First Trust Financials AlphaDEX® Fund

10-Year Study

FXO.US · · US · ETF

Executive Summary: First Trust Financials AlphaDEX® Fund has compounded at 12.1% annually over the last 10 years, with a maximum drawdown of 36.3% and an annualized volatility of 21.5%.

1Y CAGR
+12.4%
3Y CAGR
+22.2%
5Y CAGR
+8.0%
10Y CAGR
+12.1%

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 →
36.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.50
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.63
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
21.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +37.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -11.7%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.0-3.3-4.75.4————————-1.9%
20255.2-2.2-4.4-4.06.04.41.74.10.4-3.23.42.213.6%
20240.72.86.4-5.74.6-0.79.11.9-0.13.311.5-7.527.7%
202310.9-2.3-15.40.8-6.27.810.1-4.7-3.4-4.410.88.99.3%
2022-0.20.2-0.4-9.65.2-10.66.8-1.7-9.013.15.6-6.0-9.2%
20211.912.36.55.83.5-3.8-0.75.2-2.66.8-4.63.437.8%
2020-1.7-10.8-27.413.12.94.51.52.9-3.67.615.99.06.0%
201910.63.6-2.16.0-6.45.82.1-4.43.50.44.11.526.3%
20182.9-3.50.10.01.8-0.32.22.5-2.2-6.82.1-10.3-11.7%
20170.84.5-2.40.3-0.94.22.8-1.42.72.33.00.917.9%
2016———2.53.4-3.14.22.5-1.2-0.99.03.521.1%

