First Trust Consumer Staples AlphaDEX® Fund

10-Year Study

FXG.US · · US · ETF

Executive Summary: First Trust Consumer Staples AlphaDEX® Fund has compounded at 5.1% annually over the last 10 years, with a maximum drawdown of 19.7% and an annualized volatility of 20.6%.

1Y CAGR
+3.3%
3Y CAGR
+3.7%
5Y CAGR
+3.5%
10Y CAGR
+5.1%

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 →
19.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.12
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.19
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +21.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -11.5%
% 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.
20267.56.3-8.21.0————————6.0%
20251.20.30.90.2-2.4-0.2-0.22.5-2.3-2.22.5-3.0-2.7%
2024-1.55.15.0-3.20.6-2.93.03.10.4-3.76.4-8.13.2%
20230.9-3.51.82.8-4.32.92.7-2.0-4.0-3.74.44.52.0%
2022-0.00.72.61.60.1-5.14.0-1.4-9.211.34.5-4.33.3%
20211.50.49.61.12.2-3.7-1.42.2-1.62.2-0.48.421.7%
2020-4.5-8.9-7.611.25.3-1.15.82.2-3.1-1.38.20.94.9%
20196.7-0.93.13.6-7.03.90.42.82.9-1.72.83.020.6%
20183.5-5.2-1.7-0.6-3.24.8-1.43.3-1.1-0.30.5-9.9-11.5%
2017-0.22.3-0.92.8-2.2-0.41.8-1.2-1.0-0.46.70.77.9%
2016———0.71.03.91.4-1.9-3.3-0.8-4.13.90.6%

