First Trust Health Care AlphaDEX® Fund

10-Year Study

FXH.US · · US · ETF

Executive Summary: First Trust Health Care AlphaDEX® Fund has compounded at 7.0% annually over the last 10 years, with a maximum drawdown of 27.6% and an annualized volatility of 18.1%.

1Y CAGR
+12.8%
3Y CAGR
+4.0%
5Y CAGR
+0.1%
10Y CAGR
+7.0%

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 →
27.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.27
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.42
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · +28.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -12.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
60%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.41.7-5.62.7————————-1.0%
20256.5-3.7-3.0-2.91.02.0-4.78.62.71.66.0-3.510.2%
2024-1.14.22.8-5.61.6-0.44.54.2-1.6-4.34.0-6.41.0%
20233.3-4.80.61.5-6.56.2-1.8-2.5-6.3-6.76.27.7-4.5%
2022-11.00.63.1-7.01.5-4.75.4-6.1-4.77.64.5-0.4-12.2%
20210.7-0.60.85.5-0.32.64.22.8-5.21.6-3.46.215.2%
2020-1.8-4.2-6.614.18.5-1.55.5-0.60.20.77.45.228.0%
20198.51.90.4-3.4-3.48.60.2-2.7-1.93.58.41.422.3%
20186.2-3.7-2.8-0.04.92.03.58.02.3-10.63.0-11.9-1.3%
20173.95.4-0.51.91.33.80.11.1-0.30.42.90.221.8%
2016———3.51.30.94.4-1.50.4-8.32.9-0.22.8%

