First Trust Emerging Markets AlphaDEX® Fund

10-Year Study

FEM.US · · US · ETF

Executive Summary: First Trust Emerging Markets AlphaDEX® Fund has compounded at 10.1% annually over the last 10 years, with a maximum drawdown of 38.4% and an annualized volatility of 17.2%.

1Y CAGR
+47.1%
3Y CAGR
+22.4%
5Y CAGR
+7.6%
10Y CAGR
+10.1%

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 →
38.4%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.36
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.51
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
18.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2017 · +41.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -15.5%
% 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.
20267.76.5-4.58.4————————18.7%
20250.70.62.5-1.14.15.81.26.13.8-0.40.41.828.4%
20240.83.7-0.73.33.7-1.3-1.5-2.05.1-5.5-0.9-1.33.0%
20235.3-4.60.52.0-6.37.19.3-6.5-1.5-5.46.85.410.8%
2022-0.6-0.1-2.9-4.91.5-9.9-0.6-0.6-10.0-0.115.9-0.8-14.2%
2021-0.42.92.04.62.4-0.0-3.94.8-2.5-3.1-4.25.37.4%
2020-5.3-8.3-23.610.24.34.79.00.2-3.6-2.411.17.7-1.7%
201911.3-1.50.0-0.5-5.88.9-2.9-4.62.72.80.79.320.5%
20189.7-4.2-0.1-2.5-2.6-6.03.1-5.41.1-7.92.9-3.6-15.5%
20178.42.22.0-0.71.12.69.44.33.4-0.0-2.15.041.1%
2016———0.9-6.46.76.71.41.10.8-2.90.18.0%

