First Trust Multi Cap Growth AlphaDEX® Fund

10-Year Study

FAD.US · · US · ETF

Executive Summary: First Trust Multi Cap Growth AlphaDEX® Fund has compounded at 13.6% annually over the last 10 years, with a maximum drawdown of 28.7% and an annualized volatility of 20.0%.

1Y CAGR
+26.6%
3Y CAGR
+22.6%
5Y CAGR
+9.6%
10Y CAGR
+13.6%

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 →
28.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.60
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.80
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
18.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · +34.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -24.1%
% 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.
20262.71.4-5.78.8————————6.8%
20255.0-4.5-6.7-0.07.85.32.33.23.62.3-1.1-0.317.2%
2024-0.58.23.1-6.04.30.83.22.33.10.411.7-7.523.9%
20236.1-1.8-0.7-0.6-0.99.53.6-3.5-5.1-5.710.67.719.1%
2022-12.4-1.03.0-9.5-0.1-9.611.0-3.0-9.010.23.0-6.4-24.1%
20212.83.2-1.63.9-0.16.30.03.7-4.66.7-2.32.021.2%
20200.9-7.1-16.314.29.53.26.55.7-1.7-1.113.87.234.9%
20199.86.00.62.9-5.47.02.0-2.1-1.41.23.31.026.7%
20185.4-2.10.2-0.35.80.70.86.4-0.6-12.00.9-10.2-6.4%
20173.33.01.01.40.81.51.80.73.13.52.50.525.7%
2016———-0.42.61.44.3-0.90.1-5.65.4-0.46.2%

