PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan

First Trust Materials AlphaDEX Fund (FXZ) Sharpe Ratio: 1.98

ETF · Currency in USD · Last updated Jun 24, 2026

FXZ is a passive ETF by First Trust tracking the investment results of the StrataQuant Materials Index. FXZ launched on May 8, 2007 and has a 0.67% expense ratio.

FXZ's Sharpe Ratio of 1.98 indicates that for each unit of volatility, it generates 1.98 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 24, 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. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

FXZ Sharpe Ratio Rank

FXZ Sharpe Ratio Rank: 64.564
Above Average

FXZ ranks above 64.5% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating above-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

  • Above-average risk-adjusted returns with room for improvement
  • Compare against category peers to gauge relative positioning
  • Monitor for movement toward top tier or decline toward median
  • Consider pairing with top-tier holdings to improve portfolio efficiency

FXZ Sharpe Ratio Market Positioning

The chart shows FXZ'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%): 0.83 or lower
  • Yellow zone (middle 50%): 0.83 to 2.16
  • Green zone (top 25%): 2.16 or higher
  • Top 1%: 7.03+
  • Median: 1.57 — half of all investments score higher

How it compares to other similar ETFs

The table compares First Trust Materials AlphaDEX Fund's Sharpe Ratio with other ETFs in the Materials category across multiple time periods, showing how FXZ'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 24, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
SLXVanEck Vectors Steel ETF2.43
PICKiShares MSCI Global Metals & Mining Producers ETF2.31
PSCMInvesco S&P SmallCap Materials ETF2.22
SETMSprott Critical Materials ETF2.05
FXZFirst Trust Materials AlphaDEX Fund1.98
XMESPDR S&P Metals & Mining ETF1.89
IYMiShares U.S. Basic Materials ETF1.69
MXIiShares Global Materials ETF1.45
PYZInvesco DWA Basic Materials Momentum ETF1.43
RSPMInvesco S&P 500® Equal Weight Materials ETF1.19

S&P 500 Index

How to choose period

Historical Sharpe Ratio

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

Loading charts...

Sharpe Ratio Calculator

How does FXZ fit in your portfolio?

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

Analyze Your Portfolio