First Trust Materials AlphaDEX® Fund

10-Year Study

FXZ.US · · US · ETF

Executive Summary: First Trust Materials AlphaDEX® Fund has compounded at 11.2% annually over the last 10 years, with a maximum drawdown of 37.6% and an annualized volatility of 26.5%.

1Y CAGR
+53.3%
3Y CAGR
+13.4%
5Y CAGR
+6.9%
10Y CAGR
+11.2%

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 →
37.6%
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 →
0.64
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
23.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +30.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -22.6%
% 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.
202610.99.8-3.43.6————————21.8%
20255.2-3.6-3.4-3.81.55.60.97.40.3-2.55.03.416.2%
2024-4.22.06.2-5.73.3-6.43.7-2.32.5-2.50.5-13.1-16.3%
202316.4-2.3-4.8-3.9-8.112.26.2-2.5-4.6-5.17.18.216.3%
2022-5.410.710.2-2.82.3-20.39.6-2.8-13.310.612.3-5.6-0.9%
2021-1.27.88.04.77.1-6.80.71.3-4.27.4-3.98.030.8%
2020-7.9-8.8-18.415.76.33.83.26.1-0.63.217.36.322.5%
201911.13.6-1.32.0-10.911.9-0.2-7.85.71.04.82.121.5%
20183.4-4.7-2.2-1.84.1-2.73.7-2.2-2.1-12.43.8-10.4-22.6%
20175.30.50.10.6-0.92.6-0.00.54.23.51.14.223.7%
2016———4.8-0.60.86.20.9-1.1-3.19.2-0.517.3%

