First Trust Large Cap Core AlphaDEX® Fund

10-Year Study

FEX.US · · US · ETF

Executive Summary: First Trust Large Cap Core AlphaDEX® Fund has compounded at 12.5% annually over the last 10 years, with a maximum drawdown of 26.6% and an annualized volatility of 13.4%.

1Y CAGR
+25.1%
3Y CAGR
+20.0%
5Y CAGR
+10.0%
10Y CAGR
+12.5%

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 →
26.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.57
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.74
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +26.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -11.9%
% 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.
20263.83.5-4.34.9————————7.9%
20254.2-1.5-4.0-2.24.94.91.72.91.80.31.10.515.1%
20240.55.24.3-4.82.90.03.22.42.0-0.48.8-7.317.1%
20236.3-3.5-1.6-0.1-3.28.34.2-3.1-4.0-3.69.65.814.3%
2022-5.8-1.12.8-6.22.3-9.97.6-2.4-9.110.66.4-5.2-11.9%
20210.64.43.94.71.61.11.13.2-4.66.2-2.24.526.8%
2020-1.9-8.6-18.215.56.52.14.54.9-2.8-0.512.54.114.3%
20199.63.70.73.8-7.67.71.4-3.72.21.13.82.426.9%
20185.1-3.6-1.3-0.01.9-0.12.53.0-0.1-8.51.7-9.8-9.9%
20172.33.8-0.11.01.21.01.7-0.62.52.03.81.121.4%
2016———-0.41.60.14.20.3-0.4-1.95.51.210.5%

