First Trust Dow Jones Select MicroCap Index Fund

10-Year Study

FDM.US · · US · ETF

Executive Summary: First Trust Dow Jones Select MicroCap Index Fund has compounded at 11.6% annually over the last 10 years, with a maximum drawdown of 39.0% and an annualized volatility of 20.7%.

1Y CAGR
+22.6%
3Y CAGR
+17.1%
5Y CAGR
+8.6%
10Y CAGR
+11.6%

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 →
39.0%
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 →
0.65
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
22.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +35.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -13.5%
% 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.
20265.51.2-2.96.8-2.9———————7.5%
20252.5-2.0-8.7-1.59.17.5-0.85.71.2-2.85.72.818.6%
2024-4.43.73.4-5.04.9-3.312.3-4.4-0.00.613.0-6.213.0%
20237.6-1.0-8.9-4.00.39.67.1-5.3-3.5-4.76.211.012.8%
2022-6.11.0-0.4-7.11.5-7.411.2-4.3-9.813.84.4-6.0-11.6%
20215.012.16.8-1.13.20.8-3.62.3-1.44.0-2.05.235.1%
2020-7.0-9.0-26.915.44.64.0-0.91.8-4.82.017.17.8-4.0%
201910.55.5-5.22.5-7.47.02.0-6.16.11.04.06.427.4%
20180.2-3.53.20.95.81.10.73.0-3.1-9.1-1.5-10.9-13.5%
2017-3.10.1-0.21.7-2.54.6-0.3-2.17.81.43.1-1.78.7%
2016————-0.40.35.32.60.7-2.416.27.532.6%

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 20.7%. The dominant macroeconomic risk driver is IJR.US, accounting for 75.4% of variance. Idiosyncratic stock-specific factors contribute 5.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-04-0110000
2016-05-019960.97476667819
2016-06-019995.471828551676
2016-07-0110530.176287590735
2016-08-0110802.039405461459
2016-09-0110872.450743173176
2016-10-0110611.787072243345
2016-11-0112336.087106809538
2016-12-0113260.974766678188
2017-01-0112855.029381265122
2017-02-0112870.065675769098
2017-03-0112846.145869339785
2017-04-0113060.318008987208
2017-05-0112734.53162806775
2017-06-0113317.594192879364
2017-07-0113278.292430003456
2017-08-0113004.251641894227
2017-09-0114024.853093674388
2017-10-0114227.341859661252
2017-11-0114669.305219495332
2017-12-0114417.5596266851
2018-01-0114447.94331144141
2018-02-0113946.59522986519
2018-03-0114397.303836847565
2018-04-0114524.300034566193
2018-05-0115369.512616660906
2018-06-0115533.079847908744
2018-07-0115645.039751123402
2018-08-0116119.875561700655
2018-09-0115620.08295886623
2018-10-0114201.0024196336
2018-11-0113991.807811959901
2018-12-0112467.749740753545
2019-01-0113782.544071897684
2019-02-0114535.430349118564
2019-03-0113782.30210853785
2019-04-0114124.853093674385
2019-05-0113075.59626685102
2019-06-0113992.741099204977
2019-07-0114269.339785689594
2019-08-0113392.60283442793
2019-09-0114214.828897338402
2019-10-0114362.703076391288
2019-11-0114931.870031109573
2019-12-0115889.66470791566
2020-01-0114779.191151054269
2020-02-0113453.854130660215
2020-03-019833.84030418251
2020-04-0111350.36294503975
2020-05-0111871.586588316624
2020-06-0112343.17317663325
2020-07-0112230.867611475975
2020-08-0112449.360525406153
2020-09-0111850.051849291394
2020-10-0112086.346353266506
2020-11-0114147.632215693051
2020-12-0115247.770480470102
2021-01-0116007.293466989286
2021-02-0117951.469063256136
2021-03-0119177.877635672314
2021-04-0118964.189422744555
2021-05-0119573.729692360874
2021-06-0119728.759073625995
2021-07-0119018.94227445558
2021-08-0119461.666090563427
2021-09-0119191.496716211546
2021-10-0119962.01175250605
2021-11-0119570.13480815762
2021-12-0120596.5433805738
2022-01-0119332.423090217766
2022-02-0119531.870031109574
2022-03-0119452.506049083997
2022-04-0118075.73453162807
2022-05-0118344.866920152093
2022-06-0116985.58589699274
2022-07-0118880.884894573108
2022-08-0118069.823712409267
2022-09-0116301.69374351884
2022-10-0118550.812305565156
2022-11-0119366.401659177325
2022-12-0118205.081230556516
2023-01-0119580.05530591082
2023-02-0119381.230556515726
2023-03-0117661.32042862081
2023-04-0116952.05668855859
2023-05-0117011.33771171794
2023-06-0118649.533356377462
2023-07-0119979.675077773936
2023-08-0118916.246111303146
2023-09-0118261.562391980642
2023-10-0117412.02903560318
2023-11-0118499.377808503286
2023-12-0120528.55167646042
2024-01-0119624.36916695472
2024-02-0120341.306602143104
2024-03-0121024.71482889734
2024-04-0119975.181472519875
2024-05-0120944.417559626687
2024-06-0120250.81230556516
2024-07-0122732.734185966125
2024-08-0121729.899758036638
2024-09-0121729.173867957135
2024-10-0121868.37193225026
2024-11-0124716.79917041134
2024-12-0123196.57794676806
2025-01-0123772.727272727276
2025-02-0123290.217767023853
2025-03-0121255.409609402006
2025-04-0120945.17801590045
2025-05-0122846.7680608365
2025-06-0124563.25613549948
2025-07-0124357.760110611824
2025-08-0125751.883857587283
2025-09-0126063.290701693746
2025-10-0125326.996197718632
2025-11-0126780.020739716558
2025-12-0127521.603871413758
2026-01-0129042.516418942276
2026-02-0129405.461458693397
2026-03-0128551.676460421706
2026-04-0130480.470100241964
2026-05-0129587.210508123055
Annual Return Matrix
YearAnnual Return
20170.08721718277551882
2018-0.13523855190601775
20190.27446131325341283
2020-0.040396964897930765
20210.35079049143313124
2022-0.11610987852810573
20230.12762757916202272
20240.12996661003450116
20250.18645103318993228
20260.07505400653102234
Total Factor Risk
0.20672127114345107
VTI.US Exposure
-0.1688100464761817
VEA.US Exposure
-0.05902172655629707
VWO.US Exposure
0.027175425897074595
QQQ.US Exposure
0.037035723992692414
VTV.US Exposure
0.13906515674181116
IJR.US Exposure
0.7535143585691623
QUAL.US Exposure
0.04021032193558808
SHV.US Exposure
0.18235613284270022
TLT.US Exposure
-0.000018579185528873277
LQD.US Exposure
-0.00641714723896919
HYG.US Exposure
0.049063858031657914
GLD.US Exposure
-0.00172314094592113
USO.US Exposure
0.0015122538819891888
VNQ.US Exposure
-0.031942445757569195
BTC-USD.CC Exposure
0.0061573637619420805
CPER.US Exposure
-0.009500993701845909
VIX.INDX Exposure
-0.023182296347406185
UUP.US Exposure
0.0075602883393652825
TIP.US Exposure
-0.001531420701936705
Idiosyncratic Exposure
0.05849691291767282
Value Score
41.8
Growth Score
50
Profit Score
75
Health Score
27.5
Yield Score
16
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
20.7%

