First Trust Developed Markets Ex-US AlphaDEX® Fund

10-Year Study

FDT.US · · US · ETF

Executive Summary: First Trust Developed Markets Ex-US AlphaDEX® Fund has compounded at 10.4% annually over the last 10 years, with a maximum drawdown of 36.6% and an annualized volatility of 21.2%.

1Y CAGR
+52.4%
3Y CAGR
+29.6%
5Y CAGR
+11.5%
10Y CAGR
+10.4%

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 →
36.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.42
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.56
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
17.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +52.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -20.0%
% 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.
20269.911.4-10.67.2————————17.3%
20253.13.41.24.87.36.51.14.84.02.42.02.452.2%
2024-0.73.04.9-2.75.2-2.63.60.41.1-3.21.0-2.87.0%
20239.2-3.20.80.8-4.26.86.4-4.0-3.7-4.86.94.515.0%
2022-4.2-2.11.8-7.23.1-12.33.4-3.7-11.95.211.0-2.0-19.5%
20210.41.64.63.34.4-2.50.60.7-3.41.7-4.54.411.4%
2020-4.3-8.1-18.58.96.72.23.75.6-2.0-3.912.26.04.3%
20199.80.60.61.0-6.96.6-2.4-3.23.22.51.53.316.8%
20185.6-4.2-0.4-0.50.6-3.91.2-2.10.4-12.0-0.2-5.5-20.0%
20175.12.23.02.53.50.34.10.92.12.31.12.934.4%
2016———-0.10.4-2.36.20.22.7-2.8-2.01.23.2%

