First Trust Mid Cap Core AlphaDEX® Fund

10-Year Study

FNX.US · · US · ETF

Executive Summary: First Trust Mid Cap Core AlphaDEX® Fund has compounded at 11.6% annually over the last 10 years, with a maximum drawdown of 33.3% and an annualized volatility of 16.3%.

1Y CAGR
+24.9%
3Y CAGR
+17.5%
5Y CAGR
+7.7%
10Y CAGR
+11.6%

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 →
33.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.47
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.63
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
20.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +27.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -13.6%
% 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.
20265.12.6-5.65.2————————7.1%
20254.2-4.6-5.0-3.85.73.92.05.81.4-0.81.7-0.29.9%
2024-2.76.25.3-6.54.7-1.97.2-0.31.4-1.89.9-8.112.2%
202310.3-2.9-4.1-0.5-2.911.04.8-3.4-5.3-6.29.510.920.4%
2022-6.20.71.2-6.02.4-11.210.6-3.1-10.211.24.7-5.7-13.6%
20212.26.63.74.50.91.3-0.92.9-4.05.3-3.54.025.0%
2020-2.9-9.4-24.216.97.83.23.64.8-2.42.115.86.916.0%
201912.54.6-1.44.2-8.27.51.4-5.12.52.13.62.127.0%
20183.2-4.10.5-0.95.20.71.74.6-1.5-10.11.9-11.5-11.2%
20171.82.2-0.30.5-1.32.31.3-0.43.82.53.40.717.7%
2016———0.91.7-0.54.60.5-0.3-3.38.81.814.7%

