FTA vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about First Trust Large Cap Value AlphaDEX Fund (FTA) and S&P 500 Index (^GSPC).

FTA is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX Large Cap Value Index. It was launched on May 8, 2007.

Performance

FTA vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Large Cap Value AlphaDEX Fund (FTA) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

FTA vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FTA First Trust Large Cap Value AlphaDEX Fund	7.31%	14.94%	10.13%	10.08%	-3.73%	29.32%	-0.38%	24.73%	-13.63%	18.47%
^GSPC S&P 500 Index	-3.95%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%

Returns By Period

In the year-to-date period, FTA achieves a 7.31% return, which is significantly higher than ^GSPC's -3.95% return. Over the past 10 years, FTA has underperformed ^GSPC with an annualized return of 10.73%, while ^GSPC has yielded a comparatively higher 12.24% annualized return.

FTA

• 1D: -0.29%
• 1M: -2.78%
• YTD: 7.31%
• 6M: 11.00%
• 1Y: 22.47%
• 3Y*: 13.84%
• 5Y*: 9.77%
• 10Y*: 10.73%

^GSPC

• 1D: 0.72%
• 1M: -4.45%
• YTD: -3.95%
• 6M: -2.02%
• 1Y: 16.73%
• 3Y*: 16.96%
• 5Y*: 10.34%
• 10Y*: 12.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

FTA vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FTA

FTA Risk / Return Rank: 69
FTA Sharpe Ratio Rank: 71
FTA Sortino Ratio Rank: 73
FTA Omega Ratio Rank: 70
FTA Calmar Ratio Rank: 63
FTA Martin Ratio Rank: 71

^GSPC

^GSPC Risk / Return Rank: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FTA vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Large Cap Value AlphaDEX Fund (FTA) and S&P 500 Index (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	FTA	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	1.32	0.92	+0.40
Sortino ratio Return per unit of downside risk	1.92	1.41	+0.51
Omega ratio Gain probability vs. loss probability	1.27	1.21	+0.06
Calmar ratio Return relative to maximum drawdown	1.72	1.41	+0.31
Martin ratio Return relative to average drawdown	8.05	6.61	+1.44
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FTA vs. ^GSPC - Sharpe Ratio Comparison

The current FTA Sharpe Ratio is 1.32, which is higher than the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of FTA and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	FTA	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.32	0.92	+0.40
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.60	0.61	-0.01
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.54	0.68	-0.14
Sharpe Ratio (All Time) Calculated using the full available price history	0.38	0.46	-0.08

Correlation

The correlation between FTA and ^GSPC is 0.81, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

FTA vs. ^GSPC - Drawdown Comparison

The maximum FTA drawdown since its inception was -62.45%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for FTA and ^GSPC.

Drawdown Indicators

	FTA	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-62.45%	-56.78%	-5.67%
Max Drawdown (1Y) Largest decline over 1 year	-12.94%	-12.14%	-0.80%
Max Drawdown (5Y) Largest decline over 5 years	-19.80%	-25.43%	+5.63%
Max Drawdown (10Y) Largest decline over 10 years	-44.97%	-33.92%	-11.05%
Current Drawdown Current decline from peak	-2.78%	-5.78%	+3.00%
Average Drawdown Average peak-to-trough decline	-9.11%	-10.75%	+1.64%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.77%	2.60%	+0.17%

Volatility

FTA vs. ^GSPC - Volatility Comparison

The current volatility for First Trust Large Cap Value AlphaDEX Fund (FTA) is 3.11%, while S&P 500 Index (^GSPC) has a volatility of 5.37%. This indicates that FTA experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FTA	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.11%	5.37%	-2.26%
Volatility (6M) Calculated over the trailing 6-month period	8.37%	9.55%	-1.18%
Volatility (1Y) Calculated over the trailing 1-year period	17.08%	18.33%	-1.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.31%	16.90%	-0.59%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.00%	18.05%	+1.95%