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 17.2%. The dominant macroeconomic risk driver is VWO.US, accounting for 51.8% of variance. Idiosyncratic stock-specific factors contribute 8.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110088.291082073823
2016-05-019444.135003311856
2016-06-0110073.538266995845
2016-07-0110750.361293430482
2016-08-0110902.556151020652
2016-09-0111027.127115071957
2016-10-0111112.181610164387
2016-11-0110787.996025772263
2016-12-0110795.974589028723
2017-01-0111699.65978201963
2017-02-0111960.09212982477
2017-03-0112196.739326789908
2017-04-0112116.803155295958
2017-05-0112244.685975793342
2017-06-0112560.215571746854
2017-07-0113736.300957427591
2017-08-0114326.940446799541
2017-09-0114818.148973324503
2017-10-0114812.729571867285
2017-11-0114498.554826278074
2017-12-0115227.765400132475
2018-01-0116712.305052086467
2018-02-0116008.234479436383
2018-03-0115994.987053652072
2018-04-0115590.940567230684
2018-05-0115186.818811344614
2018-06-0114280.047570301682
2018-07-0114716.309387607636
2018-08-0113926.657433612332
2018-09-0114080.658758354912
2018-10-0112973.74601071837
2018-11-0113350.168603600889
2018-12-0112865.88486782682
2019-01-0114319.865117119285
2019-02-0114111.29343048112
2019-03-0114115.583789968085
2019-04-0114042.27133136629
2019-05-0113224.543867044018
2019-06-0114405.070151141086
2019-07-0113982.055759619438
2019-08-0113341.813693021015
2019-09-0113707.472752453785
2019-10-0114086.002890347441
2019-11-0114184.982236406333
2019-12-0115508.671042331545
2020-01-0114684.696212440536
2020-02-0113469.244896730295
2020-03-0110296.71222978262
2020-04-0111350.409465887878
2020-05-0111842.144878665624
2020-06-0112400.267959294273
2020-07-0113516.815198410308
2020-08-0113546.320828566268
2020-09-0113053.08002649485
2020-10-0112745.45372433311
2020-11-0114162.928283254048
2020-12-0115248.690311314505
2021-01-0115188.324200638284
2021-02-0115622.629011862467
2021-03-0115931.83597278256
2021-04-0116662.627205395314
2021-05-0117067.275847534172
2021-06-0117059.297284277716
2021-07-0116400.61419883182
2021-08-0117193.502739808515
2021-09-0116759.95062323117
2021-10-0116237.204191003791
2021-11-0115552.628409706751
2021-12-0116377.506473173964
2022-01-0116277.097007286084
2022-02-0116264.527006683926
2022-03-0115789.877762389353
2022-04-0115011.064611308484
2022-05-0115243.49671825134
2022-06-0113741.569819955439
2022-07-0113664.268079725416
2022-08-0113586.966339495395
2022-09-0112229.406274462575
2022-10-0112216.15884867827
2022-11-0114154.046486421388
2022-12-0114045.432648883001
2023-01-0114793.460588908292
2023-02-0114118.895646414163
2023-03-0114187.917745528994
2023-04-0114468.973926657434
2023-05-0113552.1165773469
2023-06-0114518.87758174264
2023-07-0115876.211838381407
2023-08-0114847.955681339196
2023-09-0114622.147287288493
2023-10-0113830.463057746734
2023-11-0114776.299150960436
2023-12-0115568.510266754985
2024-01-0115688.113446137171
2024-02-0116264.97862347203
2024-03-0116155.536821822123
2024-04-0116685.358583729754
2024-05-0117299.93376287108
2024-06-0117082.931896188355
2024-07-0116818.96188354308
2024-08-0116490.711748058045
2024-09-0117334.78352501957
2024-10-0116386.990425724092
2024-11-0116242.247245137592
2024-12-0116039.019690491963
2025-01-0116155.46155235744
2025-02-0116257.451677003673
2025-03-0116671.433732763293
2025-04-0116481.829951225383
2025-05-0117152.781959414704
2025-06-0118151.984103089057
2025-07-0118373.65267658216
2025-08-0119497.049436984402
2025-09-0120240.56120912868
2025-10-0120150.990546155233
2025-11-0120225.65785512133
2025-12-0120586.19859095562
2026-01-0122166.85734931053
2026-02-0123604.504124766663
2026-03-0122543.204672728367
2026-04-0124441.124224724514
Annual Return Matrix
YearAnnual Return
20170.4105040054102671
2018-0.15510355395185615
20190.20541037026636477
2020-0.016763572475514632
20210.07402708946235714
2022-0.14239492612082638
20230.10843935220415646
20240.030221865526960823
20250.28350728337588227
20260.18725776965265073
Total Factor Risk
0.1720801767235024
VTI.US Exposure
0.07127555287687735
VEA.US Exposure
0.2883875801003316
VWO.US Exposure
0.5180782426252791
QQQ.US Exposure
-0.021856117950480303
VTV.US Exposure
0.041088006225961766
IJR.US Exposure
-0.03986305477294642
QUAL.US Exposure
-0.12178365770865207
SHV.US Exposure
0.05951320902639946
TLT.US Exposure
0.06806427012374908
LQD.US Exposure
-0.0890785136412262
HYG.US Exposure
0.08875757292547795
GLD.US Exposure
-0.0277707208942036
USO.US Exposure
-0.001895149170387718
VNQ.US Exposure
-0.028854916980569148
BTC-USD.CC Exposure
-0.0007558454833466725
CPER.US Exposure
0.029791084834386538
VIX.INDX Exposure
0.043572694204314144
UUP.US Exposure
0.0012022507963078282
TIP.US Exposure
0.033290901737392804
Idiosyncratic Exposure
0.08883661112533445
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
17.2%

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
$25
Avg Yield on Cost
0.25%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$24.840.25%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 →
+6.6%
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 →
+17.9%
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 →
0.0% 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 →
0.94
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

First Trust Emerging Markets AlphaDEX® Fund (FEM.US) has an annualized volatility of 17.2% and experienced a maximum drawdown of 38.4% over the last 10 years. Its primary macro risk driver is VWO.US.

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

Over the past 10 years, FEM.US has generated a Compound Annual Growth Rate (CAGR) of 10.1%. 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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