First Trust Utilities AlphaDEX® Fund

10-Year Study

FXU.US · · US · ETF

Executive Summary: First Trust Utilities AlphaDEX® Fund has compounded at 9.9% annually over the last 10 years, with a maximum drawdown of 16.7% and an annualized volatility of 17.3%.

1Y CAGR
+21.1%
3Y CAGR
+20.3%
5Y CAGR
+13.2%
10Y CAGR
+9.9%

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 →
16.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.43
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.68
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
14.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · +22.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · -2.1%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
90%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20263.69.4-2.80.8————————11.1%
20252.84.71.20.43.8-0.44.9-0.53.30.93.7-4.621.9%
2024-4.81.26.90.57.1-4.85.44.46.5-0.47.1-7.322.5%
20230.9-5.03.61.4-6.02.12.4-6.4-5.50.25.95.4-2.1%
2022-1.6-2.69.0-3.05.7-7.06.30.8-11.34.97.3-2.73.7%
2021-2.0-4.011.93.6-1.2-1.43.02.8-6.04.1-2.19.217.7%
20201.7-6.0-11.57.23.8-3.96.9-2.2-0.83.43.51.01.5%
20193.52.10.50.4-1.83.30.5-0.03.8-0.3-2.62.111.7%
2018-2.0-3.63.82.3-0.82.50.84.30.50.23.8-5.95.4%
20171.92.1-0.90.32.0-2.41.71.4-3.01.40.8-4.11.0%
2016———-2.30.76.41.5-5.10.21.0-1.84.95.2%

