First Trust Preferred Securities and Income ETF

10-Year Study

FPE.US · · US · ETF

Executive Summary: First Trust Preferred Securities and Income ETF has compounded at 5.0% annually over the last 10 years, with a maximum drawdown of 18.1% and an annualized volatility of 15.9%.

1Y CAGR
+8.9%
3Y CAGR
+10.8%
5Y CAGR
+3.1%
10Y CAGR
+5.0%

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 →
18.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.14
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.13
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
9.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +18.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -12.8%
% 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.
20260.80.6-3.11.9————————0.1%
20250.80.9-0.9-1.42.12.01.21.31.41.10.40.49.6%
20242.00.51.7-1.41.91.21.61.62.4-0.80.7-0.711.2%
20237.9-2.0-8.80.6-0.31.42.40.1-0.8-2.35.73.76.8%
2022-1.9-2.8-0.6-3.80.3-4.85.0-1.7-4.8-0.73.2-0.3-12.8%
2021-0.20.40.81.20.71.40.60.3-0.00.0-1.31.35.2%
20201.2-2.6-15.99.93.40.34.31.7-0.70.34.71.46.0%
20194.81.41.41.5-0.11.91.60.50.91.10.51.418.1%
2018-0.60.1-0.90.2-1.30.51.21.0-0.5-1.5-1.6-1.5-5.0%
20171.81.90.51.41.31.21.10.00.50.7-0.00.411.3%
2016———1.81.50.03.11.2-0.10.3-3.11.46.2%

