First Trust STOXX® European Select Dividend Index Fund

10-Year Study

FDD.US · · US · ETF

Executive Summary: First Trust STOXX® European Select Dividend Index Fund has compounded at 9.9% annually over the last 10 years, with a maximum drawdown of 32.5% and an annualized volatility of 21.5%.

1Y CAGR
+34.1%
3Y CAGR
+27.1%
5Y CAGR
+11.0%
10Y CAGR
+9.9%

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 →
32.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.39
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.54
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
18.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +62.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -16.1%
% 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.
20264.92.1-5.07.4————————9.3%
20256.07.26.65.66.14.0-1.44.52.2-0.22.86.662.5%
2024-4.3-3.06.00.36.6-4.24.81.90.7-4.8-1.3-1.40.3%
20239.5-1.8-4.13.6-5.43.44.3-4.3-2.6-3.99.66.714.2%
20221.1-6.5-1.8-6.13.6-13.32.8-5.9-9.18.411.90.4-16.1%
2021-0.65.25.12.35.1-3.21.51.4-5.42.8-3.34.816.0%
2020-0.8-8.5-24.31.53.35.82.04.9-6.4-3.425.44.1-3.8%
20196.41.10.33.2-6.04.2-2.1-0.35.15.2-0.25.423.8%
20186.2-4.70.03.9-4.2-1.32.7-3.10.6-5.11.1-4.7-9.0%
20170.40.92.92.86.8-1.61.7-0.63.60.40.20.419.1%
2016———3.6-1.0-2.81.20.1-0.1-2.4-1.34.92.1%

