First Trust Large Cap Value AlphaDEX® Fund

10-Year Study

FTA.US · · US · ETF

Executive Summary: First Trust Large Cap Value AlphaDEX® Fund has compounded at 10.9% annually over the last 10 years, with a maximum drawdown of 34.5% and an annualized volatility of 13.2%.

1Y CAGR
+29.2%
3Y CAGR
+17.5%
5Y CAGR
+9.1%
10Y CAGR
+10.9%

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 →
34.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.45
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.56
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
18.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +29.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -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 →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.75.2-2.71.9————————9.2%
20252.8-0.2-1.7-4.22.74.50.45.40.6-0.73.90.914.9%
2024-0.92.96.2-4.22.7-1.75.51.51.0-1.57.1-7.910.1%
20238.8-3.7-3.3-0.7-5.57.55.4-4.1-3.3-3.37.65.810.1%
2022-0.4-0.52.3-4.13.7-11.06.4-2.7-9.811.87.6-4.3-3.7%
20211.35.88.53.62.6-2.60.22.3-3.94.4-2.47.129.3%
2020-4.5-11.1-22.817.74.21.42.04.3-2.90.314.23.5-0.4%
20199.82.4-0.54.3-10.38.41.3-6.65.41.55.03.524.7%
20183.2-4.9-1.2-0.0-0.50.33.41.1-0.6-5.82.2-10.6-13.6%
20171.64.5-0.60.60.01.61.6-2.02.70.74.81.918.5%
2016———-0.10.7-1.95.21.80.10.57.72.216.9%