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 21.5%. The dominant macroeconomic risk driver is VTI.US, accounting for 104.2% of variance. Idiosyncratic stock-specific factors contribute 8.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110247.673729071874
2016-05-0110597.099296715232
2016-06-0110268.068433099274
2016-07-0110694.417503976412
2016-08-0110965.367797427383
2016-09-0110833.023902814803
2016-10-0110734.929810074318
2016-11-0111702.29274159134
2016-12-0112114.066249535854
2017-01-0112208.170074097065
2017-02-0112759.436707142024
2017-03-0112455.23417886377
2017-04-0112495.691064570297
2017-05-0112387.787562555766
2017-06-0112905.857381164824
2017-07-0113271.521123482173
2017-08-0113086.417016276968
2017-09-0113436.507628616873
2017-10-0113744.36790272613
2017-11-0114151.818620143094
2017-12-0114280.393928141919
2018-01-0114700.535915184633
2018-02-0114189.227384323789
2018-03-0114196.653716768546
2018-04-0114196.653716768546
2018-05-0114448.15145284556
2018-06-0114405.976535006288
2018-07-0114727.802747743004
2018-08-0115100.283198199946
2018-09-0114765.156091532317
2018-10-0113767.92156906212
2018-11-0114058.767783018082
2018-12-0112607.363153198587
2019-01-0113942.329540731216
2019-02-0114451.088733588635
2019-03-0114151.430677403443
2019-04-0114997.921735323294
2019-05-0114034.549071985544
2019-06-0114848.89630290569
2019-07-0115167.896075682085
2019-08-0114497.032238041666
2019-09-0115008.063666945616
2019-10-0115074.124773469151
2019-11-0115687.462244858372
2019-12-0115923.996475263108
2020-01-0115657.92317625347
2020-02-0113970.926462682677
2020-03-0110141.100316450435
2020-04-0111469.859620148636
2020-05-0111800.88561785423
2020-06-0112333.752680961432
2020-07-0112512.760545114968
2020-08-0112870.831693813421
2020-09-0112408.736470496955
2020-10-0113347.835002410788
2020-11-0115475.479247834448
2020-12-0116872.073110580306
2021-01-0117196.947444842855
2021-02-0119308.408935983905
2021-03-0120557.362876096628
2021-04-0121753.22408126846
2021-05-0122524.12172534762
2021-06-0121677.021043122604
2021-07-0121533.038866320472
2021-08-0122659.84626383431
2021-09-0122078.985141793073
2021-10-0123575.834492543185
2021-11-0122483.11063572731
2021-12-0123244.309711315178
2022-01-0123194.098836725985
2022-02-0123234.278620475616
2022-03-0123140.562738654062
2022-04-0120922.80493684846
2022-05-0122001.452014254122
2022-06-0119673.573894778845
2022-07-0121015.523251625204
2022-08-0120650.912496744055
2022-09-0118788.621085242103
2022-10-0121253.941775336814
2022-11-0122438.164698319102
2022-12-0121097.102067734802
2023-01-0123399.486807175832
2023-02-0122858.639207710083
2023-03-0119341.772011593945
2023-04-0119497.22620941149
2023-05-0118279.64021081917
2023-06-0119710.26219387161
2023-07-0121691.70744683799
2023-08-0120677.4588642145
2023-09-0119970.23924982958
2023-10-0119099.196958528923
2023-11-0121168.317270656564
2023-12-0123055.10449514794
2024-01-0123225.522198637766
2024-02-0123869.9505095905
2024-03-0125394.73173759553
2024-04-0123957.182205620735
2024-05-0125063.31779715028
2024-06-0124887.3026341312
2024-07-0127161.47839436042
2024-08-0127672.23272130748
2024-09-0127640.476837047423
2024-10-0128548.650790571883
2024-11-0131835.46794207461
2024-12-0129445.24188229817
2025-01-0130979.222895272083
2025-02-0130304.70131180066
2025-03-0128965.80007648014
2025-04-0127812.667993061365
2025-05-0129468.629287460026
2025-06-0130765.078502984386
2025-07-0131297.3913621778
2025-08-0132592.510488309068
2025-09-0132723.247191571663
2025-10-0131670.869379679556
2025-11-0132734.275849456048
2025-12-0133446.206197108164
2026-01-0133795.35466279463
2026-02-0132670.32071780491
2026-03-0131140.71791574992
2026-04-0132814.4137353898
Annual Return Matrix
YearAnnual Return
20170.17882745842578407
2018-0.11715578599315413
20190.2630711340478096
20200.05953760645388062
20210.3776795275228455
2022-0.09237562527120924
20230.09280907022806928
20240.277168007999923
20250.13587812695861357
2026-0.018889809444904704
Total Factor Risk
0.21480554748536076
VTI.US Exposure
1.0421646017558055
VEA.US Exposure
-0.014494482018414634
VWO.US Exposure
0.04300731541400663
QQQ.US Exposure
-0.22501187069032583
VTV.US Exposure
0.061737825778504965
IJR.US Exposure
0.17862477057688525
QUAL.US Exposure
-0.1257119168361268
SHV.US Exposure
-6.468280913452052e-7
TLT.US Exposure
0.00563328267462046
LQD.US Exposure
-0.010732818491211282
HYG.US Exposure
0.022944837631255106
GLD.US Exposure
-0.005567726789855156
USO.US Exposure
-0.00036557590062718436
VNQ.US Exposure
-0.036186460314087426
BTC-USD.CC Exposure
-0.0013550707869400508
CPER.US Exposure
0.004671258502595827
VIX.INDX Exposure
-0.022492868610608372
UUP.US Exposure
-0.0010033916529443836
TIP.US Exposure
-0.001906393927562406
Idiosyncratic Exposure
0.08604533051312105
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
21.5%

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 →0.00%
Market Cap$0
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
$261
Avg Yield on Cost
2.61%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$261.032.61%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 →
+1.3%
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 →
4.8% 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 →
1.20
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

First Trust Financials AlphaDEX® Fund (FXO.US) has an annualized volatility of 21.5% and experienced a maximum drawdown of 36.3% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FXO.US has generated a Compound Annual Growth Rate (CAGR) of 12.1%. It has had a positive return in 70% 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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