First Trust Long/Short Equity ETF

10-Year Study

FTLS.US · · US · ETF

Executive Summary: First Trust Long/Short Equity ETF has compounded at 9.5% annually over the last 10 years, with a maximum drawdown of 12.7% and an annualized volatility of 8.0%.

1Y CAGR
+12.2%
3Y CAGR
+14.0%
5Y CAGR
+9.8%
10Y CAGR
+9.5%

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 →
12.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.60
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.85
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
8.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +19.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -5.6%
% 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.
20261.0-0.6-1.32.6————————1.7%
20252.7-1.7-3.3-0.93.11.50.71.43.61.50.8-0.59.1%
20243.23.92.5-3.93.52.50.51.20.10.63.8-0.318.8%
20233.0-2.13.41.6-0.73.42.4-0.9-0.5-0.44.52.216.9%
2022-4.0-0.71.9-1.62.2-4.53.1-1.9-4.74.54.3-3.5-5.6%
20212.91.5-0.23.12.51.40.81.5-2.94.2-0.23.719.6%
20200.7-6.6-6.56.03.4-0.25.03.2-4.1-1.92.62.12.6%
20193.21.51.11.7-3.44.71.6-0.91.51.71.41.116.2%
20183.8-3.2-1.3-0.81.8-0.71.82.5-0.2-5.00.8-4.1-4.8%
2017-0.52.3-0.71.71.30.61.2-0.62.41.92.71.214.4%
2016———-0.90.40.24.3-1.10.9-1.74.91.68.7%

