First Trust Europe AlphaDEX® Fund

10-Year Study

FEP.US · · US · ETF

Executive Summary: First Trust Europe AlphaDEX® Fund has compounded at 10.3% annually over the last 10 years, with a maximum drawdown of 37.7% and an annualized volatility of 18.8%.

1Y CAGR
+32.2%
3Y CAGR
+26.1%
5Y CAGR
+9.6%
10Y CAGR
+10.3%

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 →
37.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.41
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 →
19.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +55.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -23.0%
% 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.
20266.23.5-7.56.6————————8.3%
20254.95.63.24.59.34.7-0.34.13.5-0.31.05.355.7%
2024-2.31.94.8-1.87.2-4.73.62.00.9-4.0-0.9-2.63.4%
202311.1-1.5-1.21.9-6.16.14.8-4.3-4.1-4.710.84.816.8%
2022-4.5-6.70.7-7.83.1-12.63.2-6.8-11.99.512.3-0.7-23.0%
20210.22.14.64.05.3-2.72.21.9-5.34.1-4.44.617.0%
2020-3.0-7.8-22.87.67.91.95.37.4-3.0-4.915.55.94.1%
20199.91.60.73.7-7.57.1-2.5-2.32.93.71.94.124.8%
20186.6-5.20.61.5-1.0-2.43.4-2.4-0.8-11.5-3.3-5.2-19.0%
20174.50.44.65.94.4-0.54.10.93.51.5-0.22.736.2%
2016———1.80.3-6.35.41.41.4-3.2-1.63.72.6%

