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First Trust Industrials/Producer Durables AlphaDEX Fund (FXR) Sharpe Ratio: 1.23

ETF · Currency in USD · Last updated Jun 3, 2026

FXR is a passive ETF by First Trust tracking the investment results of the StrataQuant Industrials Index. FXR launched on May 8, 2007 and has a 0.64% expense ratio.

FXR's Sharpe Ratio of 1.23 indicates that for each unit of volatility, it generates 1.23 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 3, 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.

FXR Sharpe Ratio Rank

FXR Sharpe Ratio Rank: 33.934
Below Average

FXR ranks above 33.9% 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

FXR Sharpe Ratio Market Positioning

The chart shows FXR'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%): 0.90 or lower
  • Yellow zone (middle 50%): 0.90 to 2.51
  • Green zone (top 25%): 2.51 or higher
  • Top 1%: 7.90+
  • Median: 1.77 — half of all investments score higher

How it compares to other similar ETFs

The table compares First Trust Industrials/Producer Durables AlphaDEX Fund's Sharpe Ratio with other ETFs in the Industrials Equities category across multiple time periods, showing how FXR'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 Jun 3, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
ROKTSPDR S&P Kensho Final Frontiers ETF4.31
KARSKraneShares Electric Vehicles and Future Mobility Index ETF3.06
MADEiShares U.S. Manufacturing ETF2.59
PRNInvesco DWA Industrials Momentum ETF2.33
RBLDFirst Trust Alerian U.S. NextGen Infrastructure ETF2.27
HWAYThemes US Infrastructure ETF2.23
HVACAdvisorShares HVAC and Industrials ETF2.19
FTXRFirst Trust Nasdaq Transportation ETF2.07
IFRAiShares U.S. Infrastructure ETF2.02
SEAU.S. Global Sea to Sky Cargo ETF1.94
FXRFirst Trust Industrials/Producer Durables AlphaDEX Fund1.23

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows FXR'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 FXR consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

How does FXR fit in your portfolio?

Add your other holdings to see your portfolio's Sharpe Ratio and find out.

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