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 8.0%. The dominant macroeconomic risk driver is VTI.US, accounting for 58.2% of variance. Idiosyncratic stock-specific factors contribute 11.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019912.83571523384
2016-05-019950.17238856007
2016-06-019965.284041209885
2016-07-0110391.20120620939
2016-08-0110278.476445902666
2016-09-0110374.830249172093
2016-10-0110195.940955641854
2016-11-0110698.539547263055
2016-12-0110874.195491690292
2017-01-0110820.52189658048
2017-02-0111069.625918526412
2017-03-0110996.892581335747
2017-04-0111179.832070058166
2017-05-0111324.958391902333
2017-06-0111396.840847750098
2017-07-0111532.709580583569
2017-08-0111466.34083583776
2017-09-0111744.5449997107
2017-10-0111962.200447223235
2017-11-0112290.436434058398
2017-12-0112441.450854795397
2018-01-0112916.446855653088
2018-02-0112501.625183364931
2018-03-0112337.57526045478
2018-04-0112240.472681603607
2018-05-0112462.450606338047
2018-06-0112380.731962166412
2018-07-0112603.186380452873
2018-08-0112917.774230548
2018-09-0112887.550925248372
2018-10-0112248.641142495399
2018-11-0112346.458461674603
2018-12-0111842.260213128759
2019-01-0112222.195750358222
2019-02-0112407.381565825883
2019-03-0112542.535558331318
2019-04-0112750.456923281135
2019-05-0112321.816937984364
2019-06-0112907.01909037381
2019-07-0113115.519054636792
2019-08-0113000.037438779087
2019-09-0113191.349599915591
2019-10-0113416.560873753035
2019-11-0113609.608832829046
2019-12-0113756.743234642443
2020-01-0113846.93665698931
2020-02-0112928.937793766783
2020-03-0112083.808408749783
2020-04-0112809.440017970615
2020-05-0113248.018297352397
2020-06-0113222.21957503582
2020-07-0113876.887680259213
2020-08-0114325.131971696283
2020-09-0113733.83750889171
2020-10-0113474.11448778645
2020-11-0113822.567415328796
2020-12-0114109.416533645552
2021-01-0114518.758530085463
2021-02-0114737.537140970619
2021-03-0114703.161534717661
2021-04-0115154.196716959426
2021-05-0115529.537494937256
2021-06-0115742.80239472045
2021-07-0115866.384400962517
2021-08-0116110.723487388237
2021-09-0115644.78086401895
2021-10-0116308.093923686156
2021-11-0116282.227130862148
2021-12-0116881.826195573376
2022-01-0116208.745018089736
2022-02-0116101.942391929562
2022-03-0116402.882105284654
2022-04-0116133.322895855528
2022-05-0116483.783903367108
2022-06-0115739.535010363734
2022-07-0116231.378461810744
2022-08-0115930.43874845565
2022-09-0115174.651904442622
2022-10-0115851.885382879587
2022-11-0116529.11886131655
2022-12-0115942.351087256178
2023-01-0116421.87377685807
2023-02-0116079.342983462271
2023-03-0116618.49543757424
2023-04-0116889.960621211452
2023-05-0116768.965294251786
2023-06-0117334.12068220263
2023-07-0117754.422030339025
2023-08-0117603.37357434831
2023-09-0117520.361590535475
2023-10-0117457.736723698406
2023-11-0118235.68051788042
2023-12-0118643.35478688826
2024-01-0119233.21976903677
2024-02-0119978.83007218877
2024-03-0120475.336353394847
2024-04-0119678.3668523857
2024-05-0120372.37971090455
2024-06-0120886.414147774267
2024-07-0120996.55222879859
2024-08-0121256.85384921702
2024-09-0121269.548998853013
2024-10-0121386.834483157654
2024-11-0122204.531453679723
2024-12-0122148.747672839527
2025-01-0122747.83620874502
2025-02-0122357.41781337109
2025-03-0121617.28718606733
2025-04-0121431.726982808792
2025-05-0122106.441852470787
2025-06-0122434.813980320814
2025-07-0122593.928791442177
2025-08-0122901.947837570155
2025-09-0123736.66243495012
2025-10-0124086.17045535766
2025-11-0124283.847208939023
2025-12-0124161.626612845586
2026-01-0124410.083964970916
2026-02-0124251.820035192453
2026-03-0123947.204514436053
2026-04-0124563.242606692012
Annual Return Matrix
YearAnnual Return
20170.14412609781594887
2018-0.048160833383486645
20190.16166533981335918
20200.025636394674794838
20210.19649357259506006
2022-0.05565008769984481
20230.16942317258281792
20240.18802371815702323
20250.09088003392961119
20260.0166220594449924
Total Factor Risk
0.0802382770492762
VTI.US Exposure
0.5820859465849607
VEA.US Exposure
0.11814843157951875
VWO.US Exposure
0.016951587449328762
QQQ.US Exposure
-0.20153640282769406
VTV.US Exposure
-0.06278306231992643
IJR.US Exposure
-0.023278383058871865
QUAL.US Exposure
0.2736603314955357
SHV.US Exposure
0.1446102164939176
TLT.US Exposure
-0.00983481943873465
LQD.US Exposure
-0.029236833971140557
HYG.US Exposure
0.030398578970159382
GLD.US Exposure
0.00435091600517888
USO.US Exposure
-0.0007870039736849229
VNQ.US Exposure
-0.10196643632073507
BTC-USD.CC Exposure
0.000824248660094887
CPER.US Exposure
-0.027647206846343766
VIX.INDX Exposure
0.04066479869272291
UUP.US Exposure
-0.007345939502550159
TIP.US Exposure
0.13697592482390067
Idiosyncratic Exposure
0.1157451075043632
Value Score
43.5
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
12.8
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
8.0%

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 →16.2x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.07%
Market Cap$171.5B
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
$21
Avg Yield on Cost
0.21%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$21.440.21%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 →
+1.9%
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 →
+3.7%
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 →
0.5% 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 →
0.54
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Long/Short Equity ETF a high-risk investment?

First Trust Long/Short Equity ETF (FTLS.US) has an annualized volatility of 8.0% and experienced a maximum drawdown of 12.7% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FTLS.US has generated a Compound Annual Growth Rate (CAGR) of 9.5%. 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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