First Trust Industrials/Producer Durables AlphaDEX® Fund

10-Year Study

FXR.US · · US · ETF

Executive Summary: First Trust Industrials/Producer Durables AlphaDEX® Fund has compounded at 12.8% annually over the last 10 years, with a maximum drawdown of 32.2% and an annualized volatility of 17.3%.

1Y CAGR
+23.6%
3Y CAGR
+18.7%
5Y CAGR
+8.5%
10Y CAGR
+12.8%

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 →
32.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.52
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.71
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
20.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +33.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -16.7%
% 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.
20266.86.0-9.75.7————————8.1%
20254.9-5.7-5.7-3.36.14.04.02.6-1.30.2-0.22.57.6%
2024-0.66.76.1-6.12.1-2.57.50.63.1-0.410.1-9.816.2%
202310.0-0.6-1.2-1.1-2.812.73.0-2.1-5.0-5.79.99.327.0%
2022-7.5-1.1-0.8-5.81.2-10.511.5-5.3-9.410.36.6-4.4-16.7%
2021-1.98.26.44.41.4-1.50.82.7-6.15.4-1.95.525.1%
2020-2.7-10.7-22.013.07.62.73.37.3-2.20.716.64.612.8%
201912.05.0-0.44.9-7.59.40.1-3.72.92.44.51.133.4%
20183.4-4.5-1.1-2.83.8-1.95.62.9-0.1-13.16.5-12.6-15.1%
20172.72.9-1.10.91.01.3-0.10.34.92.54.72.124.2%
2016———2.5-0.1-3.45.71.10.8-0.612.20.219.0%