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 13.4%. The dominant macroeconomic risk driver is VTI.US, accounting for 95.9% of variance. Idiosyncratic stock-specific factors contribute 2.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019964.142564481033
2016-05-0110121.06019926453
2016-06-0110133.962768326357
2016-07-0110554.606878825281
2016-08-0110588.352059448525
2016-09-0110548.651846950592
2016-10-0110352.28848821082
2016-11-0110923.284429118577
2016-12-0111051.470307549402
2017-01-0111307.536678161065
2017-02-0111738.080392930307
2017-03-0111723.879932306047
2017-04-0111837.432719591801
2017-05-0111985.061522604945
2017-06-0112110.117191973433
2017-07-0112315.158609983588
2017-08-0112235.427349883572
2017-09-0112539.413912888573
2017-10-0112795.251243812749
2017-11-0113277.176195141814
2017-12-0113417.577523572001
2018-01-0114105.180114265357
2018-02-0113591.774930333762
2018-03-0113417.32303503035
2018-04-0113415.032638155468
2018-05-0113674.585501787784
2018-06-0113664.43140897581
2018-07-0114005.395157083052
2018-08-0114431.612566644188
2018-09-0114410.795403936938
2018-10-0113184.898649938286
2018-11-0113406.532720864243
2018-12-0112090.877858224434
2019-01-0113250.785733372355
2019-02-0113747.216531575665
2019-03-0113840.588377508302
2019-04-0114363.969512272712
2019-05-0113266.029597017394
2019-06-0114289.913346651567
2019-07-0114492.94430518266
2019-08-0113960.910560002036
2019-09-0114271.386580819199
2019-10-0114426.039267581978
2019-11-0114980.773390678083
2019-12-0115346.524322742369
2020-01-0115057.145402028273
2020-02-0113765.539706574713
2020-03-0111259.870974309382
2020-04-0112999.80913359376
2020-05-0113841.759024799909
2020-06-0114125.717339576786
2020-07-0114758.299507564672
2020-08-0115486.340327526754
2020-09-0115046.787718382979
2020-10-0114977.770425886574
2020-11-0116842.96784537276
2020-12-0117538.20509231572
2021-01-0117643.665143976894
2021-02-0118427.413505706903
2021-03-0119148.303197648525
2021-04-0120042.575933018612
2021-05-0120358.218071231346
2021-06-0120573.769866011782
2021-07-0120808.586443395387
2021-08-0121469.849470027613
2021-09-0120484.13900164145
2021-10-0121759.304737304203
2021-11-0121288.628179516218
2021-12-0122243.749125195634
2022-01-0120963.49361869982
2022-02-0120741.85954777386
2022-03-0121317.359935868888
2022-04-0119993.917723854483
2022-05-0120462.431129038414
2022-06-0118429.62755601929
2022-07-0119822.69783303007
2022-08-0119340.56929086768
2022-09-0117578.694219292778
2022-10-0119450.48289200779
2022-11-0120686.96636933922
2022-12-0119605.28827189556
2023-01-0120836.885569227245
2023-02-0120109.68456145262
2023-03-0119786.764050948605
2023-04-0119757.268828970977
2023-05-0119122.269019837382
2023-06-0120711.295473921284
2023-07-0121572.66284085559
2023-08-0120898.57359172403
2023-09-0120068.152031454785
2023-10-0119335.683110867933
2023-11-0121190.421051292167
2023-12-0122410.413671124457
2024-01-0122511.29292903587
2024-02-0123691.91617147438
2024-03-0124719.566351525023
2024-04-0123536.372774815813
2024-05-0124214.559289467994
2024-06-0124222.931962488386
2024-07-0124989.65504078179
2024-08-0125595.134179083587
2024-09-0126104.162160098742
2024-10-0126001.679624374912
2024-11-0128288.08102915166
2024-12-0126236.750690300174
2025-01-0127338.32979170113
2025-02-0126932.24242578478
2025-03-0125849.266436778686
2025-04-0125276.590871496013
2025-05-0126517.833284556364
2025-06-0127811.220399801496
2025-07-0128276.221863110615
2025-08-0129097.838119838656
2025-09-0129628.98115512349
2025-10-0129713.013271577445
2025-11-0130045.960630622605
2025-12-0130187.43081092774
2026-01-0131324.99459211849
2026-02-0132432.019748310835
2026-03-0131029.787883800534
2026-04-0132563.03044955401
Annual Return Matrix
YearAnnual Return
20170.21409886197733163
2018-0.09887773430165181
20190.2692646888582524
20200.14281284305694197
20210.26830248637824594
2022-0.11861583397879083
20230.14308003842259653
20240.17073924093181292
20250.15057810196321886
20260.07869499241274669
Total Factor Risk
0.13402020172039772
VTI.US Exposure
0.9592361220210964
VEA.US Exposure
0.06186893039111581
VWO.US Exposure
-0.023507608992138163
QQQ.US Exposure
-0.275275310955948
VTV.US Exposure
0.11154862518938452
IJR.US Exposure
0.11574761971835103
QUAL.US Exposure
0.03740407880024636
SHV.US Exposure
0.00009645480309469298
TLT.US Exposure
0.015193141781142196
LQD.US Exposure
0.038652747378405176
HYG.US Exposure
-0.04264785064146077
GLD.US Exposure
0.0009601598803821609
USO.US Exposure
-0.00007405917552366001
VNQ.US Exposure
0.015380506744300242
BTC-USD.CC Exposure
0.008451371163823702
CPER.US Exposure
0.00839680652657343
VIX.INDX Exposure
-0.027390419915687785
UUP.US Exposure
-0.016771756333593152
TIP.US Exposure
-0.014558599567778868
Idiosyncratic Exposure
0.02728904118421489
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
13.4%

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
$75
Avg Yield on Cost
0.75%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$74.820.75%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 →
+2.6%
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 →
+8.2%
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 →
1.02
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Large Cap Core AlphaDEX® Fund a high-risk investment?

First Trust Large Cap Core AlphaDEX® Fund (FEX.US) has an annualized volatility of 13.4% and experienced a maximum drawdown of 26.6% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FEX.US has generated a Compound Annual Growth Rate (CAGR) of 12.5%. 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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