First Trust Financials AlphaDEX Fund (FXO)

54.75 +0.76 (+1.41%) USD  |  NYSEARCA  |  Dec 24, 16:00
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FXO Max Drawdown (5Y): 48.55% for Nov. 30, 2024

Max Drawdown (5Y) Chart

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Historical Data

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Max Drawdown Definition

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Max drawdown is an indicator of the risk of a portfolio chosen based on a certain strategy. It measures the largest single drop from peak to bottom in the value of a portfolio before a new peak is achieved.

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Max Drawdown (5Y) Range, Past 5 Years

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Max Drawdown (5Y) Benchmarks

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Financial Select Sector SPDR Fund 42.83%
iShares US Broker-Dealers & Securities Exch ETF 40.38%
iShares US Regional Banks ETF 55.53%
Invesco S&P 500 Eql Wght Financials ETF 44.77%
First Trust Nasdaq Bank ETF 55.24%

Max Drawdown (5Y) Related Metrics

Alpha (5Y) 0.7959
Beta (5Y) 1.195
Alpha (vs YCharts Benchmark) (5Y) 0.4428
Beta (vs YCharts Benchmark) (5Y) 1.125
Annualized Standard Deviation of Monthly Returns (5Y Lookback) 28.70%
Historical Sharpe Ratio (5Y) 0.4447
Historical Sortino (5Y) 0.4958
Monthly Value at Risk (VaR) 5% (5Y Lookback) 10.26%