First Trust Global Tactical Commodity Strategy Fund

10-Year Study

FTGC.US · · US · ETF

Executive Summary: First Trust Global Tactical Commodity Strategy Fund has compounded at 7.8% annually over the last 10 years, with a maximum drawdown of 33.1% and an annualized volatility of 17.1%.

1Y CAGR
+45.4%
3Y CAGR
+18.6%
5Y CAGR
+13.1%
10Y CAGR
+7.8%

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 →
33.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.35
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.50
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +27.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -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.
20269.30.612.50.4————————24.1%
20253.9-0.23.4-5.3-0.73.40.92.52.12.42.3-0.714.6%
20242.9-0.13.61.10.50.1-3.2-0.53.7-0.60.61.810.0%
20230.7-4.30.3-1.6-5.45.07.30.0-1.1-1.0-1.7-3.1-5.4%
20227.36.87.62.70.0-8.31.3-0.6-5.94.02.40.217.4%
20212.97.4-2.07.54.30.81.4-1.01.64.4-5.94.527.9%
2020-6.9-5.3-14.40.94.92.96.25.1-2.20.06.96.52.2%
20194.20.8-0.6-0.5-3.43.1-0.9-2.51.21.9-1.44.76.4%
20181.5-1.30.62.11.7-4.5-3.0-2.61.5-2.4-3.9-3.0-12.8%
20171.4-0.5-1.7-0.8-0.7-1.22.11.0-1.22.8-0.72.22.7%
2016———5.7-1.32.9-3.5-1.50.0-0.6-0.1-0.11.2%

