First Trust Germany AlphaDEX® Fund

10-Year Study

FGM.US · · US · ETF

Executive Summary: First Trust Germany AlphaDEX® Fund has compounded at 8.2% annually over the last 10 years, with a maximum drawdown of 49.0% and an annualized volatility of 22.3%.

1Y CAGR
+19.8%
3Y CAGR
+23.6%
5Y CAGR
+4.5%
10Y CAGR
+8.2%

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 →
49.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.29
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.43
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
21.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +63.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -30.5%
% 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.
20267.23.9-13.66.9————————2.9%
20258.95.14.49.39.23.6-1.63.32.6-1.11.06.263.6%
2024-2.92.63.9-4.14.9-6.61.53.03.5-3.70.5-0.51.4%
202313.2-1.9-2.54.0-7.57.53.3-4.0-6.0-7.312.14.413.3%
2022-4.8-8.5-5.8-6.41.7-16.62.3-5.1-12.310.711.91.2-30.5%
2021-0.2-0.25.43.85.3-2.10.22.5-6.21.4-5.01.86.1%
2020-3.8-8.9-19.512.112.43.36.08.1-4.1-5.216.75.217.3%
20199.80.6-0.94.6-5.34.5-2.6-4.53.04.03.53.520.8%
20185.6-7.3-0.31.6-2.2-5.95.8-0.3-4.3-10.8-2.4-6.6-25.1%
20174.50.24.03.95.91.03.92.94.12.33.51.244.3%
2016———1.6-1.1-4.76.41.00.8-2.6-5.75.50.6%

