Abacus FCF Leaders ETF

10-Year Study

ABFL.US · · US · ETF

Executive Summary: Abacus FCF Leaders ETF has compounded at 13.9% annually over the last 10 years, with a maximum drawdown of 22.3% and an annualized volatility of 14.3%.

1Y CAGR
+11.1%
3Y CAGR
+16.5%
5Y CAGR
+10.8%
10Y CAGR
+13.9%

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 →
22.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.69
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.93
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 →
2021 · +30.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -14.6%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.31.7-3.36.7————————6.3%
20254.4-1.6-6.22.35.72.5-1.61.02.40.4-0.5-0.68.1%
20241.83.52.0-5.53.22.62.82.82.0-0.17.6-5.018.3%
20234.4-1.62.70.50.96.12.7-1.4-3.5-2.38.05.023.0%
2022-6.5-1.92.8-7.10.9-7.37.8-3.1-8.49.64.9-5.4-14.6%
2021-1.13.44.34.80.72.43.23.0-4.86.8-0.85.630.7%
20200.0-8.5-15.113.57.01.36.06.8-3.2-2.510.35.118.3%
20197.54.60.44.7-6.16.71.3-1.2-0.21.23.31.926.0%
20185.2-2.3-0.5-0.44.9-0.92.05.9-1.0-8.70.0-9.4-6.3%
20171.62.51.40.82.01.10.7-0.04.42.74.70.925.1%
2016—————————-2.18.11.27.1%

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 14.3%. The dominant macroeconomic risk driver is VTI.US, accounting for 43.6% of variance. Idiosyncratic stock-specific factors contribute 4.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-09-0110000
2016-10-019792.605411774452
2016-11-0110584.764368265773
2016-12-0110711.612900256367
2017-01-0110885.776486995263
2017-02-0111158.942683426383
2017-03-0111313.314953490406
2017-04-0111400.396746859855
2017-05-0111626.017756953424
2017-06-0111748.723920337648
2017-07-0111831.065002968697
2017-08-0111825.956081687507
2017-09-0112350.057763028899
2017-10-0112682.966120027433
2017-11-0113282.274804733348
2017-12-0113401.482967961081
2018-01-0114096.986656970455
2018-02-0113779.0368532727
2018-03-0113708.662613282275
2018-04-0113651.86613705717
2018-05-0114316.762324697262
2018-06-0114189.177371621092
2018-07-0114470.582278947102
2018-08-0115329.019133140331
2018-09-0115173.634284083639
2018-10-0113858.110067336502
2018-11-0113862.482567532115
2018-12-0112563.067562031969
2019-01-0113508.862367501737
2019-02-0114130.309711092803
2019-03-0114184.666792471933
2019-04-0114852.508664454333
2019-05-0113943.949150124039
2019-06-0114880.538692024098
2019-07-0115072.468437452535
2019-08-0114888.501245011896
2019-09-0114858.906322635281
2019-10-0115041.262593951218
2019-11-0115538.346826715517
2019-12-0115833.375524124693
2020-01-0115833.375524124693
2020-02-0114488.072279729548
2020-03-0112304.997997855175
2020-04-0113971.288782926076
2020-05-0114949.670221432614
2020-06-0115139.75891414711
2020-07-0116040.816138668088
2020-08-0117130.305108461016
2020-09-0116574.491294121977
2020-10-0116159.610065035185
2020-11-0117823.09324471733
2020-12-0118731.42262745838
2021-01-0118520.2999074871
2021-02-0119158.546857092882
2021-03-0119988.861631080654
2021-04-0120954.263647953896
2021-05-0121095.840601656026
2021-06-0121605.397966557277
2021-07-0122289.717260329453
2021-08-0122960.320711382763
2021-09-0121860.199662166826
2021-10-0123344.13417592179
2021-11-0123165.782194258674
2021-12-0124474.35643701068
2022-01-0122888.979918717523
2022-02-0122448.830241131876
2022-03-0123075.110348097038
2022-04-0121438.322432767058
2022-05-0121628.91741497788
2022-06-0120059.926265838803
2022-07-0121631.540915095247
2022-08-0120971.615569782804
2022-09-0119213.364201650504
2022-10-0121058.46723156301
2022-11-0122084.531935360636
2022-12-0120901.149277156677
2023-01-0121818.91405505668
2023-02-0121468.101460415062
2023-03-0122043.430433521888
2023-04-0122157.94391232907
2023-05-0122359.032895009364
2023-06-0123730.018824764
2023-07-0124381.01506441383
2023-08-0124040.604417605988
2023-09-0123191.69501120741
2023-10-0122660.229119010248
2023-11-0124482.871305812663
2023-12-0125701.326018217213
2024-01-0126156.61835437503
2024-02-0127072.63413219679
2024-03-0127611.786419474654
2024-04-0126086.152061748908
2024-05-0126916.23670414743
2024-06-0127627.619472814553
2024-07-0128399.112612591878
2024-08-0129197.94538517124
2024-09-0129770.973042385638
2024-10-0129728.490751011428
2024-11-0131998.41669466601
2024-12-0130394.537596597733
2025-01-0131736.20476188284
2025-02-0131228.626528649085
2025-03-0129296.67183695637
2025-04-0129979.70239382879
2025-05-0131696.898286440188
2025-06-0132491.404585141787
2025-07-0131966.106219536334
2025-08-0132297.633786999406
2025-09-0133083.07290108484
2025-10-0133212.22274896786
2025-11-0133060.566031656905
2025-12-0132848.983048507136
2026-01-0133276.56754132013
2026-02-0133856.95940939029
2026-03-0132743.122517455482
2026-04-0134923.89548343743
Annual Return Matrix
YearAnnual Return
20170.2511171840088
2018-0.06256139025311669
20190.2603112612381573
20200.18303406616725826
20210.30659357400509113
2022-0.14599800280960695
20230.22966089937966983
20240.1826058147760139
20250.08075284725450627
20260.06316519546027743
Total Factor Risk
0.14265142281827914
VTI.US Exposure
0.4363799327708318
VEA.US Exposure
-0.025353055597626035
VWO.US Exposure
-0.009928207228994925
QQQ.US Exposure
0.05375049463729977
VTV.US Exposure
0.08463498509387136
IJR.US Exposure
-0.011896724573860113
QUAL.US Exposure
0.04179635991003575
SHV.US Exposure
0.36825423203840457
TLT.US Exposure
0.001432673073202975
LQD.US Exposure
0.004213214155895584
HYG.US Exposure
0.030616059930712643
GLD.US Exposure
0.012333578444485469
USO.US Exposure
-0.0013333163082093788
VNQ.US Exposure
-0.012175642550273211
BTC-USD.CC Exposure
-0.00434233731698704
CPER.US Exposure
-0.013092698691573248
VIX.INDX Exposure
0.006320539224002281
UUP.US Exposure
-0.0054631833646596436
TIP.US Exposure
-0.00323370378617192
Idiosyncratic Exposure
0.047086800139613395
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.3%

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 →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
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
$73
Avg Yield on Cost
0.73%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$73.280.73%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 →
+4.2%
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 →
+6.0%
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 →
0.3% 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 →
0.91
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Abacus FCF Leaders ETF a high-risk investment?

Abacus FCF Leaders ETF (ABFL.US) has an annualized volatility of 14.3% and experienced a maximum drawdown of 22.3% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, ABFL.US has generated a Compound Annual Growth Rate (CAGR) of 13.9%. It has had a positive return in 80% 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.

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