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 13.2%. The dominant macroeconomic risk driver is VTV.US, accounting for 78.0% of variance. Idiosyncratic stock-specific factors contribute 4.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019987.697667944793
2016-05-0110054.148220651756
2016-06-019860.663368085176
2016-07-0110377.301449041108
2016-08-0110565.158957504573
2016-09-0110573.959165836035
2016-10-0110623.61748427786
2016-11-0111443.114435634261
2016-12-0111690.77744153399
2017-01-0111880.34111283723
2017-02-0112409.13186244137
2017-03-0112337.173696356893
2017-04-0112407.246103513198
2017-05-0112412.244861306921
2017-06-0112610.189683402032
2017-07-0112808.70322644373
2017-08-0112549.875330381972
2017-09-0112893.23311871601
2017-10-0112978.990250925668
2017-11-0113596.232074065429
2017-12-0113850.36053914746
2018-01-0114299.11129868925
2018-02-0113591.772104536898
2018-03-0113423.520502390125
2018-04-0113423.400771664528
2018-05-0113357.249545771561
2018-06-0113390.863946983236
2018-07-0113843.865147283761
2018-08-0113992.301314344042
2018-09-0113905.077480745804
2018-10-0113098.212120940007
2018-11-0113380.716767988793
2018-12-0111963.374371039532
2019-01-0113133.053762089065
2019-02-0113453.962039373451
2019-03-0113387.39175594089
2019-04-0113966.319746889249
2019-05-0112525.540060404152
2019-06-0113577.943205730315
2019-07-0113760.233235453465
2019-08-0112851.387230119462
2019-09-0113544.029477704644
2019-10-0113740.986521313567
2019-11-0114421.206706117944
2019-12-0114921.800869843722
2020-01-0114248.46520176124
2020-02-0112664.128375283988
2020-03-019775.295360733711
2020-04-0111506.751316289667
2020-05-0111989.625332626923
2020-06-0112154.105416917353
2020-07-0112391.98043599944
2020-08-0112926.578125795088
2020-09-0112547.061658330416
2020-10-0112582.05296288647
2020-11-0114369.842224836344
2020-12-0114865.707024901001
2021-01-0115055.12103279724
2021-02-0115926.55118638183
2021-03-0117274.240233714376
2021-04-0117890.64394177495
2021-05-0118361.574818233796
2021-06-0117875.198678172794
2021-07-0117916.056788283153
2021-08-0118327.18216730573
2021-09-0117617.687820092615
2021-10-0118386.478809158205
2021-11-0117945.839806275686
2021-12-0119224.534022982312
2022-01-0119144.76342705256
2022-02-0119041.435810861374
2022-03-0119474.172585854416
2022-04-0118678.861241068837
2022-05-0119366.4747981789
2022-06-0117227.814644863705
2022-07-0118329.008060871103
2022-08-0117829.730935126903
2022-09-0116089.654367327881
2022-10-0117989.27212698641
2022-11-0119347.76687230419
2022-12-0118506.98778447272
2023-01-0120135.23585456309
2023-02-0119387.218146388775
2023-03-0118756.626347344823
2023-04-0118626.718510070856
2023-05-0117605.146026586208
2023-06-0118923.860238324014
2023-07-0119953.78393991912
2023-08-0119136.711535756087
2023-09-0118499.803940936836
2023-10-0117894.385526949893
2023-11-0119253.71838734686
2023-12-0120371.524441531
2024-01-0120196.11892852974
2024-02-0120777.02247645046
2024-03-0122055.507164387294
2024-04-0121140.105901826795
2024-05-0121715.142644193213
2024-06-0121348.527162411734
2024-07-0122530.08982797688
2024-08-0122858.690804380953
2024-09-0123086.1193176546
2024-10-0122749.256921184256
2024-11-0124358.168479090527
2024-12-0122434.963766489167
2025-01-0123067.77058395668
2025-02-0123021.793985327004
2025-03-0122626.532927446173
2025-04-0121682.78541560032
2025-05-0122270.124490021943
2025-06-0123282.298111547134
2025-07-0123384.937276066128
2025-08-0124643.037807969875
2025-09-0124792.252224746546
2025-10-0124609.6928008908
2025-11-0125568.46651879922
2025-12-0125787.00502569721
2026-01-0127002.271890518226
2026-02-0128406.1146481563
2026-03-0127642.83127246822
2026-04-0128160.666660680134
Annual Return Matrix
YearAnnual Return
20170.184725362227929
2018-0.13624094208771242
20190.24729030514716932
2020-0.0037591873415283583
20210.2932135680314434
2022-0.03732450615717331
20230.10074771101446411
20240.1012903737705304
20250.14941148530914705
20260.09204875217643638
Total Factor Risk
0.13164300252465924
VTI.US Exposure
-0.07428485046704737
VEA.US Exposure
0.0656385610582936
VWO.US Exposure
0.0033525306094061755
QQQ.US Exposure
-0.016252905506779384
VTV.US Exposure
0.7801064987725889
IJR.US Exposure
0.2164535702096013
QUAL.US Exposure
-0.04833021889237881
SHV.US Exposure
0.023244538371818824
TLT.US Exposure
0.0028758989029760503
LQD.US Exposure
0.023884882957853952
HYG.US Exposure
-0.02012866585541355
GLD.US Exposure
-0.014385955438717237
USO.US Exposure
0.002852921843164383
VNQ.US Exposure
0.027679324206436987
BTC-USD.CC Exposure
0.00933201330375114
CPER.US Exposure
0.034597668279612
VIX.INDX Exposure
-0.03714879656234036
UUP.US Exposure
-0.010908953105064548
TIP.US Exposure
-0.011564758491697885
Idiosyncratic Exposure
0.04298669580393584
Value Score
44.7
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
20.5
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
13.2%

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 →13.4x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.71%
Market Cap$45.2B
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
$108
Avg Yield on Cost
1.08%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$108.361.08%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 →
+1.1%
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 →
+9.9%
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 →
1.1% 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 →
0.82
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

First Trust Large Cap Value AlphaDEX® Fund (FTA.US) has an annualized volatility of 13.2% and experienced a maximum drawdown of 34.5% over the last 10 years. Its primary macro risk driver is VTV.US.

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

Over the past 10 years, FTA.US has generated a Compound Annual Growth Rate (CAGR) of 10.9%. It has had a positive return in 70% 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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