First Trust Small Cap Core AlphaDEX® Fund

10-Year Study

FYX.US · · US · ETF

Executive Summary: First Trust Small Cap Core AlphaDEX® Fund has compounded at 12.0% annually over the last 10 years, with a maximum drawdown of 40.5% and an annualized volatility of 17.5%.

1Y CAGR
+44.4%
3Y CAGR
+21.2%
5Y CAGR
+7.7%
10Y CAGR
+12.0%

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 →
40.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.46
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.67
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
22.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +27.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -18.4%
% 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.
20266.22.3-2.87.8————————13.7%
20251.9-6.4-6.5-3.76.65.31.09.61.50.72.41.012.7%
2024-4.23.52.8-5.65.1-1.810.8-1.41.3-1.512.2-7.612.2%
202311.0-1.3-6.0-2.4-3.48.67.9-3.6-5.5-6.08.611.718.3%
2022-7.31.40.5-8.51.4-9.610.3-3.4-10.712.23.3-6.5-18.4%
20215.09.12.91.62.6-1.0-2.22.1-1.54.3-2.34.627.4%
2020-5.2-10.1-25.719.76.53.83.06.9-3.02.019.59.319.5%
201911.84.2-2.12.8-9.57.50.6-5.93.41.53.33.621.3%
20181.6-4.21.31.56.41.91.25.3-1.8-11.31.6-12.4-10.6%
20170.11.00.11.6-3.03.91.0-1.76.90.93.00.114.3%
2016———1.11.3-0.16.31.20.8-6.012.82.420.4%

