First Trust Energy AlphaDEX® Fund

10-Year Study

FXN.US · · US · ETF

Executive Summary: First Trust Energy AlphaDEX® Fund has compounded at 5.9% annually over the last 10 years, with a maximum drawdown of 76.5% and an annualized volatility of 37.2%.

1Y CAGR
+53.6%
3Y CAGR
+16.5%
5Y CAGR
+17.5%
10Y CAGR
+5.9%

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 →
76.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.25
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.38
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
37.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +51.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -24.8%
% 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.
202611.49.511.7-6.2————————27.9%
20252.2-1.30.9-15.84.15.53.95.1-1.0-2.66.0-1.53.4%
2024-2.54.910.1-1.92.8-3.20.6-5.0-5.9-0.49.8-7.40.3%
20231.5-6.6-2.60.2-7.39.210.41.6-0.3-0.5-2.6-0.51.0%
202212.96.811.2-5.116.3-15.413.84.9-10.919.61.1-8.846.9%
20215.019.31.80.05.66.8-9.60.611.010.5-5.2-0.351.7%
2020-16.3-18.8-44.162.6-0.52.1-0.63.7-13.40.231.08.8-19.9%
201914.7-4.52.7-0.5-17.27.7-5.2-13.75.5-4.1-2.415.6-6.8%
2018-2.1-10.46.010.46.40.51.2-0.63.2-14.0-6.9-17.4-24.8%
2017-3.0-2.4-3.4-5.0-6.80.22.5-6.512.9-1.13.55.7-5.0%
2016———12.0-4.7-0.7-2.51.64.8-6.413.21.318.0%