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 17.3%. The dominant macroeconomic risk driver is IJR.US, accounting for 45.3% of variance. Idiosyncratic stock-specific factors contribute 7.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110252.151439441035
2016-05-0110241.360030341062
2016-06-019890.991128366939
2016-07-0110454.138466290533
2016-08-0110569.676922415243
2016-09-0110649.204915565042
2016-10-0110580.546530131882
2016-11-0111871.019201670322
2016-12-0111899.600796061917
2017-01-0112218.064662436122
2017-02-0112576.37072400189
2017-03-0112434.713929910578
2017-04-0112547.046242751967
2017-05-0112670.209064001658
2017-06-0112830.633526092923
2017-07-0112823.361054742942
2017-08-0112863.281448551175
2017-09-0113492.741213407933
2017-10-0113830.793833257088
2017-11-0114474.17295188048
2017-12-0114779.65584788805
2018-01-0115289.432629936777
2018-02-0114593.973232613514
2018-03-0114435.73833178891
2018-04-0114030.943192614923
2018-05-0114559.683139205266
2018-06-0114287.395555972615
2018-07-0115091.316434612272
2018-08-0115527.977510077846
2018-09-0115505.065315394571
2018-10-0113474.09084333298
2018-11-0114352.339507114119
2018-12-0112545.169475951969
2019-01-0114050.297350239873
2019-02-0114749.471181854795
2019-03-0114686.912288521615
2019-04-0115408.216328653147
2019-05-0114260.065139447684
2019-06-0115603.243678619325
2019-07-0115625.334787827604
2019-08-0115040.213638620735
2019-09-0115472.104598469654
2019-10-0115838.347819627072
2019-11-0116556.093822700273
2019-12-0116738.179301608154
2020-01-0116285.683006267618
2020-02-0114546.232977138634
2020-03-0111351.037500146624
2020-04-0112826.410800792934
2020-05-0113805.027389065488
2020-06-0114177.839294022888
2020-07-0114646.053511313385
2020-08-0115721.24539116903
2020-09-0115371.736673978236
2020-10-0115484.303582669621
2020-11-0118047.536939071546
2020-12-0118883.245555386125
2021-01-0118533.267646495333
2021-02-0120049.81251881654
2021-03-0121343.02214193831
2021-04-0122273.624779577647
2021-05-0122593.848114826847
2021-06-0122257.828659011022
2021-07-0122446.482821718884
2021-08-0123061.514941800677
2021-09-0121662.385292404175
2021-10-0122822.188075492944
2021-11-0122387.71656129403
2021-12-0123617.937198690954
2022-01-0121854.44109493703
2022-02-0121608.467346212645
2022-03-0121427.202952779764
2022-04-0120176.18148334956
2022-05-0120426.377957373934
2022-06-0118289.913551429276
2022-07-0120398.969342232336
2022-08-0119327.335499435012
2022-09-0117505.8551214229
2022-10-0119307.864043885063
2022-11-0120591.76803162352
2022-12-0119678.09539449247
2023-01-0121653.15785563753
2023-02-0121519.438221137865
2023-03-0121259.66241657185
2023-04-0121033.863910947413
2023-05-0120444.480937132223
2023-06-0123036.960576167407
2023-07-0123723.192536724022
2023-08-0123219.085154383618
2023-09-0122058.734980978184
2023-10-0120795.045335648014
2023-11-0122861.482880367847
2023-12-0124987.937863379197
2024-01-0124849.25261672121
2024-02-0126517.42460675871
2024-03-0128136.957057229658
2024-04-0126424.68104739227
2024-05-0126987.711087390864
2024-06-0126311.801344234216
2024-07-0128291.164729295942
2024-08-0128465.117552070504
2024-09-0129337.579518218325
2024-10-0129233.027967735245
2024-11-0132191.594430694517
2024-12-0129032.644012527417
2025-01-0130449.133754823877
2025-02-0128706.6339796449
2025-03-0127068.333861173993
2025-04-0126182.108938492875
2025-05-0127791.280072255522
2025-06-0128896.852114686088
2025-07-0130064.86575252484
2025-08-0130855.219171172866
2025-09-0130456.719020640525
2025-10-0130511.340754382054
2025-11-0130464.538882307173
2025-12-0131228.61756575526
2026-01-0133363.43980074992
2026-02-0135361.41445657826
2026-03-0131916.765392420206
2026-04-0133742.703091582305
Annual Return Matrix
YearAnnual Return
20170.2420295521828988
2018-0.15118663079393546
20190.3342330156395119
20200.12815409699738844
20210.25073505660971196
2022-0.16681566095521894
20230.26983518284868424
20240.1618663441242143
20250.07563808354073065
20260.08050582196068601
Total Factor Risk
0.17300574719216308
VTI.US Exposure
0.41134264972868634
VEA.US Exposure
0.12188863886139514
VWO.US Exposure
-0.01609620598661807
QQQ.US Exposure
-0.23557870265609418
VTV.US Exposure
-0.019315154367328627
IJR.US Exposure
0.45295904158214073
QUAL.US Exposure
0.17236106805079568
SHV.US Exposure
0.11184121004902572
TLT.US Exposure
0.029020612109898047
LQD.US Exposure
-0.023349315393082357
HYG.US Exposure
-0.010341528662598753
GLD.US Exposure
0.010767421569868606
USO.US Exposure
0.00607332822506095
VNQ.US Exposure
-0.034106329834622695
BTC-USD.CC Exposure
0.009903448344325973
CPER.US Exposure
0.005681181409234762
VIX.INDX Exposure
-0.03947352863704127
UUP.US Exposure
-0.01679401241969813
TIP.US Exposure
-0.009049405471607817
Idiosyncratic Exposure
0.0722655834982599
Value Score
43.4
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
7.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
17.3%

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 →16.5x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.63%
Market Cap$17.5B
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
$33
Avg Yield on Cost
0.33%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$33.230.33%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 →
+0.3%
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 →
+6.8%
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 →
5.7% 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 →
1.40
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Industrials/Producer Durables AlphaDEX® Fund a high-risk investment?

First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR.US) has an annualized volatility of 17.3% and experienced a maximum drawdown of 32.2% over the last 10 years. Its primary macro risk driver is IJR.US.

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

Over the past 10 years, FXR.US has generated a Compound Annual Growth Rate (CAGR) of 12.8%. 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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