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 20.6%. The dominant macroeconomic risk driver is SHV.US, accounting for 42.7% of variance. Idiosyncratic stock-specific factors contribute 5.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110071.562069009962
2016-05-0110171.300413750438
2016-06-0110567.753244911899
2016-07-0110720.699122230386
2016-08-0110515.319077632987
2016-09-0110171.661317556682
2016-10-0110091.721124473146
2016-11-019674.361651392703
2016-12-0110055.424513102098
2017-01-0110033.435159764382
2017-02-0110266.424345539617
2017-03-0110178.415374502149
2017-04-0110458.579843522422
2017-05-0110224.739955918178
2017-06-0110179.91054741374
2017-07-0110363.533248263151
2017-08-0110237.423146823401
2017-09-0110132.116571929419
2017-10-0110096.619104700772
2017-11-0110773.262183725816
2017-12-0110846.783444826831
2018-01-0111230.114844746917
2018-02-0110648.441024451231
2018-03-0110470.953688308007
2018-04-0110404.006032249334
2018-05-0110073.650155317531
2018-06-0110555.32784243971
2018-07-0110411.94591598675
2018-08-0110754.752974234045
2018-09-0110633.179949215679
2018-10-0110603.714731320006
2018-11-0110653.57101426859
2018-12-019599.98968846268
2019-01-0110239.227665854633
2019-02-0110145.959810783292
2019-03-0110458.708737738938
2019-04-0110832.86286944305
2019-05-0110077.362308753207
2019-06-0110470.567005658457
2019-07-0110514.236366214247
2019-08-0110809.868141216506
2019-09-0111125.169173659177
2019-10-0110938.685021203099
2019-11-0111247.025765953882
2019-12-0111582.2022865834
2020-01-0111056.803681218824
2020-02-0110068.468607813567
2020-03-019299.150587113156
2020-04-0110339.094904811624
2020-05-0110883.518296534035
2020-06-0110759.882964051401
2020-07-0111381.539770310506
2020-08-0111634.249771212766
2020-09-0111271.438330562107
2020-10-0111122.59128932885
2020-11-0112035.70369797507
2020-12-0112144.181070595361
2021-01-0112330.201203871982
2021-02-0112379.438794581289
2021-03-0113570.885374373254
2021-04-0113718.391915754739
2021-05-0114024.28367039171
2021-06-0113504.375958650737
2021-07-0113317.14421973886
2021-08-0113613.394686980395
2021-09-0113392.49577871441
2021-10-0113685.137207893484
2021-11-0113632.780377144478
2021-12-0114783.522163360529
2022-01-0114776.355644922212
2022-02-0114874.26369178815
2022-03-0115264.039802534062
2022-04-0115513.166544217162
2022-05-0115534.71765721872
2022-06-0114735.341505226663
2022-07-0115321.217276980784
2022-08-0115107.510665996417
2022-09-0113715.42734877486
2022-10-0115268.576878955442
2022-11-0115948.674322983128
2022-12-0115269.040898134901
2023-01-0115412.551718804378
2023-02-0114875.217508990372
2023-03-0115147.751440392869
2023-04-0115577.252748669165
2023-05-0114906.126342111027
2023-06-0115334.905842774835
2023-07-0115746.129951149092
2023-08-0115437.711869868397
2023-09-0114818.220486446773
2023-10-0114273.02372942526
2023-11-0114906.616140133792
2023-12-0115570.034672544241
2024-01-0115338.050861657839
2024-02-0116127.785726254464
2024-03-0116927.729012799195
2024-04-0116382.867380740627
2024-05-0116482.83773507083
2024-06-0116008.558575976696
2024-07-0116483.198638877075
2024-08-0116996.197620612766
2024-09-0117057.035690808552
2024-10-0116429.939548612456
2024-11-0117488.34151811608
2024-12-0116069.834886508643
2025-01-0116268.02263382442
2025-02-0116318.188262892643
2025-03-0116458.115824342964
2025-04-0116487.14280190248
2025-05-0116097.908046865936
2025-06-0116070.711367180955
2025-07-0116034.98189036258
2025-08-0116440.947114702965
2025-09-0116067.721021357771
2025-10-0115721.459598107835
2025-11-0116118.866246471522
2025-12-0115642.602116443037
2026-01-0116823.27313973422
2026-02-0117885.36148383022
2026-03-0116426.278952863384
2026-04-0116586.107781343853
Annual Return Matrix
YearAnnual Return
20170.07869970389550462
2018-0.11494594344084441
20190.20648070075564307
20200.04852089180508856
20210.21733380599502006
20220.03284188499934615
20230.019712683751217597
20240.032100134937125935
2025-0.026586008697842223
20260.06031641397495058
Total Factor Risk
0.20573096411844208
VTI.US Exposure
-0.07056576463486351
VEA.US Exposure
0.04126997216845944
VWO.US Exposure
-0.0010049070512793588
QQQ.US Exposure
0.07687260655196392
VTV.US Exposure
0.4060878251813923
IJR.US Exposure
0.007931452297101531
QUAL.US Exposure
-0.0056580469296186806
SHV.US Exposure
0.42690978515680933
TLT.US Exposure
-0.005241570028539181
LQD.US Exposure
-0.0014633987084713277
HYG.US Exposure
0.0073905211070157024
GLD.US Exposure
0.006927828117565952
USO.US Exposure
0.01281369325507422
VNQ.US Exposure
0.04177166047866335
BTC-USD.CC Exposure
0.0033826694118210023
CPER.US Exposure
-0.014554820106349379
VIX.INDX Exposure
0.005707544610745045
UUP.US Exposure
-0.00032108975291695924
TIP.US Exposure
0.0028586884705762
Idiosyncratic Exposure
0.05888535040485018
Value Score
44.1
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
29.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
20.6%

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 →14.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.47%
Market Cap$15.9B
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
$76
Avg Yield on Cost
0.76%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$76.310.76%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 →
-2.0%
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 →
+1.6%
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 →
7.3% 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 →
0.67
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Consumer Staples AlphaDEX® Fund a high-risk investment?

First Trust Consumer Staples AlphaDEX® Fund (FXG.US) has an annualized volatility of 20.6% and experienced a maximum drawdown of 19.7% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, FXG.US has generated a Compound Annual Growth Rate (CAGR) of 5.1%. 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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