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 21.5%. The dominant macroeconomic risk driver is VEA.US, accounting for 61.2% of variance. Idiosyncratic stock-specific factors contribute 6.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110364.124655778825
2016-05-0110258.472612263819
2016-06-019975.870436513347
2016-07-0110094.746026119912
2016-08-0110105.106742645254
2016-09-0110097.19988003381
2016-10-019857.949123428853
2016-11-019727.622215557434
2016-12-0110208.98655833356
2017-01-0110252.065327044198
2017-02-0110346.67502794667
2017-03-0110645.22725413747
2017-04-0110938.326471630722
2017-05-0111679.526678845052
2017-06-0111495.078659650462
2017-07-0111688.52414319601
2017-08-0111618.180330997628
2017-09-0112036.28977288219
2017-10-0112080.322818114895
2017-11-0112106.769910298008
2017-12-0112155.71066335851
2018-01-0112908.225863620253
2018-02-0112297.35256427734
2018-03-0112302.396597322573
2018-04-0112782.397687924311
2018-05-0112240.095972953079
2018-06-0112084.957875507813
2018-07-0112405.594786923684
2018-08-0112020.885023311612
2018-09-0112093.001063336695
2018-10-0111474.90252746953
2018-11-0111604.13883360144
2018-12-0111064.427297761538
2019-01-0111777.953485835811
2019-02-0111907.735092837473
2019-03-0111944.951877198244
2019-04-0112326.628618978551
2019-05-0111591.125146303319
2019-06-0112072.580254682132
2019-07-0111821.670328371103
2019-08-0111783.069101269082
2019-09-0112381.373170216704
2019-10-0113022.798909048128
2019-11-0112993.638997873994
2019-12-0113701.072041989739
2020-01-0113593.72940227809
2020-02-0112432.456643838095
2020-03-019414.531946877805
2020-04-019551.543486359811
2020-05-019864.71058358529
2020-06-0110440.175170632177
2020-07-0110649.979879965513
2020-08-0111169.491474139026
2020-09-0110451.987866380012
2020-10-0110095.437779455047
2020-11-0112662.592294851449
2020-12-0113177.497639736544
2021-01-0113095.525123822305
2021-02-0113782.065583669097
2021-03-0114483.277656053233
2021-04-0114821.767423477753
2021-05-0115580.806580846258
2021-06-0115085.30650744831
2021-07-0115304.387420189174
2021-08-0115513.036341880003
2021-09-0114681.147460371698
2021-10-0115093.070696200903
2021-11-0114596.654053300177
2021-12-0115290.377557831847
2022-01-0115460.033922746417
2022-02-0114452.695437026563
2022-03-0114192.630216476458
2022-04-0113327.617423206835
2022-05-0113808.17936385741
2022-06-0111977.375335364695
2022-07-0112307.939701812018
2022-08-0111580.703556041964
2022-09-0110522.345951580704
2022-10-0111410.451745975239
2022-11-0112770.711093418638
2022-12-0112821.365534506815
2023-01-0114040.298965312235
2023-02-0113780.71348114018
2023-03-0113212.934426881464
2023-04-0113688.464986006164
2023-05-0112952.525980304788
2023-06-0113390.628001251584
2023-07-0113968.723337786225
2023-08-0113367.031211924794
2023-09-0113018.373373463093
2023-10-0112516.288300729597
2023-11-0113711.732850390823
2023-12-0114637.0663177318
2024-01-0114006.471700216161
2024-02-0113582.032415304364
2024-03-0114398.988364459638
2024-04-0114447.675756387955
2024-05-0115397.05714726489
2024-06-0114755.7718190807
2024-07-0115461.428928528656
2024-08-0115751.25080550364
2024-09-0115859.955948532892
2024-10-0115096.23383605942
2024-11-0114892.57599283832
2024-12-0114684.283298159919
2025-01-0115571.077943130978
2025-02-0116692.61448840381
2025-03-0117787.201290097855
2025-04-0118783.390130348474
2025-05-0119923.762503928003
2025-06-0120720.807443246376
2025-07-0120427.46229910469
2025-08-0121347.49916480835
2025-09-0121814.395769226754
2025-10-0121773.874296513954
2025-11-0122381.70418779752
2025-12-0123856.913051776315
2026-01-0125029.31075381242
2026-02-0125547.345748016465
2026-03-0124279.521225836357
2026-04-0126079.01409602748
Annual Return Matrix
YearAnnual Return
20170.19068730220198438
2018-0.08977536532573727
20190.23829925158093124
2020-0.03821411935128827
20210.16033999594308002
2022-0.1614748892881579
20230.14161524202225517
20240.0032258500032154025
20250.6246562782376868
20260.0931428571428572
Total Factor Risk
0.21468353311396574
VTI.US Exposure
-0.08457725181667691
VEA.US Exposure
0.611858883331658
VWO.US Exposure
-0.03161594994714584
QQQ.US Exposure
0.07509799063230417
VTV.US Exposure
0.09240442900412484
IJR.US Exposure
0.021128389860157797
QUAL.US Exposure
-0.1392916568581388
SHV.US Exposure
0.2353254654786298
TLT.US Exposure
-0.004269684133253269
LQD.US Exposure
-0.03139713699787854
HYG.US Exposure
0.12875505428328687
GLD.US Exposure
-0.03168319527897459
USO.US Exposure
0.0018111477208708972
VNQ.US Exposure
0.014051563914570499
BTC-USD.CC Exposure
-0.005330048519731478
CPER.US Exposure
0.033373152323892215
VIX.INDX Exposure
-0.016611035604955082
UUP.US Exposure
0.06633814947259592
TIP.US Exposure
-0.0009763316322148141
Idiosyncratic Exposure
0.0656080647668783
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
21.5%

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
$83
Avg Yield on Cost
0.83%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$83.160.83%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 →
+5.1%
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 →
+14.1%
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 →
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 →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust STOXX® European Select Dividend Index Fund a high-risk investment?

First Trust STOXX® European Select Dividend Index Fund (FDD.US) has an annualized volatility of 21.5% and experienced a maximum drawdown of 32.5% over the last 10 years. Its primary macro risk driver is VEA.US.

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

Over the past 10 years, FDD.US has generated a Compound Annual Growth Rate (CAGR) of 9.9%. 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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