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 →10.7x
Forward P/EForward P/E RatioA valuation metric that compares the current stock price to estimated future earnings per share.Click for full definition →Potentially Undervalued10.7x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.33%
Squeeze RiskShort Squeeze RiskA situation where a sharp rise in the price of a stock forces short sellers to buy shares to cover their positions, further driving up the price.Click for full definition →Low
Market Cap$674.3M
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
2.0/ 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
1.37
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators: distance from 50/200-Day SMA, 52-Week High proximity, Golden Cross trend signal, RSI momentum gauge, Fibonacci retracement levels, and Beta (market sensitivity).

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 →
+8.7%
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 →
4.0% 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 →
1.15
Market sensitivity coefficient
Trend SignalGolden Cross & Death CrossTechnical chart patterns that occur when a short-term moving average crosses over a long-term moving average.Click for full definition →
✦ Golden Cross
Bullish — 50 SMA above 200 SMA
RSI (14-Day)Relative Strength Index (RSI)A momentum oscillator that measures the speed and change of price movements to identify overbought or oversold conditions.Click for full definition →
39
OversoldNeutralOverbought
Neutral
Fibonacci LevelsFibonacci RetracementTechnical levels based on mathematical ratios that indicate potential support and resistance areas.Click for full definition →
38.2% retracement+10.0%
50.0% retracement+15.2%
61.8% retracement+20.9%
% distance of current price from each 52-week Fibonacci support level.

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Frequently Asked Questions & Methodology

Is First Trust Dow Jones Select MicroCap Index Fund a high-risk investment?

First Trust Dow Jones Select MicroCap Index Fund (FDM.US) has an annualized volatility of 20.7% and experienced a maximum drawdown of 39.0% over the last 10 years. Its primary macro risk driver is IJR.US.

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

Over the past 10 years, FDM.US has generated a Compound Annual Growth Rate (CAGR) of 11.6%. 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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