First Trust Institutional Preferred Securities and Income ETF

10-Year Study

FPEI.US · · US · ETF

Executive Summary: First Trust Institutional Preferred Securities and Income ETF has compounded at 4.9% annually over the last 10 years, with a maximum drawdown of 15.7% and an annualized volatility of 17.9%.

1Y CAGR
+8.1%
3Y CAGR
+10.7%
5Y CAGR
+4.0%
10Y CAGR
+4.9%

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 →
15.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.09
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.09
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
8.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +16.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -8.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
78%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.70.6-2.51.3————————0.1%
20250.51.4-0.5-1.12.12.00.41.61.30.90.30.59.8%
20241.60.71.3-1.12.60.81.41.82.0-1.20.9-0.211.0%
20235.1-1.4-7.91.3-0.31.22.9-0.5-0.5-1.45.13.46.3%
2022-1.1-2.0-0.7-2.4-0.9-4.44.1-0.5-5.31.42.41.4-8.2%
20210.30.20.11.50.61.00.80.20.1-0.0-1.00.94.6%
20201.3-2.9-13.16.93.02.42.42.6-0.70.53.72.27.1%
20192.81.61.21.9-0.32.31.00.80.62.00.70.916.4%
20180.5-0.8-1.60.5-1.0-0.71.60.2-0.6-0.5-2.10.2-4.3%
2017————————0.51.20.00.21.9%

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 17.9%. The dominant macroeconomic risk driver is SHV.US, accounting for 49.2% of variance. Idiosyncratic stock-specific factors contribute 4.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2017-08-0110000
2017-09-0110047.461629279811
2017-10-0110170.09051554506
2017-11-0110174.813065722157
2017-12-0110191.263282172373
2018-01-0110243.762298307753
2018-02-0110157.260920897284
2018-03-019991.02715466352
2018-04-0110040.535222353405
2018-05-019941.361668634396
2018-06-019872.333726879182
2018-07-0110032.979142070051
2018-08-0110056.277056277057
2018-09-019997.560015741834
2018-10-019944.037780401417
2018-11-019735.143644234553
2018-12-019753.640299094845
2019-01-0110021.959858323495
2019-02-0110179.14207005116
2019-03-0110302.400629673357
2019-04-0110499.900928964205
2019-05-0110472.484950426291
2019-06-0110716.008558277068
2019-07-0110820.424073514672
2019-08-0110905.601714643519
2019-09-0110966.185742783198
2019-10-0111181.12164001585
2019-11-0111255.981133050778
2019-12-0111352.63964680413
2020-01-0111501.660547778156
2020-02-0111164.034318379743
2020-03-019699.393988875412
2020-04-0110370.585544050233
2020-05-0110686.029181242082
2020-06-0110947.3509565201
2020-07-0111204.828759996219
2020-08-0111497.282878661053
2020-09-0111414.568051725144
2020-10-0111476.377857242782
2020-11-0111898.892735552947
2020-12-0112156.83667972209
2021-01-0112192.581639145359
2021-02-0112212.022183120649
2021-03-0112222.740416543682
2021-04-0112406.868992805104
2021-05-0112483.377618050303
2021-06-0112611.198500355882
2021-07-0112707.119896298362
2021-08-0112727.331336395611
2021-09-0112737.518875019985
2021-10-0112731.968723193531
2021-11-0112602.240492255141
2021-12-0112719.813034976389
2022-01-0112577.396169134783
2022-02-0112322.558328327537
2022-03-0112236.925805942696
2022-04-0111938.544719625486
2022-05-0111836.244477291175
2022-06-0111311.58398624857
2022-07-0111777.057369972297
2022-08-0111716.335226071722
2022-09-0111091.589599273093
2022-10-0111241.635859645947
2022-11-0111515.936012673406
2022-12-0111678.318862885013
2023-01-0112276.805230643233
2023-02-0112100.41489013768
2023-03-0111140.917192899726
2023-04-0111281.392931797429
2023-05-0111245.149554628315
2023-06-0111382.823945593054
2023-07-0111707.285641216471
2023-08-0111645.664994240935
2023-09-0111582.78479157635
2023-10-0111421.22913467185
2023-11-0111998.600304853913
2023-12-0112412.26376440055
2024-01-0112615.576169472986
2024-02-0112700.51135739113
2024-03-0112860.836733142864
2024-04-0112722.597869068373
2024-05-0113048.381422599063
2024-06-0113155.419636035425
2024-07-0113333.11607123641
2024-08-0113571.850665203938
2024-09-0113846.822631307494
2024-10-0113679.959275787245
2024-11-0113803.602906954846
2024-12-0113771.668141022388
2025-01-0113844.659318139542
2025-02-0114033.732288515226
2025-03-0113965.449057334712
2025-04-0113811.215787645118
2025-05-0114104.966993455762
2025-06-0114388.972030573592
2025-07-0114442.973791825774
2025-08-0114667.074120171377
2025-09-0114862.024516676503
2025-10-0115001.173143262988
2025-11-0115048.931171367694
2025-12-0115123.615767814099
2026-01-0115233.925223022125
2026-02-0115332.54624163715
2026-03-0114954.7422274695
2026-04-0115143.644234553323
Annual Return Matrix
YearAnnual Return
2018-0.04294099474822377
20190.16393872427894207
20200.07083788950742798
20210.04630944464305897
2022-0.0818796761577798
20230.06284679414329863
20240.10952106742371437
20250.098168763068331
20260.0013243173488874938
Total Factor Risk
0.17879743235102422
VTI.US Exposure
0.42281478655562754
VEA.US Exposure
0.07875739015920465
VWO.US Exposure
-0.007100463083935162
QQQ.US Exposure
-0.0696734238545585
VTV.US Exposure
-0.05899762853501083
IJR.US Exposure
0.001149570664861098
QUAL.US Exposure
0.011624225620235287
SHV.US Exposure
0.49169212189198563
TLT.US Exposure
0.028843956188238932
LQD.US Exposure
-0.011612756789390003
HYG.US Exposure
0.05763671805118679
GLD.US Exposure
-0.0007657635131981421
USO.US Exposure
0.0026033708626496677
VNQ.US Exposure
0.026182096484493125
BTC-USD.CC Exposure
-0.005698738118900406
CPER.US Exposure
0.00823304519179192
VIX.INDX Exposure
-0.014592830760537606
UUP.US Exposure
-0.001377771867000607
TIP.US Exposure
0.00021100472253704448
Idiosyncratic Exposure
0.04007109012971947
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
67.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
17.9%

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 →5.61%
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
$140
Avg Yield on Cost
1.40%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$140.021.40%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 →
-0.2%
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 →
1.5% 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 →
0.36
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

First Trust Institutional Preferred Securities and Income ETF (FPEI.US) has an annualized volatility of 17.9% and experienced a maximum drawdown of 15.7% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, FPEI.US has generated a Compound Annual Growth Rate (CAGR) of 4.9%. It has had a positive return in 78% 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.

Run a Full Backtest on First Trust Institutional Preferred Securities and Income ETF

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest