First Trust California Municipal High Income ETF

10-Year Study

FCAL.US · · US · ETF

Executive Summary: First Trust California Municipal High Income ETF has compounded at 2.5% annually over the last 10 years, with a maximum drawdown of 14.0% and an annualized volatility of 6.2%.

1Y CAGR
+6.4%
3Y CAGR
+3.5%
5Y CAGR
+0.6%
10Y CAGR
+2.5%

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 →
14.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.31
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.38
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
5.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +9.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -9.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
89%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.81.3-2.41.0————————0.7%
20250.10.8-1.8-0.3-0.40.3-0.60.72.41.40.70.23.5%
20240.00.2-0.0-0.9-0.11.50.70.70.7-0.91.5-1.41.9%
20232.9-2.01.60.1-0.80.90.4-1.5-1.8-1.05.02.46.1%
2022-2.8-0.6-3.1-3.61.1-2.12.7-1.6-3.7-0.74.70.1-9.5%
20211.0-1.30.61.30.50.80.8-0.3-0.9-0.20.90.23.3%
20202.11.3-7.0-2.83.52.12.0-0.60.30.21.71.03.5%
20190.10.92.10.51.60.70.82.0-0.60.20.30.49.3%
2018-2.0-0.81.0-0.51.10.00.20.6-0.9-0.90.91.60.3%
2017——————0.71.2-0.20.40.22.14.4%

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 6.2%. The dominant macroeconomic risk driver is SHV.US, accounting for 34.3% of variance. Idiosyncratic stock-specific factors contribute 15.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2017-06-0110000
2017-07-0110067.97357874575
2017-08-0110190.224944534571
2017-09-0110168.16511767768
2017-10-0110206.29602114509
2017-11-0110226.283790954712
2017-12-0110442.66213846395
2018-01-0110232.5252310849
2018-02-0110154.898898777486
2018-03-0110259.739931571581
2018-04-0110211.779391623837
2018-05-0110327.587165375422
2018-06-0110327.612434363802
2018-07-0110348.105583941051
2018-08-0110408.599542125932
2018-09-0110319.020978314154
2018-10-0110221.836448999602
2018-11-0110313.133304021307
2018-12-0110474.627408766317
2019-01-0110482.031222362044
2019-02-0110577.143694629329
2019-03-0110800.69843483886
2019-04-0110850.250921054627
2019-05-0111024.354251001916
2019-06-0111103.471453623826
2019-07-0111197.699511297766
2019-08-0111420.571988821
2019-09-0111350.349470109315
2019-10-0111373.82436031556
2019-11-0111403.793380535804
2019-12-0111450.920043866963
2020-01-0111695.549120386515
2020-02-0111846.101753162415
2020-03-0111018.239155813637
2020-04-0110708.416089270282
2020-05-0111082.194965406756
2020-06-0111314.84654143356
2020-07-0111541.58517417914
2020-08-0111476.29010820181
2020-09-0111506.713970212919
2020-10-0111532.968449141108
2020-11-0111733.882175760975
2020-12-0111853.252876874327
2021-01-0111972.168736196816
2021-02-0111811.053666277525
2021-03-0111879.229396930325
2021-04-0112036.781539487849
2021-05-0112099.777127522477
2021-06-0112192.665928812208
2021-07-0112286.717103567476
2021-08-0112246.792101924993
2021-09-0112131.96981872028
2021-10-0112106.625023373816
2021-11-0112216.999964623416
2021-12-0112239.312481364123
2022-01-0111897.953717320881
2022-02-0111821.84352431635
2022-03-0111451.526499588115
2022-04-0111044.493634741828
2022-05-0111167.250380298276
2022-06-0110934.447190341181
2022-07-0111225.72281941265
2022-08-0111049.977005220573
2022-09-0110645.748998084611
2022-10-0110566.530719509177
2022-11-0111062.939996260191
2022-12-0111076.610518974483
2023-01-0111399.826149359937
2023-02-0111170.686962718135
2023-03-0111345.952666130965
2023-04-0111362.73127441616
2023-05-0111271.030115580354
2023-06-0111369.124328476637
2023-07-0111409.327288991313
2023-08-0111238.028816754351
2023-09-0111040.551672554342
2023-10-0110927.09391472222
2023-11-0111472.701911851662
2023-12-0111749.877445406351
2024-01-0111752.429613232864
2024-02-0111773.80717740346
2024-03-0111773.78190841508
2024-04-0111671.796271308074
2024-05-0111659.945115757238
2024-06-0111829.70217970294
2024-07-0111911.573702058413
2024-08-0111996.250082124214
2024-09-0112076.757079107098
2024-10-0111970.071410161167
2024-11-0112145.867762330003
2024-12-0111973.20476472045
2025-01-0111985.131727236434
2025-02-0112082.24044958584
2025-03-0111864.952418494879
2025-04-0111834.073714692908
2025-05-0111785.50671902401
2025-06-0111822.904821828364
2025-07-0111755.689312734054
2025-08-0111838.091483845536
2025-09-0112120.674580913828
2025-10-0112284.72085348535
2025-11-0112369.447771527915
2025-12-0112389.132313476965
2026-01-0112485.457697186554
2026-02-0112653.445931945562
2026-03-0112351.481520788799
2026-04-0112477.978076625683
Annual Return Matrix
YearAnnual Return
20180.0030610269563955406
20190.09320547614739749
20200.03513541544837251
20210.03256992898911304
2022-0.09499732637433655
20230.06078275707885061
20240.01900677861124489
20250.03473819724373728
20260.0071712659854370475
Total Factor Risk
0.061731832705786305
VTI.US Exposure
0.21102102181308405
VEA.US Exposure
0.005349130465137905
VWO.US Exposure
0.010822289509886491
QQQ.US Exposure
-0.11807758826353834
VTV.US Exposure
-0.06597832952773766
IJR.US Exposure
0.03211647429014983
QUAL.US Exposure
0.07395710413069752
SHV.US Exposure
0.3428254483964692
TLT.US Exposure
0.14939157247441084
LQD.US Exposure
0.18371612274342258
HYG.US Exposure
0.027149549968321772
GLD.US Exposure
0.011863395977188357
USO.US Exposure
-0.003189755103963957
VNQ.US Exposure
0.012538632254452365
BTC-USD.CC Exposure
-0.005266765273281325
CPER.US Exposure
0.012477178786476771
VIX.INDX Exposure
-0.01869572510389196
UUP.US Exposure
0.005300452915169947
TIP.US Exposure
-0.019110430149975415
Idiosyncratic Exposure
0.15179021969752102
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
38.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
6.2%

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 →3.22%
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
$36
Avg Yield on Cost
0.36%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$35.630.36%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 →
-0.3%
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 →
+2.1%
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 →
1.4% 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 →
0.84
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust California Municipal High Income ETF a high-risk investment?

First Trust California Municipal High Income ETF (FCAL.US) has an annualized volatility of 6.2% and experienced a maximum drawdown of 14.0% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, FCAL.US has generated a Compound Annual Growth Rate (CAGR) of 2.5%. It has had a positive return in 89% 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 California Municipal High Income ETF

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

Start a Free Backtest