First Trust Enhanced Short Maturity ETF

10-Year Study

FTSM.US · · US · ETF

Executive Summary: First Trust Enhanced Short Maturity ETF has compounded at 2.4% annually over the last 10 years, with a maximum drawdown of 1.7% and an annualized volatility of 4.7%.

1Y CAGR
+3.3%
3Y CAGR
+4.6%
5Y CAGR
+3.3%
10Y CAGR
+2.4%

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 →
1.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-2.31
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-1.29
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
0.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · +5.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · -0.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
90%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.30.0-0.30.2————————0.3%
20250.40.40.40.40.30.50.30.50.40.40.30.44.7%
20240.50.30.40.30.50.40.60.60.50.30.40.35.2%
20230.40.30.50.40.30.30.50.40.30.40.60.65.1%
2022-0.0-0.1-0.20.00.1-0.10.20.20.00.20.40.41.0%
20210.0-0.00.00.00.1-0.00.00.00.0-0.1-0.0-0.0-0.0%
20200.20.2-1.71.00.60.30.20.1-0.00.10.10.01.1%
20190.30.30.30.20.30.20.20.20.20.20.10.22.8%
20180.20.10.10.20.20.20.20.20.20.10.10.11.9%
20170.10.20.10.10.10.10.10.10.10.20.10.11.5%
2016———0.20.10.10.10.10.10.00.20.11.0%