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 18.8%. The dominant macroeconomic risk driver is VEA.US, accounting for 88.5% of variance. Idiosyncratic stock-specific factors contribute 3.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110179.256054881502
2016-05-0110213.696239428906
2016-06-019566.852018603271
2016-07-0110088.235567149077
2016-08-0110228.177826462317
2016-09-0110374.154080372808
2016-10-0110047.297234573862
2016-11-019889.160160782749
2016-12-0110258.162138076363
2017-01-0110715.028359774607
2017-02-0110753.692340540088
2017-03-0111244.488178012125
2017-04-0111913.147610073986
2017-05-0112434.020589846179
2017-06-0112370.385154516676
2017-07-0112879.004483722138
2017-08-0112989.287338822722
2017-09-0113438.216536858425
2017-10-0113634.22853058307
2017-11-0113612.831057434345
2017-12-0113976.21677821821
2018-01-0114892.22357342443
2018-02-0114119.361696202297
2018-03-0114207.179525263871
2018-04-0114414.98101612469
2018-05-0114275.224418183676
2018-06-0113938.295442941619
2018-07-0114406.626254374645
2018-08-0114058.093443368642
2018-09-0113947.3464348375
2018-10-0112348.987681367953
2018-11-0111936.633773660222
2018-12-0111320.609340623638
2019-01-0112438.754954837872
2019-02-0112643.400202370896
2019-03-0112727.133481243562
2019-04-0113199.038274091885
2019-05-0112214.940170622802
2019-06-0113085.413514291284
2019-07-0112762.641218681249
2019-08-0112469.574742626923
2019-09-0112836.302368110804
2019-10-0113314.333986242493
2019-11-0113568.318743443833
2019-12-0114131.011947309304
2020-01-0113702.598330904264
2020-02-0112638.990744780596
2020-03-019762.539104926525
2020-04-0110501.935519805427
2020-05-0111331.795438300085
2020-06-0111547.998106254003
2020-07-0112154.971547394709
2020-08-0113050.323514941098
2020-09-0112657.09272857236
2020-10-0112036.055438485746
2020-11-0113899.167308745578
2020-12-0114713.478087316545
2021-01-0114736.63934350139
2021-02-0115041.402486005774
2021-03-0115736.100925521941
2021-04-0116363.079379519693
2021-05-0117222.227379482563
2021-06-0116764.34002023709
2021-07-0117137.47296306267
2021-08-0117463.494332686612
2021-09-0116546.141492531773
2021-10-0117217.307353118646
2021-11-0116467.188993993856
2021-12-0117218.885474782546
2022-01-0116443.656415064564
2022-02-0115340.781448715688
2022-03-0115450.692981071823
2022-04-0114239.113281286263
2022-05-0114674.953352580229
2022-06-0112831.846495177448
2022-07-0113241.554728330997
2022-08-0112336.130631341497
2022-09-0110872.93335685044
2022-10-0111903.353972689212
2022-11-0113362.420281648301
2022-12-0113263.509185596391
2023-01-0114734.921975808324
2023-02-0114520.622336919692
2023-03-0114339.277591600681
2023-04-0114615.680959497971
2023-05-0113724.599203512713
2023-06-0114562.349730326858
2023-07-0115264.660286104174
2023-08-0114604.634107850692
2023-09-0114007.918457525322
2023-10-0113345.942834863494
2023-11-0114784.493562191918
2023-12-0115498.26870770402
2024-01-0115135.579217065995
2024-02-0115421.497730289726
2024-03-0116158.387716643616
2024-04-0115874.604309200451
2024-05-0117018.324777438433
2024-06-0116223.97259638146
2024-07-0116801.333048652567
2024-08-0117140.722037076575
2024-09-0117293.707007788496
2024-10-0116596.45572440426
2024-11-0116454.331943967398
2024-12-0116020.534147767887
2025-01-0116803.421739090074
2025-02-0117742.914697882534
2025-03-0118315.26229310361
2025-04-0119136.164050388496
2025-05-0120908.023356200625
2025-06-0121881.956499540487
2025-07-0121827.04714870548
2025-08-0122715.11190739211
2025-09-0123516.797712651893
2025-10-0123457.061166139083
2025-11-0123691.36581788476
2025-12-0124948.246892492785
2026-01-0126489.236281945363
2026-02-0127403.61854014463
2026-03-0125347.41884277267
2026-04-0127013.543997103683
Annual Return Matrix
YearAnnual Return
20170.36244841815680884
2018-0.1900090331836658
20190.24825541824861208
20200.04121899706681287
20210.17027975116405258
2022-0.22971151617094454
20230.1684893108480281
20240.03369830849585509
20250.5572668590434471
20260.0827832558139534
Total Factor Risk
0.18832234412839316
VTI.US Exposure
0.09913830794226997
VEA.US Exposure
0.8854670750235512
VWO.US Exposure
-0.019968286102012726
QQQ.US Exposure
-0.03586293147380135
VTV.US Exposure
-0.016334143735412233
IJR.US Exposure
-0.007000643103471592
QUAL.US Exposure
-0.08580459948239674
SHV.US Exposure
0.03807560673742262
TLT.US Exposure
-0.02533549247470382
LQD.US Exposure
-0.015858196008643383
HYG.US Exposure
0.09063346514739061
GLD.US Exposure
-0.04076817419239274
USO.US Exposure
0.0063784812954212015
VNQ.US Exposure
0.021258094485686746
BTC-USD.CC Exposure
0.003339021400642314
CPER.US Exposure
0.05000473553875134
VIX.INDX Exposure
-0.04155488969491077
UUP.US Exposure
0.05956322107290788
TIP.US Exposure
-0.00012630662457890145
Idiosyncratic Exposure
0.03475565424828028
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
18.8%

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
$35
Avg Yield on Cost
0.35%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$35.280.35%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 →
+3.3%
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 →
+11.4%
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 →
1.9% 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 →
1.16
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

First Trust Europe AlphaDEX® Fund (FEP.US) has an annualized volatility of 18.8% and experienced a maximum drawdown of 37.7% over the last 10 years. Its primary macro risk driver is VEA.US.

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

Over the past 10 years, FEP.US has generated a Compound Annual Growth Rate (CAGR) of 10.3%. 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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