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 17.1%. The dominant macroeconomic risk driver is USO.US, accounting for 30.4% of variance. Idiosyncratic stock-specific factors contribute 9.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110570.192775480418
2016-05-0110431.31233276575
2016-06-0110733.77827779129
2016-07-0110356.969107273168
2016-08-0110203.265628800777
2016-09-0110203.265628800777
2016-10-0110143.821454633908
2016-11-0110128.922403308195
2016-12-0110118.964363901725
2017-01-0110257.844806616395
2017-02-0110208.206640720018
2017-03-0110039.680126489904
2017-04-019959.939795670152
2017-05-019885.976648017513
2017-06-019771.877280467039
2017-07-019980.159936755046
2017-08-0110084.301264899052
2017-09-019965.336900997323
2017-10-0110247.886767209924
2017-11-0110173.543541717343
2017-12-0110395.052906835319
2018-01-0110552.253101435173
2018-02-0110420.138044271467
2018-03-0110480.418389686209
2018-04-0110696.302602773047
2018-05-0110882.160666504498
2018-06-0110390.03587934809
2018-07-0110078.676112867915
2018-08-019812.469593772805
2018-09-019963.132449525663
2018-10-019727.104110921917
2018-11-019350.52298710776
2018-12-019069.569447822914
2019-01-019454.056190707855
2019-02-019529.919727560204
2019-03-019474.276331792751
2019-04-019428.732037341266
2019-05-019110.057420667956
2019-06-019388.265108662028
2019-07-019302.273338306735
2019-08-019069.589767047768
2019-09-019180.873277209965
2019-10-019352.858267802445
2019-11-019218.305603079307
2019-12-019650.003588190915
2020-01-018986.950123637762
2020-02-018507.508977548074
2020-03-017283.408489287609
2020-04-017347.162696051499
2020-05-017706.7428306778165
2020-06-017928.611007927978
2020-07-018421.82095745015
2020-08-018851.787783577041
2020-09-018660.522263521581
2020-10-018660.522263521581
2020-11-019257.272628936358
2020-12-019859.122228982007
2021-01-0110144.745337937007
2021-02-0110899.609673838058
2021-03-0110680.291113903331
2021-04-0111481.057985714535
2021-05-0111970.696876125015
2021-06-0112062.504847709119
2021-07-0112230.819462279977
2021-08-0112103.308873929353
2021-09-0112297.128360945939
2021-10-0112832.672687030366
2021-11-0112072.708391557497
2021-12-0112614.52200696347
2022-01-0113533.536896627913
2022-02-0114452.547436646666
2022-03-0115552.078421984064
2022-04-0115967.823356585734
2022-05-0115973.29376098217
2022-06-0114642.287680946743
2022-07-0114828.32347700063
2022-08-0114740.779608074865
2022-09-0113865.304671769825
2022-10-0114423.420759222856
2022-11-0114773.612183626767
2022-12-0114803.977060190404
2023-01-0114900.695781758799
2023-02-0114259.937876072916
2023-03-0114299.880672446481
2023-04-0114068.550565938129
2023-05-0113313.685505096131
2023-06-0113975.569639899555
2023-07-0115000.569446334523
2023-08-0115006.706796403467
2023-09-0114844.463562275247
2023-10-0114702.205500211834
2023-11-0114454.796203468524
2023-12-0114010.303010618098
2024-01-0114409.883211952902
2024-02-0114391.155087492582
2024-03-0114912.178846381059
2024-04-0115069.347493870651
2024-05-0115144.787748722343
2024-06-0115155.187751567732
2024-07-0114673.467391136352
2024-08-0114597.408036714747
2024-09-0115134.057172804498
2024-10-0115038.2315784845
2024-11-0115127.668993167417
2024-12-0115406.534927542612
2025-01-0116005.283955152061
2025-02-0115979.53115290199
2025-03-0116522.462627250356
2025-04-0115654.90404610157
2025-05-0115544.840611555488
2025-06-0116070.150221330758
2025-07-0116213.459447769315
2025-08-0116623.8441689987
2025-09-0116978.43163531356
2025-10-0117384.8654283743
2025-11-0117791.29922143504
2025-12-0117658.416095716013
2026-01-0119292.750517488596
2026-02-0119406.77450741912
2026-03-0121824.069569447824
2026-04-0121915.28825103381
Annual Return Matrix
YearAnnual Return
20170.027284268726007976
2018-0.1275109872832707
20190.06399798179034066
20200.02167031741283476
20210.27947719015813144
20220.1735662319997784
2023-0.05361221828062579
20240.0996575103241053
20250.14616402576984777
20260.24106760947549133
Total Factor Risk
0.17057844489543972
VTI.US Exposure
0.021665904577054203
VEA.US Exposure
0.004388366081523917
VWO.US Exposure
0.0012099372644859766
QQQ.US Exposure
0.017616899525451465
VTV.US Exposure
0.013552581709943704
IJR.US Exposure
-0.006519075340242552
QUAL.US Exposure
-0.00003203819552850314
SHV.US Exposure
0.2825038236335264
TLT.US Exposure
-0.011141221905770833
LQD.US Exposure
0.09301240020811415
HYG.US Exposure
0.01746919453723541
GLD.US Exposure
0.004978942509514739
USO.US Exposure
0.303879763444829
VNQ.US Exposure
-0.0006659763806481661
BTC-USD.CC Exposure
0.000011141250238504906
CPER.US Exposure
0.05954200565395188
VIX.INDX Exposure
0.0002951080352379601
UUP.US Exposure
0.0005235397633672665
TIP.US Exposure
0.10704635941174441
Idiosyncratic Exposure
0.09066234421597118
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
100
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
17.1%

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 →16.18%
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
$311
Avg Yield on Cost
3.11%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$310.93.11%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 →
+6.6%
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 →
+21.4%
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 →
0.4% 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 →
0.89
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Global Tactical Commodity Strategy Fund a high-risk investment?

First Trust Global Tactical Commodity Strategy Fund (FTGC.US) has an annualized volatility of 17.1% and experienced a maximum drawdown of 33.1% over the last 10 years. Its primary macro risk driver is USO.US.

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

Over the past 10 years, FTGC.US has generated a Compound Annual Growth Rate (CAGR) of 7.8%. 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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