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 21.2%. The dominant macroeconomic risk driver is VEA.US, accounting for 67.6% of variance. Idiosyncratic stock-specific factors contribute 2.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019987.101091974077
2016-05-0110025.826416734832
2016-06-019794.275287293862
2016-07-0110406.415705207039
2016-08-0110423.776319778517
2016-09-0110707.63809839779
2016-10-0110407.588333209396
2016-11-0110201.0628013797
2016-12-0110321.014065815893
2017-01-0110847.238032044204
2017-02-0111088.456192333873
2017-03-0111425.229234474122
2017-04-0111716.555791352299
2017-05-0112121.770267873999
2017-06-0112155.061462867734
2017-07-0112652.62754474577
2017-08-0112766.887273268087
2017-09-0113037.363932250702
2017-10-0113339.787554126795
2017-11-0113480.302709628706
2017-12-0113872.961486320295
2018-01-0114653.588527694044
2018-02-0114041.877120025627
2018-03-0113985.791180693393
2018-04-0113914.546879379479
2018-05-0114001.378552919845
2018-06-0113451.58762391246
2018-07-0113608.691175545271
2018-08-0113323.685369606626
2018-09-0113379.885711670795
2018-10-0111780.049307577467
2018-11-0111753.021662157293
2018-12-0111101.812711287546
2019-01-0112186.636616882412
2019-02-0112259.511157126435
2019-03-0112338.677847627003
2019-04-0112458.943719576026
2019-05-0111594.31647227736
2019-06-0112363.27443499351
2019-07-0112065.770130590718
2019-08-0111684.952036654637
2019-09-0112061.99484043679
2019-10-0112368.508359979638
2019-11-0112554.183993913775
2019-12-0112968.808095137312
2020-01-0112407.062080642485
2020-02-0111407.12500214505
2020-03-019293.134120042787
2020-04-0110119.293448727558
2020-05-0110798.388065507002
2020-06-0111034.086293980701
2020-07-0111438.557152744808
2020-08-0112080.58528437659
2020-09-0111839.939137746609
2020-10-0111372.632578465975
2020-11-0112754.760583682739
2020-12-0113525.405986694963
2021-01-0113580.433700756776
2021-02-0113800.544557004021
2021-03-0114438.940401896798
2021-04-0114919.346073984249
2021-05-0115579.936048872847
2021-06-0115194.084234731525
2021-07-0115279.914884367437
2021-08-0115394.40341835363
2021-09-0114867.207028903851
2021-10-0115113.573312130695
2021-11-0114436.652347258052
2021-12-0115070.843891752136
2022-01-0114434.821903547057
2022-02-0114136.688384118612
2022-03-0114390.97705653211
2022-04-0113351.199226637531
2022-05-0113769.198208453217
2022-06-0112080.928492572404
2022-07-0112494.637371940442
2022-08-0112033.365556769497
2022-09-0110600.471339255582
2022-10-0111147.316397915583
2022-11-0112375.229520480949
2022-12-0112131.294295307773
2023-01-0113249.609600677266
2023-02-0112830.237786078333
2023-03-0112937.747753416352
2023-04-0113039.852191670336
2023-05-0112491.09088725039
2023-06-0113335.268646215272
2023-07-0114189.656849005554
2023-08-0113615.726943559412
2023-09-0113117.531646655725
2023-10-0112490.890682469497
2023-11-0113357.74878304094
2023-12-0113955.21705058317
2024-01-0113858.232134583375
2024-02-0114274.143266541207
2024-03-0114967.052013202076
2024-04-0114556.346205547388
2024-05-0115313.749492337878
2024-06-0114919.94668832692
2024-07-0115456.466900429581
2024-08-0115524.221918419415
2024-09-0115694.853593103804
2024-10-0115191.367169848018
2024-11-0115350.100960410935
2024-12-0114927.897678196558
2025-01-0115394.374817670649
2025-02-0115910.559944171468
2025-03-0116107.590049250377
2025-04-0116873.57354093616
2025-05-0118106.863591902576
2025-06-0119289.273027839907
2025-07-0119508.897672476418
2025-08-0120442.68137123115
2025-09-0121258.916262920364
2025-10-0121760.31483631829
2025-11-0122188.295456495503
2025-12-0122723.242631034034
2026-01-0124974.1163818992
2026-02-0127822.744407136444
2026-03-0124862.573718260395
2026-04-0126647.256336481314
Annual Return Matrix
YearAnnual Return
20170.3441471349475984
2018-0.19975178174936137
20190.16817031888418876
20200.042918199380739486
20210.11426184963153285
2022-0.19504877215622274
20230.1503485704720613
20240.06970014325737339
20250.5221997846504018
20260.1726872246696034
Total Factor Risk
0.21181719633261553
VTI.US Exposure
0.21148727770605236
VEA.US Exposure
0.6762279663692565
VWO.US Exposure
-0.020944531276484525
QQQ.US Exposure
-0.046902163742216674
VTV.US Exposure
-0.028412049372879524
IJR.US Exposure
-0.02467541761392333
QUAL.US Exposure
-0.09337509844434258
SHV.US Exposure
0.3589533053303348
TLT.US Exposure
0.00829657587415777
LQD.US Exposure
-0.018875686007765954
HYG.US Exposure
-0.004694202736893876
GLD.US Exposure
0.0005661108760290019
USO.US Exposure
-0.005027948152957709
VNQ.US Exposure
-0.0005763159673884956
BTC-USD.CC Exposure
-0.002614128830931014
CPER.US Exposure
0.007929164911584796
VIX.INDX Exposure
-0.022773745789913973
UUP.US Exposure
-0.027319412392890888
TIP.US Exposure
0.003859124195695613
Idiosyncratic Exposure
0.028871175065477653
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
21.2%

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 →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
$93
Avg Yield on Cost
0.93%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$93.240.93%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 →
+2.8%
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 →
+17.6%
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 →
4.2% 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 →
1.14
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Developed Markets Ex-US AlphaDEX® Fund a high-risk investment?

First Trust Developed Markets Ex-US AlphaDEX® Fund (FDT.US) has an annualized volatility of 21.2% and experienced a maximum drawdown of 36.6% over the last 10 years. Its primary macro risk driver is VEA.US.

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

Over the past 10 years, FDT.US has generated a Compound Annual Growth Rate (CAGR) of 10.4%. 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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