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 18.1%. The dominant macroeconomic risk driver is VTI.US, accounting for 49.6% of variance. Idiosyncratic stock-specific factors contribute 14.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110348.04840509727
2016-05-0110484.397452823994
2016-06-0110574.099334028724
2016-07-0111040.552763452546
2016-08-0110875.500572603998
2016-09-0110916.768179265171
2016-10-0110012.56446353935
2016-11-0110301.401238575274
2016-12-0110279.882999131974
2017-01-0110681.745238633626
2017-02-0111255.826336866216
2017-03-0111198.420050622568
2017-04-0111406.52695615385
2017-05-0111551.848015580663
2017-06-0111994.977861743488
2017-07-0112003.949873443577
2017-08-0112131.326909470212
2017-09-0112095.438862669867
2017-10-0112147.483824848823
2017-11-0112493.726886128396
2017-12-0112522.430029250216
2018-01-0113301.043816970961
2018-02-0112804.100136403755
2018-03-0112450.67217144566
2018-04-0112445.292611584835
2018-05-0113057.048864639333
2018-06-0113315.395388531872
2018-07-0113781.848817955693
2018-08-0114886.97453553427
2018-09-0115227.856272749155
2018-10-0113615.009519085583
2018-11-0114027.630878308883
2018-12-0112355.590730380107
2019-01-0113405.097269736601
2019-02-0113656.258889950617
2019-03-0113708.285616333436
2019-04-0113247.229982566578
2019-05-0112791.535672864406
2019-06-0113894.783103440728
2019-07-0113919.98497370398
2019-08-0113537.853865624063
2019-09-0113279.68969969291
2019-10-0113744.173663133784
2019-11-0114895.089464815854
2019-12-0115105.85879658334
2020-01-0114840.090303662477
2020-02-0114214.219544396869
2020-03-0113270.553565827577
2020-04-0115136.349047726724
2020-05-0116424.470979554026
2020-06-0116182.281371040095
2020-07-0117072.133515205005
2020-08-0116969.86717046093
2020-09-0116996.783205561187
2020-10-0117111.595778048475
2020-11-0118378.19947043248
2020-12-0119336.217020562683
2021-01-0119463.59405658932
2021-02-0119338.004128584245
2021-03-0119485.112296032617
2021-04-0120553.67524235373
2021-05-0120486.18456084556
2021-06-0121010.51840721262
2021-07-0121896.303968838667
2021-08-0122518.83757741095
2021-09-0121356.30557358873
2021-10-0121702.5486348683
2021-11-0120974.17446550881
2021-12-0122274.860860875462
2022-01-0119834.94780915145
2022-02-0119951.565725456443
2022-03-0120570.50688218946
2022-04-0119131.684331074524
2022-05-0119418.73399808889
2022-06-0118500.178710802156
2022-07-0119492.297199711145
2022-08-0118311.802936692606
2022-09-0117455.924080733515
2022-10-0118784.875960114663
2022-11-0119632.530472015347
2022-12-0119548.20815067144
2023-01-0120197.2383710328
2023-02-0119228.188164238873
2023-03-0119340.703026412728
2023-04-0119633.87992092959
2023-05-0118356.845353154426
2023-06-0119487.93884443407
2023-07-0119134.711473233496
2023-08-0118654.8729694441
2023-09-0117487.617894422034
2023-10-0116310.4972536891
2023-11-0117326.686993500763
2023-12-0118661.96669414193
2024-01-0118450.59558110188
2024-02-0119225.52573800267
2024-03-0119769.33541464553
2024-04-0118654.50825352133
2024-05-0118957.5689495452
2024-06-0118874.322540173456
2024-07-0119725.770097670924
2024-08-0120555.170577637076
2024-09-0120223.18790893773
2024-10-0119353.2310183598
2024-11-0120126.99408430773
2024-12-0118841.00574062862
2025-01-0120065.04708482563
2025-02-0119331.348062993733
2025-03-0118757.194021576594
2025-04-0118221.262208865515
2025-05-0118409.565039790505
2025-06-0118783.03414470469
2025-07-0117905.527634525468
2025-08-0119452.83493686767
2025-09-0119975.108138271098
2025-10-0120300.544156156768
2025-11-0121517.473539859802
2025-12-0120755.983164713
2026-01-0120848.98572501878
2026-02-0121197.289431261986
2026-03-0120017.433421108297
2026-04-0120556.665912920424
Annual Return Matrix
YearAnnual Return
20170.21814908110409426
2018-0.013323236662564963
20190.22259300475539656
20200.28004751540085704
20210.15197615113585772
2022-0.12240941603335598
2023-0.045336199087846696
20240.009593793056274835
20250.1016388111360178
2026-0.009602881743103087
Total Factor Risk
0.1813479250225792
VTI.US Exposure
0.4963050497661623
VEA.US Exposure
0.035769133861689305
VWO.US Exposure
-0.022934441795189865
QQQ.US Exposure
-0.2102693330883616
VTV.US Exposure
-0.12547406495281424
IJR.US Exposure
0.024334624832475442
QUAL.US Exposure
0.270099543195122
SHV.US Exposure
0.23612524718528877
TLT.US Exposure
0.0754838808399234
LQD.US Exposure
-0.0386787840856185
HYG.US Exposure
0.025875127142271047
GLD.US Exposure
0.006917944986075419
USO.US Exposure
0.006265350815174879
VNQ.US Exposure
0.06617830271095852
BTC-USD.CC Exposure
-0.010943800181258343
CPER.US Exposure
-0.0042434257457531896
VIX.INDX Exposure
0.015923277111073834
UUP.US Exposure
0.016796663226024747
TIP.US Exposure
-0.006674690814825502
Idiosyncratic Exposure
0.14314439499158146
Value Score
44.9
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
8.8
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
18.1%

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 →12.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.73%
Market Cap$23.8B
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
$34
Avg Yield on Cost
0.34%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$33.920.34%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 →
+0.9%
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 →
+2.2%
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 →
5.5% 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 →
1.06
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Health Care AlphaDEX® Fund a high-risk investment?

First Trust Health Care AlphaDEX® Fund (FXH.US) has an annualized volatility of 18.1% and experienced a maximum drawdown of 27.6% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FXH.US has generated a Compound Annual Growth Rate (CAGR) of 7.0%. It has had a positive return in 60% 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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