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 37.2%. The dominant macroeconomic risk driver is SHV.US, accounting for 57.4% of variance. Idiosyncratic stock-specific factors contribute 8.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0111196.926015512734
2016-05-0110665.762203557753
2016-06-0110591.679534439516
2016-07-0110328.641430955846
2016-08-0110492.158840383088
2016-09-0110997.259833804905
2016-10-0110291.15381525746
2016-11-0111646.241866526238
2016-12-0111803.24357132019
2017-01-0111452.912876995993
2017-02-0111174.076421182288
2017-03-0110799.735801565555
2017-04-0110255.094299204728
2017-05-019552.826298454975
2017-06-019572.908949721967
2017-07-019810.241259583887
2017-08-019177.325347876149
2017-09-0110357.203423868901
2017-10-0110241.705865026734
2017-11-0110602.568794237619
2017-12-0111210.225193462875
2018-01-0110978.51602595571
2018-02-019834.34044110428
2018-03-0110423.5208011639
2018-04-0111504.324464239493
2018-05-0112236.939582459365
2018-06-0112292.18918750056
2018-07-0112433.928077331597
2018-08-0112361.273507859012
2018-09-0112751.323223577923
2018-10-0110966.109410284102
2018-11-0110208.324035809597
2018-12-018432.12510152896
2019-01-019670.198238082061
2019-02-019237.930326588537
2019-03-019483.295696957255
2019-04-019439.342182842813
2019-05-017818.445693791448
2019-06-018419.862236106641
2019-07-017979.799213070812
2019-08-016886.979543361652
2019-09-017266.533187838564
2019-10-016970.241864678354
2019-11-016799.873566488543
2019-12-017862.375131496041
2020-01-016582.97239342898
2020-02-015348.200493172473
2020-03-012991.8568389480456
2020-04-014863.645805769444
2020-05-014841.093749449776
2020-06-014943.417299617023
2020-07-014913.319233662197
2020-08-015093.901245288248
2020-09-014413.77254460105
2020-10-014421.653506835353
2020-11-015793.075001765295
2020-12-016300.776743878853
2021-01-016618.597815680015
2021-02-017897.82052204512
2021-03-018040.841451418969
2021-04-018040.841451418969
2021-05-018493.733967655147
2021-06-019069.814984783556
2021-07-018203.371348060518
2021-08-018251.066555266063
2021-09-019156.826902540515
2021-10-0110113.988641561005
2021-11-019587.550408631398
2021-12-019558.47635278273
2022-01-0110793.379765559104
2022-02-0111523.095495946392
2022-03-0112812.47573564216
2022-04-0112160.992504695192
2022-05-0114147.609564046259
2022-06-0111963.91695040748
2022-07-0113617.46514657616
2022-08-0114290.235530253643
2022-09-0112732.42504369415
2022-10-0115228.336040423588
2022-11-0115391.469447593206
2022-12-0114042.914532452782
2023-01-0114248.343898196717
2023-02-0113303.384307864326
2023-03-0112962.884348899091
2023-04-0112987.940675985441
2023-05-0112044.122563252682
2023-06-0113148.276143654692
2023-07-0114510.182346006335
2023-08-0114745.571881082324
2023-09-0114705.644850293076
2023-10-0114629.668918426678
2023-11-0114249.783300598641
2023-12-0114179.792252403398
2024-01-0113831.456871137925
2024-02-0114511.134002946223
2024-03-0115983.837588055976
2024-04-0115685.153503126514
2024-05-0116120.379078586866
2024-06-0115599.145166346412
2024-07-0115693.423895638096
2024-08-0114913.468680233707
2024-09-0114036.219736538453
2024-10-0113975.64396330931
2024-11-0115351.57476292535
2024-12-0114217.78362319148
2025-01-0114531.02857002946
2025-02-0114339.600818779454
2025-03-0114468.108554213153
2025-04-0112182.287318349194
2025-05-0112681.490117067127
2025-06-0113379.21297975702
2025-07-0113899.221995453197
2025-08-0114604.31807139292
2025-09-0114452.279383860598
2025-10-0114071.024163155747
2025-11-0114922.202133009421
2025-12-0114700.500114564378
2026-01-0116378.518151565757
2026-02-0117940.501798512993
2026-03-0120046.948775850833
2026-04-0118797.36158590466
Annual Return Matrix
YearAnnual Return
2017-0.050241984271022444
2018-0.24781840185993176
2019-0.06756896549478486
2020-0.19861662175867822
20210.5170314298262833
20220.46915826478605127
20230.009747101973333061
20240.002679261452624093
20250.03395159922011404
20260.2786885778995609
Total Factor Risk
0.3721477868613899
VTI.US Exposure
0.005520242760696731
VEA.US Exposure
-0.00721657088819331
VWO.US Exposure
0.0030429096923245812
QQQ.US Exposure
-0.006154705576567386
VTV.US Exposure
0.10391614846434795
IJR.US Exposure
0.0625991489865652
QUAL.US Exposure
0.009677507650493968
SHV.US Exposure
0.5741603545275673
TLT.US Exposure
0.02128002752767618
LQD.US Exposure
0.014484719729069777
HYG.US Exposure
-0.0030671830378495002
GLD.US Exposure
0.00010023823133694093
USO.US Exposure
0.12312892495020755
VNQ.US Exposure
-0.01334460108956525
BTC-USD.CC Exposure
0.002707171284919814
CPER.US Exposure
0.01120649851018523
VIX.INDX Exposure
-0.006172061000831769
UUP.US Exposure
0.010614154146211582
TIP.US Exposure
0.005529176695284196
Idiosyncratic Exposure
0.08798789843612011
Value Score
43.9
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
25
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
37.2%

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 →15.3x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.08%
Market Cap$31.4B
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
$75
Avg Yield on Cost
0.75%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$74.980.75%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 →
+1.6%
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 →
+21.7%
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 →
9.1% 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 →
0.57
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

First Trust Energy AlphaDEX® Fund (FXN.US) has an annualized volatility of 37.2% and experienced a maximum drawdown of 76.5% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, FXN.US has generated a Compound Annual Growth Rate (CAGR) of 5.9%. 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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