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 26.5%. The dominant macroeconomic risk driver is IJR.US, accounting for 33.7% of variance. Idiosyncratic stock-specific factors contribute 9.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110479.887405793153
2016-05-0110418.293531886558
2016-06-0110506.749598958806
2016-07-0111161.80877145192
2016-08-0111267.479342595114
2016-09-0111146.10763037622
2016-10-0110797.390962196192
2016-11-0111791.405611549986
2016-12-0111732.497956959958
2017-01-0112357.93304882109
2017-02-0112423.423832440449
2017-03-0112429.666454795846
2017-04-0112501.85386966918
2017-05-0112390.281182844517
2017-06-0112717.9621053906
2017-07-0112714.670540875934
2017-08-0112773.918702139894
2017-09-0113316.459335936319
2017-10-0113780.153757680318
2017-11-0113933.608765398469
2017-12-0114517.275038590755
2018-01-0115009.307182420775
2018-02-0114297.421229456098
2018-03-0113976.663942613275
2018-04-0113731.347801083566
2018-05-0114288.03837888556
2018-06-0113904.514361814827
2018-07-0114413.231332667454
2018-08-0114094.06307696964
2018-09-0113795.363055782562
2018-10-0112078.452737673659
2018-11-0112541.844486818607
2018-12-0111232.634159629528
2019-01-0112478.094070643783
2019-02-0112931.535458094979
2019-03-0112757.574381791217
2019-04-0113014.50558430945
2019-05-0111595.652108114653
2019-06-0112980.07657616756
2019-07-0112959.873180180999
2019-08-0111943.422924422654
2019-09-0112625.230787856774
2019-10-0112757.42304549169
2019-11-0113364.281606586155
2019-12-0113649.815369714579
2020-01-0112576.500499409789
2020-02-0111472.502194376344
2020-03-019359.431278186385
2020-04-0110825.69085020733
2020-05-0111507.42304549169
2020-06-0111940.888041405611
2020-07-0112322.860861406216
2020-08-0113076.47779896486
2020-09-0112999.409788431853
2020-10-0113415.357607675774
2020-11-0115732.65686007446
2020-12-0116723.7582856624
2021-01-0116518.584097581646
2021-02-0117808.763885105483
2021-03-0119226.103998305032
2021-04-0120132.532764308846
2021-05-0121565.347014134808
2021-06-0120093.715003480735
2021-07-0120226.51260631375
2021-08-0120487.22721632011
2021-09-0119627.826205393627
2021-10-0121079.406156360667
2021-11-0120258.93640848694
2021-12-0121882.093889040225
2022-01-0120699.28720602924
2022-02-0122917.082841490363
2022-03-0125247.888858621627
2022-04-0124546.44511032416
2022-05-0125099.844123611485
2022-06-0120010.858379490903
2022-07-0121929.80265746542
2022-08-0121317.306819213656
2022-09-0118482.55092466479
2022-10-0120438.799600472168
2022-11-0122961.57571355065
2022-12-0121680.665274372714
2023-01-0125241.040891068133
2023-02-0124654.196555585822
2023-03-0123466.357940615635
2023-04-0122539.46094010109
2023-05-0120707.308029904056
2023-06-0123239.42915947819
2023-07-0124680.33990132873
2023-08-0124055.434486515933
2023-09-0122938.799600472168
2023-10-0121765.564938406125
2023-11-0123300.985199309907
2023-12-0125207.59556887315
2024-01-0124154.82460122885
2024-02-0124626.388510548142
2024-03-0126149.739701564817
2024-04-0124669.02751293925
2024-05-0125478.979387996
2024-06-0123836.602197403066
2024-07-0124715.487756893366
2024-08-0124149.149489996667
2024-09-0124759.980628953665
2024-10-0124143.20954024032
2024-11-0124267.53231029995
2024-12-0121096.734162656256
2025-01-0122203.380852931383
2025-02-0121401.26063137504
2025-03-0120669.171282423806
2025-04-0119886.384273131753
2025-05-0120188.338024758617
2025-06-0121316.09612881746
2025-07-0121508.633735887888
2025-08-0123094.032809709737
2025-09-0123169.70095947214
2025-10-0122601.660159205785
2025-11-0123725.710523926267
2025-12-0124524.04733799449
2026-01-0127191.349617119162
2026-02-0129858.65189624383
2026-03-0128833.34846696328
2026-04-0129873.78552619631
Annual Return Matrix
YearAnnual Return
20170.2373558548099992
2018-0.2262573981845617
20190.21519273001630213
20200.22520032928563305
20210.3084435636575882
2022-0.009205180075038566
20230.1626762947477165
2024-0.16308026661983854
20250.1624570489874677
20260.21814254859611237
Total Factor Risk
0.2649647796471145
VTI.US Exposure
-0.061080456957343
VEA.US Exposure
0.2311424871797807
VWO.US Exposure
-0.03555628382769975
QQQ.US Exposure
-0.05796658092266379
VTV.US Exposure
0.05233421830742402
IJR.US Exposure
0.3372906330432874
QUAL.US Exposure
0.08128733099772399
SHV.US Exposure
0.31389480103227146
TLT.US Exposure
0.017048653768975245
LQD.US Exposure
-0.016000396007573886
HYG.US Exposure
-0.03417290764241096
GLD.US Exposure
0.008059159388164998
USO.US Exposure
0.006306946438220824
VNQ.US Exposure
-0.02069033166383476
BTC-USD.CC Exposure
0.011355040454827835
CPER.US Exposure
0.10429154877422502
VIX.INDX Exposure
-0.024882013387163133
UUP.US Exposure
-0.01600384673315041
TIP.US Exposure
0.012375526070158861
Idiosyncratic Exposure
0.0909664716867794
Value Score
43.5
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
17.2
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
26.5%

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 →16.2x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.43%
Market Cap$18.4B
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
$92
Avg Yield on Cost
0.92%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$92.320.92%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 →
+3.3%
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 →
+19.8%
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 →
1.5% 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 →
1.23
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

First Trust Materials AlphaDEX® Fund (FXZ.US) has an annualized volatility of 26.5% and experienced a maximum drawdown of 37.6% over the last 10 years. Its primary macro risk driver is IJR.US.

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

Over the past 10 years, FXZ.US has generated a Compound Annual Growth Rate (CAGR) of 11.2%. 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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