First Trust Alternative Absolute Return Strategy ETF

10-Year Study

FAAR.US · · US · ETF

Executive Summary: First Trust Alternative Absolute Return Strategy ETF has compounded at 8.3% annually over the last 10 years, with a maximum drawdown of 14.6% and an annualized volatility of 16.7%.

1Y CAGR
+45.2%
3Y CAGR
+11.4%
5Y CAGR
+8.3%
10Y CAGR
+8.3%

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 →
14.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.43
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.75
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
10.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · +24.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · -5.6%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
86%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20268.52.811.6-0.0————————24.5%
20251.6-0.62.7-7.7-0.24.94.03.13.1-1.10.4-1.88.1%
20241.81.82.3-0.2-1.71.41.1-1.6-0.80.6-0.21.46.0%
20230.4-0.60.2-2.81.1-2.72.00.9-0.1-3.30.9-1.4-5.6%
20224.26.16.53.4-1.7-3.1-1.7-1.0-4.33.0-2.71.710.2%
20210.54.70.63.43.0-1.1-0.3-2.33.32.5-6.03.912.3%
2020-2.1-0.20.1-0.42.31.42.70.5-1.2-1.33.03.78.6%
2019————-1.80.1-0.0-0.1-1.60.7-1.30.6-3.4%

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 16.7%. The dominant macroeconomic risk driver is SHV.US, accounting for 53.2% of variance. Idiosyncratic stock-specific factors contribute 9.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-04-0110000
2019-05-019821.359263495087
2019-06-019832.58899693123
2019-07-019828.91475235074
2019-08-019820.686514487392
2019-09-019665.177993862459
2019-10-019729.244399364512
2019-11-019599.662590497679
2019-12-019656.121757220408
2020-01-019454.762804224865
2020-02-019434.373334299333
2020-03-019441.721823460311
2020-04-019402.547131242982
2020-05-019620.673059507237
2020-06-019756.413109290665
2020-07-0110016.094226261017
2020-08-0110066.03290260147
2020-09-019949.595574346527
2020-10-019817.995518456612
2020-11-0110116.385578331272
2020-12-0110486.708032105655
2021-01-0110540.890202186953
2021-02-0111034.584473987903
2021-03-0111096.684382390538
2021-04-0111474.821074638916
2021-05-0111815.128572685357
2021-06-0111690.204256948722
2021-07-0111653.668810838504
2021-08-0111390.209949440326
2021-09-0111765.138146421235
2021-10-0112059.388212402386
2021-11-0111334.837531114641
2021-12-0111780.973623063906
2022-01-0112272.804897612777
2022-02-0113024.006789589987
2022-03-0113867.685795163454
2022-04-0114342.801844367279
2022-05-0114105.217944803531
2022-06-0113666.119842473234
2022-07-0113430.657689779908
2022-08-0113299.57513312668
2022-09-0112728.255975822438
2022-10-0113115.29365494186
2022-11-0112754.803686664562
2022-12-0112976.862609127653
2023-01-0113028.974782262198
2023-02-0112946.48540393403
2023-03-0112966.92662378323
2023-04-0112600.174914742001
2023-05-0112736.27721399111
2023-06-0112394.675967852949
2023-07-0112641.16085428774
2023-08-0112751.181192007743
2023-09-0112732.137220097602
2023-10-0112310.685841738383
2023-11-0112421.585928160757
2023-12-0112246.826435931009
2024-01-0112466.246112286984
2024-02-0112690.168032002153
2024-03-0112983.538349280934
2024-04-0112951.970895842927
2024-05-0112735.500965136078
2024-06-0112918.540445152845
2024-07-0113059.507237226826
2024-08-0112850.334045757283
2024-09-0112745.85094986985
2024-10-0112819.12884178496
2024-11-0112796.255375523322
2024-12-0112977.121358745995
2025-01-0113185.621801207844
2025-02-0113111.515910514034
2025-03-0113469.935881844574
2025-04-0112426.605670756637
2025-05-0112403.318205105648
2025-06-0113007.395064092281
2025-07-0113523.80755238386
2025-08-0113940.187438223531
2025-09-0114367.020808644309
2025-10-0114213.789284660807
2025-11-0114275.061194284739
2025-12-0114024.229314261762
2026-01-0115220.687549485865
2026-02-0115644.001925097162
2026-03-0117464.04674053106
2026-04-0117457.836749690796
Annual Return Matrix
YearAnnual Return
20200.0860165494769336
20210.12341962673088513
20220.10151019977860942
2023-0.05625675443948619
20240.05963136055169138
20250.08068876960991522
20260.24483394833948324
Total Factor Risk
0.1673837312855125
VTI.US Exposure
0.03626271508926497
VEA.US Exposure
0.005741187719069642
VWO.US Exposure
-0.0011765159703169279
QQQ.US Exposure
-0.005075139435142057
VTV.US Exposure
0.02690096007892126
IJR.US Exposure
0.007350855137279433
QUAL.US Exposure
0.01741377692540976
SHV.US Exposure
0.5317374756976502
TLT.US Exposure
0.00029981654176215657
LQD.US Exposure
0.018689811731209788
HYG.US Exposure
0.030031489887988122
GLD.US Exposure
0.002274788627858747
USO.US Exposure
0.16982966381195377
VNQ.US Exposure
0.002090367671088709
BTC-USD.CC Exposure
-0.000001683795251451383
CPER.US Exposure
0.0067014996960055445
VIX.INDX Exposure
-0.0005885319422848368
UUP.US Exposure
0.006781145768407484
TIP.US Exposure
0.05075206956599565
Idiosyncratic Exposure
0.09398424719312996
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
16.7%

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 →
+5.4%
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 →
+18.8%
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 →
0.9% 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 →
0.40
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Alternative Absolute Return Strategy ETF a high-risk investment?

First Trust Alternative Absolute Return Strategy ETF (FAAR.US) has an annualized volatility of 16.7% and experienced a maximum drawdown of 14.6% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, FAAR.US has generated a Compound Annual Growth Rate (CAGR) of 8.3%. It has had a positive return in 86% 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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