First Trust S&P 500 Diversified Free Cash Flow ETF (FCFY) Sharpe Ratio: 0.48

FCFY's Sharpe Ratio of 0.48 indicates that for each unit of volatility, it generates 0.48 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Apr 1, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

FCFY Sharpe Ratio Rank

Below Average

FCFY ranks above 27.0% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating below-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

Strong returns with low total volatility → Higher rank
High volatility (both upside and downside) → Lower rank
Consistent returns → Higher rank than volatile returns of same magnitude
Sharp drawdowns increase volatility → Lower rank

What you can do with this information

Returns may not adequately compensate for volatility taken
Consider smaller allocation given below-average risk-adjusted profile
Explore higher-ranked investments with better consistency
Assess whether the volatility profile aligns with your portfolio goals

FCFY Sharpe Ratio Market Positioning

The chart shows FCFY's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

Red zone (bottom 25%): 0.47 or lower
Yellow zone (middle 50%): 0.47 to 1.40
Green zone (top 25%): 1.40 or higher
Top 1%: 5.78+
Median: 0.94 — half of all investments score higher

How it compares to other similar ETFs

The table compares First Trust S&P 500 Diversified Free Cash Flow ETF's Sharpe Ratio with other ETFs in the Large Cap Value Equities, S&P 500 category across multiple time periods, showing how FCFY's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Apr 1, 2026.

Symbol	Name	1Y Sharpe Ratio
GCOW	Pacer Global Cash Cows Dividend ETF	2.27
VLUE	iShares Edge MSCI USA Value Factor ETF	1.87
FEGE	First Eagle Global Equity ETF	1.71
DEW	WisdomTree Global High Dividend Fund	1.69
SEIV	SEI Enhanced US Large Cap Value Factor ETF	1.66
SPHB	Invesco S&P 500® High Beta ETF	1.65
TGLR	LAFFER\|TENGLER Equity Income ETF	1.49
FDL	First Trust Morningstar Dividend Leaders Index Fund	1.47
HIBL	Direxion Daily S&P 500 High Beta Bull 3X Shares	1.45
PVAL	Putnam Focused Large Cap Value ETF	1.45
FCFY	First Trust S&P 500 Diversified Free Cash Flow ETF	0.48

Benchmark Against

Benchmark

S&P 500 Index

Lookback Period

How to choose period

Historical Sharpe Ratio

The chart shows FCFY's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when FCFY consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Explore FCFY risk-adjusted metrics in detail

Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.

FCFY Sortino Ratio