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 VTV.US, accounting for 37.5% of variance. Idiosyncratic stock-specific factors contribute 15.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019765.194481316119
2016-05-019838.351232854671
2016-06-0110471.018864888782
2016-07-0110629.801697437755
2016-08-0110087.486424520333
2016-09-0110105.737902739229
2016-10-0110207.101484252444
2016-11-0110027.804593540082
2016-12-0110515.013474920559
2017-01-0110711.707091428341
2017-02-0110931.981818913157
2017-03-0110837.70765455935
2017-04-0110873.305579019348
2017-05-0111094.887574916536
2017-06-0110827.852861912233
2017-07-0111011.172116970354
2017-08-0111170.558304171193
2017-09-0110834.590322191385
2017-10-0110990.9597361329
2017-11-0111075.1779896223
2017-12-0110618.891034149874
2018-01-0110406.661035356583
2018-02-0110027.100679779574
2018-03-0110404.197337194802
2018-04-0110639.706769639195
2018-05-0110554.834881943607
2018-06-0110818.299746591047
2018-07-0110900.90905434214
2018-08-0111372.02847833957
2018-09-0111429.900245364226
2018-10-0111454.78862475363
2018-11-0111894.231929528176
2018-12-0111195.99975865814
2019-01-0111588.98475523913
2019-02-0111831.483045734283
2019-03-0111886.689996379873
2019-04-0111932.896906801818
2019-05-0111714.331684163952
2019-06-0112101.031736454688
2019-07-0112155.836450665702
2019-08-0112151.61296810265
2019-09-0112613.028438115925
2019-10-0112574.76569727686
2019-11-0112247.19440086883
2019-12-0112502.916214150679
2020-01-0112721.230039016933
2020-02-0111963.617714492579
2020-03-0110590.533365512249
2020-04-0111349.754635774909
2020-05-0111785.477253529625
2020-06-0111321.598085354572
2020-07-0112103.3445959535
2020-08-0111831.030529745385
2020-09-0111737.05804271751
2020-10-0112136.126865371465
2020-11-0112566.268452596436
2020-12-0112694.63215478058
2021-01-0112444.139415148225
2021-02-0111947.628816218172
2021-03-0113364.90889344757
2021-04-0113849.151281123044
2021-05-0113678.753871525683
2021-06-0113492.97091830578
2021-07-0113894.201761795584
2021-08-0114286.382285507421
2021-09-0113424.741563090785
2021-10-0113969.017738626764
2021-11-0113676.491291581193
2021-12-0114937.804191303647
2022-01-0114694.70254615663
2022-02-0114310.868428462249
2022-03-0115600.388158159367
2022-04-0115132.48662563855
2022-05-0115999.456980813322
2022-06-0114871.937975141787
2022-07-0115801.757773219098
2022-08-0115935.199710389767
2022-09-0114129.86203290294
2022-10-0114828.245042435943
2022-11-0115910.562728771973
2022-12-0115488.113913358273
2023-01-0115632.768191142753
2023-02-0114849.16133703391
2023-03-0115380.415108000483
2023-04-0115602.952415429789
2023-05-0114661.166083423837
2023-06-0114961.737259160936
2023-07-0115319.42600860786
2023-08-0114340.483085957927
2023-09-0113557.12762962069
2023-10-0113580.859579260688
2023-11-0114387.8967056836
2023-12-0115160.391778287276
2024-01-0114432.997465910463
2024-02-0114610.031776678332
2024-03-0115620.24858211657
2024-04-0115705.371867583766
2024-05-0116828.114315594703
2024-06-0116017.105104380356
2024-07-0116880.053095209365
2024-08-0117615.44185672338
2024-09-0118763.022404569405
2024-10-0118692.128232975345
2024-11-0120025.94425003017
2024-12-0118571.15562527654
2025-01-0119098.035075017095
2025-02-0119996.53071075178
2025-03-0120239.481517235832
2025-04-0120313.49302119786
2025-05-0121093.27862917823
2025-06-0121016.903986163066
2025-07-0122053.366718957404
2025-08-0121949.187482402154
2025-09-0122677.48682675677
2025-10-0122877.046377860905
2025-11-0123725.262459273563
2025-12-0122630.82740034592
2026-01-0123435.30026949841
2026-02-0125642.57270423555
2026-03-0124933.63098829492
2026-04-0125144.805116447445
Annual Return Matrix
YearAnnual Return
20170.009878975379068677
20180.05434736288867725
20190.11673066127764686
20200.015333697942638391
20210.17670240532950987
20220.036840067991719794
2023-0.021159589663679923
20240.22497860852607765
20250.21860092376501927
20260.11108642523883572
Total Factor Risk
0.172602072545836
VTI.US Exposure
-0.03815393498920057
VEA.US Exposure
0.006121276464727125
VWO.US Exposure
0.0029267557653286963
QQQ.US Exposure
0.01534156099654901
VTV.US Exposure
0.3754156850033147
IJR.US Exposure
-0.11421825409331077
QUAL.US Exposure
-0.0737106403862643
SHV.US Exposure
0.25363791579636397
TLT.US Exposure
-0.04407455704243349
LQD.US Exposure
0.10150677019015153
HYG.US Exposure
-0.015365047089295043
GLD.US Exposure
0.029591759392880727
USO.US Exposure
0.0010062399552834885
VNQ.US Exposure
0.2280113744781115
BTC-USD.CC Exposure
0.026719731580775435
CPER.US Exposure
-0.01319273121345749
VIX.INDX Exposure
0.025805892145361196
UUP.US Exposure
-0.01834918758528094
TIP.US Exposure
0.09475024276275582
Idiosyncratic Exposure
0.15622914786763947
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
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 →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
$115
Avg Yield on Cost
1.15%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$115.141.15%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 →
+0.8%
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 →
+8.7%
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 →
2.6% 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 →
0.76
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

First Trust Utilities AlphaDEX® Fund (FXU.US) has an annualized volatility of 17.3% and experienced a maximum drawdown of 16.7% over the last 10 years. Its primary macro risk driver is VTV.US.

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

Over the past 10 years, FXU.US has generated a Compound Annual Growth Rate (CAGR) of 9.9%. It has had a positive return in 90% 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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