First Trust SkyBridge Crypto Industry and Digital Economy ETF

10-Year Study

CRPT.US · · US · ETF

Executive Summary: First Trust SkyBridge Crypto Industry and Digital Economy ETF has compounded at 10.3% annually over the last 10 years, with a maximum drawdown of 85.3% and an annualized volatility of 95.9%.

1Y CAGR
-26.5%
3Y CAGR
+42.0%
5Y CAGR
+3.6%
10Y CAGR
+10.3%

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 →
85.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.52
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.21
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
76.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +193.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -80.8%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
50%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.7-19.0-5.820.9————————-6.2%
202510.2-22.2-14.623.025.023.51.0-11.27.0-3.2-21.6-10.6-9.5%
2024-21.955.822.9-26.516.88.13.4-17.39.212.047.9-18.175.3%
202338.6-0.28.52.72.018.025.8-25.7-13.59.131.736.2193.8%
2022-22.64.73.4-32.1-25.4-37.946.0-4.9-13.23.8-29.1-18.1-80.8%
202119.45.8-10.018.6-11.07.0-8.7-7.066.221.11.2-23.170.7%
2020——————————-2.222.519.8%

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 95.9%. The dominant macroeconomic risk driver is VTI.US, accounting for 90.3% of variance. Idiosyncratic stock-specific factors contribute 13.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-10-0110000
2020-11-019777.453945750854
2020-12-0111976.16451955595
2021-01-0114296.48568154722
2021-02-0115130.732136147077
2021-03-0113622.7657136495
2021-04-0116156.512541693535
2021-05-0114377.977695408723
2021-06-0115379.303306256697
2021-07-0114037.140299033683
2021-08-0113061.352702947193
2021-09-0121709.10972578528
2021-10-0126281.52878860276
2021-11-0126592.2426561391
2021-12-0120444.364433269468
2022-01-0115815.275052537332
2022-02-0116564.879858601507
2022-03-0117136.08261234639
2022-04-0111638.332113879596
2022-05-018687.097617843674
2022-06-015390.733589100069
2022-07-017871.944954792378
2022-08-017487.5353519421415
2022-09-016497.507330175681
2022-10-016747.2945254475535
2022-11-014783.899068941043
2022-12-013917.548543567714
2023-01-015428.067897254141
2023-02-015415.055613956142
2023-03-015875.714764730169
2023-04-016036.361738904533
2023-05-016154.201949332208
2023-06-017264.867214384792
2023-07-019142.041092776522
2023-08-016797.033066278223
2023-09-015880.457559577104
2023-10-016416.150157032115
2023-11-018452.876518479688
2023-12-0111510.884703633774
2024-01-018987.353014691897
2024-02-0113998.784626161505
2024-03-0117200.900808587823
2024-04-0112641.7372493169
2024-05-0114760.672054777999
2024-06-0115950.991951234222
2024-07-0116486.684548689234
2024-08-0113629.819509094874
2024-09-0114879.606756324196
2024-10-0116665.208211132813
2024-11-0124640.764991812062
2024-12-0120178.03826109547
2025-01-0122232.033260190852
2025-02-0117302.32365223765
2025-03-0114777.089421555847
2025-04-0118172.32248133939
2025-05-0122715.311894081024
2025-06-0128043.781099549546
2025-07-0128333.82124595822
2025-08-0125156.027088387975
2025-09-0126920.103551198965
2025-10-0126050.226332221508
2025-11-0120419.677578040555
2025-12-0118253.679654482952
2026-01-0118557.70496518387
2026-02-0115031.01136105325
2026-03-0114155.418466234618
2026-04-0117116.62499246153
Annual Return Matrix
YearAnnual Return
20210.7070878076103368
2022-0.8083800278382526
20231.9382877009995654
20240.7529528598897035
2025-0.09536896410404772
2026-0.06229180546302471
Total Factor Risk
0.9585699410755479
VTI.US Exposure
0.903198349732105
VEA.US Exposure
0.040114412974193846
VWO.US Exposure
-0.02591654799333151
QQQ.US Exposure
-0.10480781189336735
VTV.US Exposure
-0.040943245001955945
IJR.US Exposure
0.049123606670033855
QUAL.US Exposure
-0.0901485015260527
SHV.US Exposure
0.02927448863119917
TLT.US Exposure
0.025749679405480397
LQD.US Exposure
-0.006913193459780976
HYG.US Exposure
0.002634878564427355
GLD.US Exposure
0.001095492715631993
USO.US Exposure
0.004236579971366028
VNQ.US Exposure
-0.01620088389970392
BTC-USD.CC Exposure
0.11295856615244222
CPER.US Exposure
0.009658507793517282
VIX.INDX Exposure
-0.03488282718470736
UUP.US Exposure
0.002198200202919992
TIP.US Exposure
0.0010557620545182033
Idiosyncratic Exposure
0.13851448609106434
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
95.9%

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
$0
Avg Yield on Cost
0.00%

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 →
+13.3%
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 →
-21.0%
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 →
43.8% 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 →
4.29
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust SkyBridge Crypto Industry and Digital Economy ETF a high-risk investment?

First Trust SkyBridge Crypto Industry and Digital Economy ETF (CRPT.US) has an annualized volatility of 95.9% and experienced a maximum drawdown of 85.3% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, CRPT.US has generated a Compound Annual Growth Rate (CAGR) of 10.3%. It has had a positive return in 50% 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.

Run a Full Backtest on First Trust SkyBridge Crypto Industry and Digital Economy ETF

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest