First Trust China AlphaDEX® Fund

10-Year Study

FCA.US · · US · ETF

Executive Summary: First Trust China AlphaDEX® Fund has compounded at 10.5% annually over the last 10 years, with a maximum drawdown of 68.7% and an annualized volatility of 41.0%.

1Y CAGR
+105.1%
3Y CAGR
+32.9%
5Y CAGR
+20.3%
10Y CAGR
+10.5%

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 →
68.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.35
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.42
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
32.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +76.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · -41.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.663.3-7.85.2————————60.8%
20256.30.21.3-3.77.73.48.4-2.51.82.10.75.234.7%
20248.3-2.6-0.21.13.2-4.52.8-1.11.7-3.7-4.24.64.6%
20236.9-1.3-0.81.4-4.53.70.3-4.8-3.6-7.911.73.02.6%
20220.5-3.10.4-8.50.9-6.40.8-0.6-11.02.5-0.51.4-22.0%
20212.27.65.16.55.02.0-0.1-0.97.823.8-0.51.976.9%
20200.9-5.4-22.07.6-4.51.76.510.4-2.5-3.212.66.53.4%
20199.23.51.9-49.9-1.0-4.74.3-8.26.21.81.81.2-41.9%
201812.8-6.5-2.42.72.0-8.91.4-6.21.6-12.16.0-7.6-18.3%
20178.34.83.2-0.43.45.19.44.86.81.8-3.45.060.3%
2016———-0.2-3.92.23.67.01.7-3.1-1.4-3.22.1%

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 41.0%. The dominant macroeconomic risk driver is SHV.US, accounting for 34.4% of variance. Idiosyncratic stock-specific factors contribute 35.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019984.311705341046
2016-05-019591.401877912287
2016-06-019802.530420461908
2016-07-0110156.4146392863
2016-08-0110864.105025717876
2016-09-0111045.261900859345
2016-10-0110703.085364616261
2016-11-0110548.07564723972
2016-12-0110208.787006033359
2017-01-0111056.813481006238
2017-02-0111582.800633775885
2017-03-0111958.539193418723
2017-04-0111904.839955979114
2017-05-0112307.428134341755
2017-06-0112938.550276691567
2017-07-0114160.129877225436
2017-08-0114838.863262072575
2017-09-0115848.377705450315
2017-10-0116137.479413991463
2017-11-0115581.208388944828
2017-12-0116360.315639122391
2018-01-0118448.732057976446
2018-02-0117252.98741033867
2018-03-0116834.164578796608
2018-04-0117280.53949001335
2018-05-0117633.1748893624
2018-06-0116065.047884421758
2018-07-0116287.18164859781
2018-08-0115270.954800540116
2018-09-0115519.782081001555
2018-10-0113643.196665652002
2018-11-0114465.93454624925
2018-12-0113366.036793343794
2019-01-0114599.63628132781
2019-02-0115108.92047361479
2019-03-0115403.173562491707
2019-04-017710.127210793106
2019-05-017633.7906884082295
2019-06-017273.163629740682
2019-07-017582.659495127989
2019-08-016963.666275644551
2019-09-017395.865988459137
2019-10-017531.761284778754
2019-11-017667.656581098371
2019-12-017762.338462325394
2020-01-017831.174125298912
2020-02-017407.578405134508
2020-03-015774.5117191787485
2020-04-016211.647618277588
2020-05-015931.0163282851045
2020-06-016034.627112863219
2020-07-016424.488691068435
2020-08-017094.392030571702
2020-09-016913.641937375194
2020-10-016690.618468403176
2020-11-017532.522759342396
2020-12-018024.005090604811
2021-01-018199.176247482163
2021-02-018820.756098547863
2021-03-019267.674675508544
2021-04-019873.704962904178
2021-05-0110371.106400452107
2021-06-0110583.018146759368
2021-07-0110577.239723457755
2021-08-0110484.813980453993
2021-09-0111307.115697948924
2021-10-0114002.61953395283
2021-11-0113926.774285479982
2021-12-0114193.27847308404
2022-01-0114270.125622595657
2022-02-0113832.683421656213
2022-03-0113893.080338659049
2022-04-0112706.863749058051
2022-05-0112820.693403183534
2022-06-0112001.641537052103
2022-07-0112092.932883931728
2022-08-0112019.897573364791
2022-09-0110700.836051825216
2022-10-0110967.272503177768
2022-11-0110917.70222109983
2022-12-0111065.909139396608
2023-01-0111829.292227751257
2023-02-0111671.566505231749
2023-03-0111581.014302283402
2023-04-0111747.923869540167
2023-05-0111215.09488374538
2023-06-0111630.492284414231
2023-07-0111669.69743130281
2023-08-0111107.774608954254
2023-09-0110708.939838310425
2023-10-019863.14703992207
2023-11-0111021.949800877548
2023-12-0111354.978431005362
2024-01-0112297.835789094072
2024-02-0111972.244748252582
2024-03-0111943.272985822408
2024-04-0112074.442375979208
2024-05-0112461.044426213566
2024-06-0111900.416036187762
2024-07-0112238.017979823899
2024-08-0112104.38403220843
2024-09-0112306.428616428071
2024-10-0111847.981478331823
2024-11-0111353.71823898557
2024-12-0111881.349397920229
2025-01-0112626.214437209106
2025-02-0112655.425881759998
2025-03-0112825.044899077035
2025-04-0112356.651697325477
2025-05-0113308.305091502705
2025-06-0113757.482784104297
2025-07-0114907.089046297513
2025-08-0114536.491360279053
2025-09-0114795.945022891112
2025-10-0115103.39316929056
2025-11-0115211.000020530368
2025-12-0116000.499527790138
2026-01-0116250.26318466467
2026-02-0126537.413850969006
2026-03-0124461.251473216726
2026-04-0125721.778631137757
Annual Return Matrix
YearAnnual Return
20170.6025719440961497
2018-0.18302084824197307
2019-0.41924905771686993
20200.03370976794549985
20210.7688521271880471
2022-0.2203415750362494
20230.026122507239790593
20240.04635596360778482
20250.3466904298421647
20260.607560975609756
Total Factor Risk
0.409898751893431
VTI.US Exposure
0.14378099986224466
VEA.US Exposure
-0.021397506449709103
VWO.US Exposure
0.0006601693471053072
QQQ.US Exposure
-0.007578732136055063
VTV.US Exposure
0.07004965988958466
IJR.US Exposure
-0.01833670573714379
QUAL.US Exposure
-0.022364904406891598
SHV.US Exposure
0.34394165614750605
TLT.US Exposure
0.054060945573094626
LQD.US Exposure
-0.0041091581407208914
HYG.US Exposure
0.014049180384127663
GLD.US Exposure
0.02923119692176526
USO.US Exposure
-0.0002500057107470094
VNQ.US Exposure
-0.025188819706419518
BTC-USD.CC Exposure
0.004655203677296965
CPER.US Exposure
0.010950387172219682
VIX.INDX Exposure
0.0028442739332151614
UUP.US Exposure
0.060954070464677594
TIP.US Exposure
0.006452332803939828
Idiosyncratic Exposure
0.3575957561109095
Value Score
46
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
26.8
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
41.0%

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 →10.1x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.23%
Market Cap$22.5B
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 →
+1.0%
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 →
+44.9%
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 →
4.1% 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 →
0.93
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust China AlphaDEX® Fund a high-risk investment?

First Trust China AlphaDEX® Fund (FCA.US) has an annualized volatility of 41.0% and experienced a maximum drawdown of 68.7% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, FCA.US has generated a Compound Annual Growth Rate (CAGR) of 10.5%. It has had a positive return in 70% 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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