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 20.0%. The dominant macroeconomic risk driver is VTI.US, accounting for 123.3% of variance. Idiosyncratic stock-specific factors contribute 3.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019955.37129362372
2016-05-0110211.598005772761
2016-06-0110354.321700341117
2016-07-0110798.9923904487
2016-08-0110700.771451062712
2016-09-0110710.112831277878
2016-10-0110111.844660194174
2016-11-0110661.936499606401
2016-12-0110624.277092626606
2017-01-0110973.476777748623
2017-02-0111304.392547887694
2017-03-0111414.683810023616
2017-04-0111578.231435318814
2017-05-0111675.129887168723
2017-06-0111854.505379165572
2017-07-0112071.918131723956
2017-08-0112157.27105746523
2017-09-0112532.059826817109
2017-10-0112972.65809498819
2017-11-0113295.953817895564
2017-12-0113359.097349776961
2018-01-0114082.372080818684
2018-02-0113793.398058252424
2018-03-0113826.54421411703
2018-04-0113785.379165573342
2018-05-0114587.31041721333
2018-06-0114693.84413539753
2018-07-0114813.119916032538
2018-08-0115767.03227499344
2018-09-0115664.990816058777
2018-10-0113788.590921018105
2018-11-0113910.406717397005
2018-12-0112497.927053266858
2019-01-0113721.395959065863
2019-02-0114546.166360535293
2019-03-0114627.131986355289
2019-04-0115049.530307006034
2019-05-0114239.41222776174
2019-06-0115239.401731828915
2019-07-0115538.346890579896
2019-08-0115205.080031487796
2019-09-0114987.310417213328
2019-10-0115163.138283914983
2019-11-0115666.691157176594
2019-12-0115830.42770926266
2020-01-0115974.830753083177
2020-02-0114845.888218315402
2020-03-0112420.467069010756
2020-04-0114186.092889005507
2020-05-0115527.976908947783
2020-06-0116021.390711099448
2020-07-0117054.820257150353
2020-08-0118019.858304906847
2020-09-0117706.134872736813
2020-10-0117518.90842298609
2020-11-0119932.65809498819
2020-12-0121358.320650747835
2021-01-0121955.14038310155
2021-02-0122647.43112044083
2021-03-0122295.96431382839
2021-04-0123175.397533455784
2021-05-0123159.569666754134
2021-06-0124612.248753607975
2021-07-0124615.082655471
2021-08-0125516.473366570455
2021-09-0124347.289425347673
2021-10-0125966.853844135396
2021-11-0125370.432957229074
2021-12-0125880.115455261086
2022-01-0122682.44555234846
2022-02-0122466.62818157964
2022-03-0123134.778273419044
2022-04-0120936.97192337969
2022-05-0120908.108108108107
2022-06-0118892.889005510366
2022-07-0120976.83547625295
2022-08-0120341.180792442927
2022-09-0118517.638415114143
2022-10-0120399.475203358696
2022-11-0121007.042770926266
2022-12-0119653.151403831012
2023-01-0120853.23537129362
2023-02-0120479.244292836527
2023-03-0120342.272369456834
2023-04-0120217.622671214904
2023-05-0120045.216478614533
2023-06-0121943.930726843348
2023-07-0122741.852532143792
2023-08-0121951.634741537655
2023-09-0120836.882707950666
2023-10-0119643.432170034113
2023-11-0121723.390186302808
2023-12-0123401.144056678037
2024-01-0123292.76305431645
2024-02-0125195.94856992915
2024-03-0125984.969824193126
2024-04-0124424.896352663345
2024-05-0125480.241406455
2024-06-0125688.732616111258
2024-07-0126517.659406979794
2024-08-0127122.183154027818
2024-09-0127956.98766727893
2024-10-0128065.809498819206
2024-11-0131343.248491209655
2024-12-0128982.797166098135
2025-01-0130430.459197061136
2025-02-0129067.37339281028
2025-03-0127129.530307006036
2025-04-0127127.59905536604
2025-05-0129243.53712936237
2025-06-0130803.90448701128
2025-07-0131521.742324849118
2025-08-0132542.135922330097
2025-09-0133700.04723169772
2025-10-0134458.504329572286
2025-11-0134083.715560220415
2025-12-0133975.33455785883
2026-01-0134884.28234059302
2026-02-0135358.69850432957
2026-03-0133360.272894253474
2026-04-0136294.0330621884
Annual Return Matrix
YearAnnual Return
20170.25741236164184356
2018-0.06446320989827059
20190.26664427162940685
20200.3491941622177843
20210.2117111583093929
2022-0.24060804760297982
20230.19070695461677567
20240.23852052258219625
20250.17225864581492423
20260.06824652455977764
Total Factor Risk
0.2003335622432026
VTI.US Exposure
1.2333848684758517
VEA.US Exposure
0.011314194034982987
VWO.US Exposure
-0.013768526211024324
QQQ.US Exposure
-0.29453314123680474
VTV.US Exposure
-0.1999169161140344
IJR.US Exposure
0.1794345221042942
QUAL.US Exposure
0.028560088137186024
SHV.US Exposure
0.008434035535004781
TLT.US Exposure
0.021891493574849482
LQD.US Exposure
-0.0005806608760024599
HYG.US Exposure
-0.01788113498308485
GLD.US Exposure
0.015064157720560767
USO.US Exposure
-0.0010173633777978675
VNQ.US Exposure
0.006750413906363216
BTC-USD.CC Exposure
0.007616049990387192
CPER.US Exposure
-0.009998433252036337
VIX.INDX Exposure
0.004174549967100512
UUP.US Exposure
-0.007162985858418393
TIP.US Exposure
-0.009460666120883353
Idiosyncratic Exposure
0.03769545458350584
Value Score
41.3
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
1.1
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
20.0%

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 →21.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.09%
Market Cap$20.2B
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
$5
Avg Yield on Cost
0.05%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$4.620.05%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 →
+4.9%
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 →
+7.8%
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 →
0.1% 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 →
1.32
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Multi Cap Growth AlphaDEX® Fund a high-risk investment?

First Trust Multi Cap Growth AlphaDEX® Fund (FAD.US) has an annualized volatility of 20.0% and experienced a maximum drawdown of 28.7% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FAD.US has generated a Compound Annual Growth Rate (CAGR) of 13.6%. 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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