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 17.5%. The dominant macroeconomic risk driver is IJR.US, accounting for 91.3% of variance. Idiosyncratic stock-specific factors contribute 1.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110106.447122030608
2016-05-0110235.051324032589
2016-06-0110224.56102510809
2016-07-0110866.503593172483
2016-08-0110997.558799596074
2016-09-0111085.574368376161
2016-10-0110417.896253884845
2016-11-0111753.25248286748
2016-12-0112038.451357366248
2017-01-0112045.142599437251
2017-02-0112161.418249198521
2017-03-0112175.070343826901
2017-04-0112370.390886185158
2017-05-0111993.84307689291
2017-06-0112466.59280973343
2017-07-0112596.618594299944
2017-08-0112379.165482014532
2017-09-0113232.311101089226
2017-10-0113348.978911557955
2017-11-0113746.090647947529
2017-12-0113764.693771507564
2018-01-0113987.465563387877
2018-02-0113397.90095981333
2018-03-0113567.682036098395
2018-04-0113765.992803851019
2018-05-0114642.594535240543
2018-06-0114915.195247012227
2018-07-0115096.373493857782
2018-08-0115889.248914205044
2018-09-0115598.339199403918
2018-10-0113831.753252482868
2018-11-0114046.657320169807
2018-12-0112300.831380699812
2019-01-0113748.713222678654
2019-02-0114331.660114314845
2019-03-0114026.387513603077
2019-04-0114415.165834959167
2019-05-0113039.588623417878
2019-06-0114023.250227943412
2019-07-0114112.197178403709
2019-08-0113284.247884783184
2019-09-0113742.144530828735
2019-10-0113942.318061941784
2019-11-0114407.861841782764
2019-12-0114924.01886293003
2020-01-0114149.427935567997
2020-02-0112722.061000598045
2020-03-019453.646604378475
2020-04-0111319.98843125913
2020-05-0112055.510348140668
2020-06-0112512.230512063845
2020-07-0112887.89595976431
2020-08-0113779.81646878891
2020-09-0113372.631104226513
2020-10-0113644.668084981226
2020-11-0116309.154991715606
2020-12-0117830.93461700605
2021-01-0118729.472837969
2021-02-0120432.38169001657
2021-03-0121015.13250129903
2021-04-0121344.93965627114
2021-05-0121894.307787331247
2021-06-0121672.5409072638
2021-07-0121198.467632035612
2021-08-0121646.976931146386
2021-09-0121318.199198031354
2021-10-0122242.644535730746
2021-11-0121721.046284767497
2021-12-0122721.2276590947
2022-01-0121065.868292826402
2022-02-0121365.503583368467
2022-03-0121461.828057137816
2022-04-0119640.707261835905
2022-05-0119919.631565015345
2022-06-0118001.573544838677
2022-07-0119847.523014931518
2022-08-0119166.462416298204
2022-09-0117109.530485592997
2022-10-0119201.46275943882
2022-11-0119836.78761556486
2022-12-0118537.975862508458
2023-01-0120584.368474200728
2023-02-0120317.331542466105
2023-03-0119100.260786870458
2023-04-0118635.770938930775
2023-05-0118007.235365052602
2023-06-0119561.71138932735
2023-07-0121098.270571280114
2023-08-0120346.817125658094
2023-09-0119232.566005549077
2023-10-0118078.8537142521
2023-11-0119640.658241747467
2023-12-0121929.72480122354
2024-01-0121000.3284345925
2024-02-0121742.90924420828
2024-03-0122362.253551505408
2024-04-0121117.51095598977
2024-05-0122196.761732958166
2024-06-0121786.24300238238
2024-07-0124130.506181433153
2024-08-0123799.669604603965
2024-09-0124097.319581564527
2024-10-0123731.923842390614
2024-11-0126624.966911440308
2024-12-0124609.800096079372
2025-01-0125067.598701948056
2025-02-0123475.009558917245
2025-03-0121938.425866920265
2025-04-0121122.633555230936
2025-05-0122510.686379278228
2025-06-0123709.69323228659
2025-07-0123948.543613172682
2025-08-0126243.07591250895
2025-09-0126627.172815419763
2025-10-0126801.047069088916
2025-11-0127456.151530897365
2025-12-0127730.664026117905
2026-01-0129436.563103559838
2026-02-0130108.138315081524
2026-03-0129252.73777193894
2026-04-0131528.348317140368
Annual Return Matrix
YearAnnual Return
20170.14339405982523146
2018-0.10634907068095456
20190.213252860806306
20200.19478102921033869
20210.2742589296146365
2022-0.18411204972508588
20230.18296220492845805
20240.12221198939561262
20250.12681386755903468
20260.1369489128513346
Total Factor Risk
0.1745416439351635
VTI.US Exposure
0.14558052696329007
VEA.US Exposure
-0.007343000692458751
VWO.US Exposure
0.006302216952850181
QQQ.US Exposure
-0.031756785429253725
VTV.US Exposure
0.0013262415538111097
IJR.US Exposure
0.9127073060903844
QUAL.US Exposure
-0.07464974824225946
SHV.US Exposure
0.0499006919463657
TLT.US Exposure
0.0009324611345857514
LQD.US Exposure
-0.0031373716732560246
HYG.US Exposure
0.0010328944365621312
GLD.US Exposure
-0.001316878488766461
USO.US Exposure
0.0005471476226865877
VNQ.US Exposure
-0.018081023718872657
BTC-USD.CC Exposure
0.0004475258061260129
CPER.US Exposure
0.004321054559922611
VIX.INDX Exposure
-0.0006974451709737513
UUP.US Exposure
-0.003935747485929696
TIP.US Exposure
0.00551835248938385
Idiosyncratic Exposure
0.012301581345801936
Value Score
44.6
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
7.1
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
17.5%

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 →13.4x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.59%
Market Cap$2.4B
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
$50
Avg Yield on Cost
0.50%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$49.760.50%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 →
+5.5%
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 →
+14.7%
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 →
0.0% 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 Small Cap Core AlphaDEX® Fund a high-risk investment?

First Trust Small Cap Core AlphaDEX® Fund (FYX.US) has an annualized volatility of 17.5% and experienced a maximum drawdown of 40.5% over the last 10 years. Its primary macro risk driver is IJR.US.

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

Over the past 10 years, FYX.US has generated a Compound Annual Growth Rate (CAGR) of 12.0%. 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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