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 15.9%. The dominant macroeconomic risk driver is VTI.US, accounting for 52.1% of variance. Idiosyncratic stock-specific factors contribute 5.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110177.2630363743
2016-05-0110334.975002560259
2016-06-0110339.257617934847
2016-07-0110662.222677379414
2016-08-0110785.115118563277
2016-09-0110779.156697172542
2016-10-0110813.417620169257
2016-11-0110479.280520617069
2016-12-0110624.14464067926
2017-01-0110818.165737214997
2017-02-0111026.151883885263
2017-03-0111076.42606436957
2017-04-0111228.645110835949
2017-05-0111371.554123879307
2017-06-0111510.646023219224
2017-07-0111641.079591475735
2017-08-0111641.265792144193
2017-09-0111701.874109728054
2017-10-0111777.937082794127
2017-11-0111776.819878783364
2017-12-0111819.925333531948
2018-01-0111747.865674837773
2018-02-0111753.917196562736
2018-03-0111651.599929243748
2018-04-0111676.271517814752
2018-05-0111521.259461321468
2018-06-0111576.188658517285
2018-07-0111713.88405284375
2018-08-0111826.34925659383
2018-09-0111763.506530988449
2018-10-0111591.550213665267
2018-11-0111407.863254229083
2018-12-0111231.065719525934
2019-01-0111768.254648034186
2019-02-0111931.552634273956
2019-03-0112096.433326195642
2019-04-0112272.29985755649
2019-05-0112254.983195389672
2019-06-0112486.43062628595
2019-07-0112688.923853236633
2019-08-0112752.3251808474
2019-09-0112872.145311001668
2019-10-0113019.616240422305
2019-11-0113080.131457671932
2019-12-0113269.125136159239
2020-01-0113425.719898334437
2020-02-0113076.128143300035
2020-03-0110990.866857212019
2020-04-0112077.068456675759
2020-05-0112485.034121272496
2020-06-0112523.76386031226
2020-07-0113061.232089823203
2020-08-0113285.603895317985
2020-09-0113198.368882144288
2020-10-0113241.28813622441
2020-11-0113869.62229194403
2020-12-0114065.13299382745
2021-01-0114037.29599389262
2021-02-0114092.50449209113
2021-03-0114202.549087151225
2021-04-0114371.991695450186
2021-05-0114476.07786911955
2021-06-0114676.05738704602
2021-07-0114762.268296543183
2021-08-0114801.184236251407
2021-09-0114796.156818202977
2021-10-0114799.508430235266
2021-11-0114613.028460772175
2021-12-0114802.022139259481
2022-01-0114515.459310498925
2022-02-0114109.262552252563
2022-03-0114018.582826712347
2022-04-0113481.300797869864
2022-05-0113516.492724208882
2022-06-0112866.838591950545
2022-07-0113515.74792153504
2022-08-0113279.459273258792
2022-09-0112640.51167943693
2022-10-0112548.15614788057
2022-11-0112955.563210471926
2022-12-0112911.15435104412
2023-01-0113935.258027576321
2023-02-0113658.936235581088
2023-03-0112458.31432534843
2023-04-0112535.308301756804
2023-05-0112491.737345337071
2023-06-0112663.32126132333
2023-07-0112970.273063280298
2023-08-0112978.372792358326
2023-09-0112873.169414678197
2023-10-0112583.441174553818
2023-11-0113300.965450465967
2023-12-0113794.117920883338
2024-01-0114073.512023908168
2024-02-0114137.751254527004
2024-03-0114375.995009822087
2024-04-0114181.880812952119
2024-05-0114445.727160160504
2024-06-0114618.893781828678
2024-07-0114852.20321940956
2024-08-0115092.495182057704
2024-09-0115459.869100930073
2024-10-0115341.631676457719
2024-11-0115445.438549124392
2024-12-0115335.207753395835
2025-01-0115460.800104272377
2025-02-0115605.664224334565
2025-03-0115458.938097587774
2025-04-0115247.507238550988
2025-05-0115567.679287968644
2025-06-0115873.234584912161
2025-07-0116058.504250030259
2025-08-0116272.355717757027
2025-09-0116501.382539963317
2025-10-0116675.945666644944
2025-11-0116748.5639273445
2025-12-0116814.758264982174
2026-01-0116951.89505730326
2026-02-0117046.6711975496
2026-03-0116525.30932586048
2026-04-0116832.54042882014
Annual Return Matrix
YearAnnual Return
20170.1125531262323094
2018-0.0498192329807261
20190.18146625329509103
20200.05998947553060874
20210.05239119642561629
2022-0.12774388326309827
20230.0683876550331699
20240.1117207958748414
20250.09648063041458999
20260.0010575331240414432
Total Factor Risk
0.15906549703141376
VTI.US Exposure
0.521238433939042
VEA.US Exposure
0.10787760838946746
VWO.US Exposure
-0.004493399785345341
QQQ.US Exposure
-0.10539425299999886
VTV.US Exposure
-0.08571225965014878
IJR.US Exposure
0.010496844366596083
QUAL.US Exposure
0.04103452362776124
SHV.US Exposure
0.30610185749967184
TLT.US Exposure
0.02943416480950626
LQD.US Exposure
-0.01414693010674548
HYG.US Exposure
0.11016020987884653
GLD.US Exposure
-0.0024639076242724037
USO.US Exposure
0.0037409822678425623
VNQ.US Exposure
0.044769957863098
BTC-USD.CC Exposure
-0.007991645680183622
CPER.US Exposure
0.005959631110244638
VIX.INDX Exposure
-0.020357461346454782
UUP.US Exposure
0.00012308142489930932
TIP.US Exposure
0.00046367033316499886
Idiosyncratic Exposure
0.05915889168300836
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
69.5
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
15.9%

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 →5.79%
Market Cap$48.0B
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
$170
Avg Yield on Cost
1.70%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$170.471.70%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 →
-0.0%
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 →
+1.4%
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 →
1.7% 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 →
0.41
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Preferred Securities and Income ETF a high-risk investment?

First Trust Preferred Securities and Income ETF (FPE.US) has an annualized volatility of 15.9% and experienced a maximum drawdown of 18.1% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FPE.US has generated a Compound Annual Growth Rate (CAGR) of 5.0%. 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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