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 4.7%. The dominant macroeconomic risk driver is SHV.US, accounting for 99.1% of variance. Idiosyncratic stock-specific factors contribute 0.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110017.561315780522
2016-05-0110025.087593972174
2016-06-0110031.763445249515
2016-07-0110045.242711841342
2016-08-0110060.231486206076
2016-09-0110068.671973330609
2016-10-0110072.009898969281
2016-11-0110087.147498044016
2016-12-0110098.947171480082
2017-01-0110107.36639793176
2017-02-0110125.926965336597
2017-03-0110135.217879375447
2017-04-0110146.209647242917
2017-05-0110158.902268939008
2017-06-0110173.29574446372
2017-07-0110187.710480661292
2017-08-0110199.616457461645
2017-09-0110210.246793890532
2017-10-0110228.105759091064
2017-11-0110239.20383032282
2017-12-0110245.582032180153
2018-01-0110268.224648773683
2018-02-0110277.217913392522
2018-03-0110286.211178011361
2018-04-0110309.81052488349
2018-05-0110327.435622682586
2018-06-0110344.67802837024
2018-07-0110368.404939279519
2018-08-0110393.917746708847
2018-09-0110410.819981630779
2018-10-0110424.277987549749
2018-11-0110434.525631867198
2018-12-0110443.944109943192
2019-01-0110478.854134775656
2019-02-0110506.15283872504
2019-03-0110533.494064020137
2019-04-0110559.15569615947
2019-05-0110588.70803143178
2019-06-0110612.711331088205
2019-07-0110636.587066707489
2019-08-0110658.868251862434
2019-09-0110678.38554954587
2019-10-0110701.410858250842
2019-11-0110714.868864169812
2019-12-0110738.78712113481
2020-01-0110763.981018471271
2020-02-0110780.62812531891
2020-03-0110600.295098139266
2020-04-0110705.152736673808
2020-05-0110773.484539238696
2020-06-0110810.584413375514
2020-07-0110831.313569411845
2020-08-0110838.159506072046
2020-09-0110837.245297139161
2020-10-0110847.195292036602
2020-11-0110854.95543762969
2020-12-0110859.483960948395
2021-01-0110861.099772085587
2021-02-0110860.20682382556
2021-03-0110861.099772085587
2021-04-0110863.82113821138
2021-05-0110869.263870462974
2021-06-0110867.435452597203
2021-07-0110870.7095962173
2021-08-0110873.239616287376
2021-09-0110876.683845290336
2021-10-0110865.62829540429
2021-11-0110861.82263496275
2021-12-0110858.548491342652
2022-01-0110854.360138789672
2022-02-0110844.750314657957
2022-03-0110820.045412797223
2022-04-0110823.319556417322
2022-05-0110830.952137973261
2022-06-0110815.66571418852
2022-07-0110836.246045514848
2022-08-0110854.317617443956
2022-09-0110857.974453175493
2022-10-0110877.57679355036
2022-11-0110923.265979521719
2022-12-0110969.444160968804
2023-01-0111013.92148858727
2023-02-0111045.599891145355
2023-03-0111095.41364765112
2023-04-0111137.190869816646
2023-05-0111172.568629451984
2023-06-0111202.4186141443
2023-07-0111257.122325407354
2023-08-0111307.701466135999
2023-09-0111343.2493111542
2023-10-0111391.744905942782
2023-11-0111463.244548763478
2023-12-0111531.236180562642
2024-01-0111590.234547742966
2024-02-0111619.382930230975
2024-03-0111667.899785692418
2024-04-0111702.93737456203
2024-05-0111761.935741742353
2024-06-0111810.32503316665
2024-07-0111883.079055685952
2024-08-0111952.154981800863
2024-09-0112011.472259074055
2024-10-0112043.767221145014
2024-11-0112091.136000272136
2024-12-0112133.23213253053
2025-01-0112181.153689151954
2025-02-0112234.751845426405
2025-03-0112280.164642650609
2025-04-0112330.063441847808
2025-05-0112362.507228628772
2025-06-0112421.441813790521
2025-07-0112453.183998367178
2025-08-0112520.877980746334
2025-09-0112565.397829710513
2025-10-0112609.47120454468
2025-11-0112651.588597475931
2025-12-0112698.064428343028
2026-01-0112741.521243664318
2026-02-0112743.647310950095
2026-03-0112709.630234377659
2026-04-0112730.890907235433
Annual Return Matrix
YearAnnual Return
20170.014519816591790358
20180.01936074272208299
20190.02823100239601173
20200.011239336291157587
2021-0.00008614309935051079
20220.01021275262661181
20230.051214264948153954
20240.052205673575798306
20250.04655250057386784
20260.002585156113961151
Total Factor Risk
0.04682229323632925
VTI.US Exposure
0.0047814765658646015
VEA.US Exposure
-0.000275379243764484
VWO.US Exposure
0.0009433899657665356
QQQ.US Exposure
-0.0012030601925805892
VTV.US Exposure
-0.0003031493342911672
IJR.US Exposure
-0.00009117499253782014
QUAL.US Exposure
-0.0006077313055191884
SHV.US Exposure
0.9908302527245636
TLT.US Exposure
-0.0011462646722314182
LQD.US Exposure
0.0047652029345534
HYG.US Exposure
0.0006344317811925478
GLD.US Exposure
-0.000022653568479857184
USO.US Exposure
0.0007978429353202853
VNQ.US Exposure
-0.00015501094397115474
BTC-USD.CC Exposure
-0.00012142080103540363
CPER.US Exposure
-0.00011902728743458369
VIX.INDX Exposure
-0.00013294689696954462
UUP.US Exposure
0.000019258705774430575
TIP.US Exposure
0.0000880579968764487
Idiosyncratic Exposure
0.001317905628903573
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
50.8
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
4.7%

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 →4.23%
Market Cap$34.1B
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
$85
Avg Yield on Cost
0.85%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$84.830.85%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 →
+0.9%
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 →
0.3% 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 →
0.05
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Enhanced Short Maturity ETF a high-risk investment?

First Trust Enhanced Short Maturity ETF (FTSM.US) has an annualized volatility of 4.7% and experienced a maximum drawdown of 1.7% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, FTSM.US has generated a Compound Annual Growth Rate (CAGR) of 2.4%. It has had a positive return in 90% 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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