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 22.3%. The dominant macroeconomic risk driver is VEA.US, accounting for 76.3% of variance. Idiosyncratic stock-specific factors contribute 10.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110158.49350809223
2016-05-0110047.154810713957
2016-06-019571.503311779128
2016-07-0110183.558392974994
2016-08-0110289.494291156165
2016-09-0110376.212637762832
2016-10-0110110.51801901922
2016-11-019532.0423606813
2016-12-0110060.69600363834
2017-01-0110511.82973659644
2017-02-0110528.482668298904
2017-03-0110949.046132382258
2017-04-0111381.235873218871
2017-05-0112048.926108172247
2017-06-0112171.54913298751
2017-07-0112641.661052998725
2017-08-0113013.872883761169
2017-09-0113545.672460427915
2017-10-0113851.85387821817
2017-11-0114336.669618829097
2017-12-0114515.269746718142
2018-01-0115328.903949856554
2018-02-0114211.721338663181
2018-03-0114169.935132214701
2018-04-0114393.911934373087
2018-05-0114070.735635564099
2018-06-0113247.048122527282
2018-07-0114009.047978908566
2018-08-0113961.27765942532
2018-09-0113357.258387161854
2018-10-0111921.208038544526
2018-11-0111636.124893568274
2018-12-0110865.747278938316
2019-01-0111929.859356246217
2019-02-0111996.163328671422
2019-03-0111882.260011421109
2019-04-0112428.729213755936
2019-05-0111774.135637615793
2019-06-0112298.480719187803
2019-07-0111983.9557380805
2019-08-0111440.153740412596
2019-09-0111784.08636271932
2019-10-0112253.309214508226
2019-11-0112678.283824771495
2019-12-0113122.134037292992
2020-01-0112622.68286594561
2020-02-0111499.618726512357
2020-03-019251.814895996116
2020-04-0110373.579628027534
2020-05-0111656.23151336509
2020-06-0112042.907800205856
2020-07-0112759.736151907566
2020-08-0113788.969398955685
2020-09-0113224.240103131913
2020-10-0112530.253965757196
2020-11-0114626.266494780144
2020-12-0115386.351434990307
2021-01-0115348.83959499523
2021-02-0115317.346062966546
2021-03-0116148.453876166475
2021-04-0116754.866793643847
2021-05-0117646.773195276997
2021-06-0117274.21941519828
2021-07-0117310.19248327013
2021-08-0117744.16036055136
2021-09-0116645.203647915307
2021-10-0116876.976894484702
2021-11-0116040.261112497905
2021-12-0116324.626163909985
2022-01-0115536.2620152441
2022-02-0114223.245030621561
2022-03-0113395.727685242493
2022-04-0112531.997907270184
2022-05-0112745.613645145517
2022-06-0110635.034075249365
2022-07-0110880.964023512433
2022-08-0110322.868544424346
2022-09-019049.586070352652
2022-10-0110019.627890754033
2022-11-0111216.142743322585
2022-12-0111351.657257361314
2023-01-0112852.575391275504
2023-02-0112608.32099466217
2023-03-0112296.736777674814
2023-04-0112785.074596243347
2023-05-0111820.880109150223
2023-06-0112712.034222287572
2023-07-0113129.314972934711
2023-08-0112603.87565355063
2023-09-0111847.99668993062
2023-10-0110983.924962642035
2023-11-0112315.373015411657
2023-12-0112859.345987737697
2024-01-0112489.014878214752
2024-02-0112816.362958682264
2024-03-0113310.069381516272
2024-04-0112762.403356574488
2024-05-0113389.7093772761
2024-06-0112510.55768513991
2024-07-0112703.348709654254
2024-08-0113086.537113469043
2024-09-0113540.953559863357
2024-10-0113039.245523028578
2024-11-0113097.992415564166
2024-12-0113034.800181917037
2025-01-0114197.359467379747
2025-02-0114924.65146815939
2025-03-0115581.946443898085
2025-04-0117027.81073789243
2025-05-0118588.638392017532
2025-06-0119260.090069449903
2025-07-0118961.32895182276
2025-08-0119582.308910173335
2025-09-0120096.53229198368
2025-10-0119881.138417663733
2025-11-0120083.57241289696
2025-12-0121323.959362743255
2026-01-0122869.570272294237
2026-02-0123762.05798776505
2026-03-0120523.797962665976
2026-04-0121939.468132033468
Annual Return Matrix
YearAnnual Return
20170.442769937732822
2018-0.2514264310248159
20190.20766052259731427
20200.17254947947204546
20210.06098097608676323
2022-0.3046298798279845
20230.1328166184191899
20240.013644099345849092
20250.6359252972919087
20260.028864656831302016
Total Factor Risk
0.22293225792624075
VTI.US Exposure
0.38030459430937036
VEA.US Exposure
0.7632544715742605
VWO.US Exposure
0.0322048163941803
QQQ.US Exposure
-0.12520082696119725
VTV.US Exposure
-0.10221939080529313
IJR.US Exposure
-0.042612471368478566
QUAL.US Exposure
-0.09531080183749245
SHV.US Exposure
0.013169347488291025
TLT.US Exposure
-0.043021987427355746
LQD.US Exposure
0.13679490445378276
HYG.US Exposure
-0.014627760479007074
GLD.US Exposure
-0.00862925416415216
USO.US Exposure
0.012790768902238583
VNQ.US Exposure
-0.0045586665839773355
BTC-USD.CC Exposure
0.001133298346901929
CPER.US Exposure
0.01668532374738549
VIX.INDX Exposure
-0.017972723587973697
UUP.US Exposure
0.00840410991636114
TIP.US Exposure
-0.011074125352413752
Idiosyncratic Exposure
0.10048637343456901
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
22.3%

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
$0
Avg Yield on Cost
0.00%

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 →
-0.7%
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 →
+6.5%
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 →
8.5% 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 →
1.27
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

First Trust Germany AlphaDEX® Fund (FGM.US) has an annualized volatility of 22.3% and experienced a maximum drawdown of 49.0% over the last 10 years. Its primary macro risk driver is VEA.US.

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

Over the past 10 years, FGM.US has generated a Compound Annual Growth Rate (CAGR) of 8.2%. 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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