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 16.3%. The dominant macroeconomic risk driver is VTI.US, accounting for 66.5% of variance. Idiosyncratic stock-specific factors contribute 2.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110086.674473962816
2016-05-0110259.955988428417
2016-06-0110209.04372610327
2016-07-0110681.909625676863
2016-08-0110738.486298644812
2016-09-0110705.691159248612
2016-10-0110349.01311131241
2016-11-0111262.961272963903
2016-12-0111469.509961045938
2017-01-0111679.003243549429
2017-02-0111939.363832738045
2017-03-0111905.512235801323
2017-04-0111970.697913833523
2017-05-0111809.77920037403
2017-06-0112082.120467628567
2017-07-0112233.171418103186
2017-08-0112186.21525209999
2017-09-0112654.653021131398
2017-10-0112969.65719076701
2017-11-0113407.884769703496
2017-12-0113495.301011726677
2018-01-0113932.44965530263
2018-02-0113367.986639183784
2018-03-0113434.206296936498
2018-04-0113310.937931995604
2018-05-0113997.028432194531
2018-06-0114099.819503105311
2018-07-0114342.872170885377
2018-08-0114997.920801648974
2018-09-0114773.120123717923
2018-10-0113283.85215888222
2018-11-0113537.559313347554
2018-12-0111980.228509518234
2019-01-0113474.126905276218
2019-02-0114097.796499304312
2019-03-0113900.373806146785
2019-04-0114485.066860275621
2019-05-0113294.911246327685
2019-06-0114296.90502896267
2019-07-0114500.554078263272
2019-08-0113756.605669355764
2019-09-0114095.998273703422
2019-10-0114388.187456027763
2019-11-0114903.086879022123
2019-12-0115211.03301317425
2020-01-0114770.377829676565
2020-02-0113374.977241207238
2020-03-0110139.002838948665
2020-04-0111848.46352861314
2020-05-0112772.751487469737
2020-06-0113175.598977708745
2020-07-0113646.509306941374
2020-08-0114301.670326805024
2020-09-0113964.84019393863
2020-10-0114263.368121506104
2020-11-0116512.993303857416
2020-12-0117651.56232087987
2021-01-0118034.17977310888
2021-02-0119228.80847323903
2021-03-0119945.895887233273
2021-04-0120847.301425318565
2021-05-0121037.57617171256
2021-06-0121318.32414365125
2021-07-0121135.714333881046
2021-08-0121740.008047059564
2021-09-0120881.24293353533
2021-10-0121982.161602039185
2021-11-0121214.72387122007
2021-12-0122072.99447270406
2022-01-0120705.781070528654
2022-02-0120849.571685139686
2022-03-0121096.04098156144
2022-04-0119840.429955741172
2022-05-0120313.430722234833
2022-06-0118029.481908726564
2022-07-0119945.356419553005
2022-08-0119322.540982685336
2022-09-0117360.519507376095
2022-10-0119307.00880905766
2022-11-0120224.03643205067
2022-12-0119078.162123524613
2023-01-0121050.47844039894
2023-02-0120431.416799473118
2023-03-0119603.850900124304
2023-04-0119507.982997776944
2023-05-0118943.56493729812
2023-06-0121036.74449237215
2023-07-0122051.25842075332
2023-08-0121294.47517661947
2023-09-0120167.32489216266
2023-10-0118916.996154044995
2023-11-0120710.366545810917
2023-12-0122968.106221186245
2024-01-0122339.19929509557
2024-02-0123715.763470395585
2024-03-0124967.733089374062
2024-04-0123344.632184192247
2024-05-0124445.798108716222
2024-06-0123978.259452485257
2024-07-0125715.637594603522
2024-08-0125644.944850668602
2024-09-0125991.530357419815
2024-10-0125518.956669506362
2024-11-0128036.15782126986
2024-12-0125772.484001411605
2025-01-0126859.331554588505
2025-02-0125618.803145995684
2025-03-0124327.474864177773
2025-04-0123405.547076422343
2025-05-0124731.536156697377
2025-06-0125698.46454011504
2025-07-0126201.90027490374
2025-08-0127710.274386748875
2025-09-0128103.97340424336
2025-10-0127875.28406345039
2025-11-0128362.89541295127
2025-12-0128317.55764998887
2026-01-0129762.88147670286
2026-02-0130538.366267085952
2026-03-0128825.556382239825
2026-04-0130335.661286225815
Annual Return Matrix
YearAnnual Return
20170.17662402818960565
2018-0.11226666977579303
20190.26967803669931323
20200.16044467891114844
20210.2504838989007854
2022-0.13567857106487846
20230.20389511696543772
20240.12209878138052788
20250.09875158515717275
20260.0712668677567867
Total Factor Risk
0.16274944872540228
VTI.US Exposure
0.6647484495736155
VEA.US Exposure
0.05709675302462972
VWO.US Exposure
-0.005683922776009321
QQQ.US Exposure
-0.23805901907476448
VTV.US Exposure
-0.09690118490644245
IJR.US Exposure
0.5659553824157892
QUAL.US Exposure
0.0018004622588312842
SHV.US Exposure
0.01379812300344247
TLT.US Exposure
0.0022319947008536904
LQD.US Exposure
0.026474424317324538
HYG.US Exposure
-0.03261427638007481
GLD.US Exposure
0.005122718493216051
USO.US Exposure
0.0013564383992729898
VNQ.US Exposure
0.030394433296419113
BTC-USD.CC Exposure
0.012436970727333522
CPER.US Exposure
0.012179731338709537
VIX.INDX Exposure
-0.017882013756982413
UUP.US Exposure
-0.014376240560077755
TIP.US Exposure
-0.012665798358920805
Idiosyncratic Exposure
0.024586574263834298
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
16.3%

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
$71
Avg Yield on Cost
0.71%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$70.580.71%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 →
+2.0%
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 →
+7.0%
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 →
2.0% 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 →
1.24
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

First Trust Mid Cap Core AlphaDEX® Fund (FNX.US) has an annualized volatility of 16.3% and experienced a maximum drawdown of 33.3% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FNX.US has generated a Compound Annual Growth Rate (CAGR) of 11.6%. 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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