cash by total volatility; Sortino counts only downside volatility. Both use monthly returns and the 1–3 month T‑bill ETF (BIL) as the risk‑free rate.
How DFAT behaved in past crashes
DFAT’s deepest fall in the crises below was −21.4% in the 2025 tariff selloff, against −19.0% for the S&P 500. The last column turns that into money: what a $100,000 position would have lost from peak to trough.
| Crisis | DFAT | S&P 500 | Loss on $100,000 |
|---|---|---|---|
| 2022 inflation bear market | −20.1% | −25.4% | −$20,150 |
| 2025 tariff selloff | −21.4% | −19.0% | −$21,350 |
| Window | DFAT max drawdown |
|---|---|
| Last 1 year | −9.6% |
| Last 3 years | −26.1% |
| Last 5 years | −26.1% |
| Last 10 years | −26.6% |
Peak‑to‑trough declines from daily prices inside each crisis window. A crash replay does not predict the next crisis; it shows how much room a holding needs. Run the same replay on a whole portfolio with the crash test.
What moves with DFAT, and what doesn’t
Correlation runs from −1 (moves opposite) to +1 (moves in lockstep). Over the last 60 months of monthly returns, DFAT’s correlation with the S&P 500 was 0.75, with the Nasdaq‑100 0.52, with long Treasuries (TLT) 0.48 and with gold (GLD) 0.09.
Adding a 5% DFAT position to an S&P 500 portfolio would have moved its 5‑year volatility from 15.5% to 15.5%.
| Least correlated large caps | Correlation | Most correlated large caps | Correlation |
|---|---|---|---|
| CRWD | −0.06 | PNC | 0.82 |
| LLY | −0.03 | USB | 0.81 |
| PLTR | 0.08 | GS | 0.78 |
| NOW | 0.08 | BAC | 0.77 |
| DELL | 0.09 | PH | 0.76 |
Holdings that are highly correlated behave like one position in a selloff. See how to find hidden overlap.
What does DFAT hold?
As of Oct 20, 2026, DFAT held 1,212 positions; its 10 largest made up 7.0% of the fund. The largest was OVV (Ovintiv Inc.) at 0.89%.
| Holding | Name | Weight |
|---|---|---|
| OVV | Ovintiv Inc. | 0.89% |
| APA | APA Corporation | 0.84% |
| DINO | HF Sinclair Corporation | 0.81% |
| CNH | Cnh Industrial Nv Common Stock Eur.01 | 0.73% |
| BALL | Ball Corporation | 0.71% |
| SJM | The J. M. Smucker Company | 0.67% |
| BWA | BorgWarner Inc. | 0.61% |
| TOL | Toll Brothers, Inc. | 0.61% |
| AR | Antero Resources Corporation | 0.60% |
| RNR | Renaissancere Holdings Ltd Common Stock Usd1.0 | 0.56% |
From the fund’s latest published holdings. Overlap by weight adds up, for every stock both funds hold, the smaller of its two weights: 100% would mean the same portfolio. How much do VOO, QQQ and VTI overlap?
The right benchmark for DFAT
Exent matches every holding to the index with the most similar risk. For DFAT that is MDY. Comparing a holding with an index that carries very different risk makes good results look bad and risky ones look clever. Read why the S&P 500 is the wrong benchmark for most portfolios.
Other popular ETFs
| Ticker | Name | 5‑year return | Volatility (5y) |
|---|---|---|---|
| SPCX | SPAC and New Issue ETF | +455.5% | 8.3% |
| VTI | Vanguard Total Stock Market Index Fund ETF Shares | +68.1% | 17.4% |
| VOO | Vanguard S&P 500 ETF | +76.5% | 16.8% |
| IVV | iShares Core S&P 500 ETF | +76.5% | 16.9% |
| SPY | State Street SPDR S&P 500 ETF Trust | +75.9% | 17.0% |
| 1557.T | SPDR S&P 500 ETF Trust | +78.6% | 20.7% |
| VXUS | Vanguard Total Intl Stock Idx Fund | +47.5% | 16.0% |
| QQQ | Invesco QQQ Trust | +84.3% | 22.3% |
Data and methodology
Returns are total returns from month‑end adjusted closing prices (dividends reinvested) through Oct 30, 2026. Crisis drawdowns and trailing maximum drawdowns use daily prices. Analyst coverage counts ratings published in the last 12 months, shown with a 30‑day delay. Full method: Exent methodology.
Holdings and weights are the fund’s latest published holdings; ETF overlap compares those holdings stock by stock.
Past performance does not guarantee future results. Historical figures are calculated by Exent from market data and are for education only; they are not investment advice or a recommendation to buy or sell any security.
See what DFAT does to your own portfolio
- Upload a screenshot of your holdings (or a CSV, Excel, PDF or Google Sheet); no brokerage login.
- Exent replays your whole portfolio, DFAT included, through the 2008, 2018, 2020, 2022 and 2025 selloffs and shows which holdings drive the losses.
- It finds holdings that move together with DFAT and compares your portfolio with a risk‑matched benchmark, Sharpe and Sortino included.
- Use the what‑if simulator to change weights and see the effect before you trade.
Frequently asked questions
DFAT can be a core retirement holding. It is Dimensional US Targeted Value: active small/mid-cap value with a profitability screen. It targets smaller, cheaper, more profitable US companies (about 1,500); a deliberate value tilt. It is a poor fit if you want low tracking error versus the market: targeted value deliberately behaves differently.
DFAT charges 0.33% a year. Lower-cost ETFs to compare: VBR at 0.05% (index small value); AVUV at 0.25% (similar active approach). Expense ratios as of Oct 25, 2026 (issuer data where available, otherwise Exent market data); check that the exposure, not just the fee, matches what you want.
No. DFAT returned +62.3% (+10.2% a year) over the 5 years to Oct 30, 2026, versus +75.9% (+12.0% a year) for the S&P 500, including dividends.
DFAT fell −20.1% from peak to trough during the 2022 inflation bear market, versus −25.4% for the S&P 500.
Over the 5 years to Oct 30, 2026, DFAT’s Sharpe ratio was 0.40 and its Sortino ratio 0.66, versus 0.58 and 0.91 for the S&P 500.
DFAT’s 5‑year annualized volatility was 20.9%, higher than the S&P 500’s 17.0%, with a beta of 0.99.
Among large US stocks, the lowest correlations with DFAT over the last 60 months were CRWD (−0.06), LLY (−0.03), PLTR (0.08). Its correlation with long Treasuries (TLT) was 0.48 and with gold (GLD) 0.09.
Sources
- Dimensional - US Targeted Value ETF (DFAT) fund page — Dimensional, Oct 25, 2026
What would DFAT do to your portfolio?
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Educational content, not investment advice. Examples are illustrative; past performance does not guarantee future results.