FTFX.L vs. FEXU.L
FTFX.L (First Trust FactorFX UCITS ETF Class A USD) and FEXU.L (First Trust US Large Cap Core AlphaDEX UCITS ETF) are both exchange-traded funds - FTFX.L is a Global Equities fund tracking the First Trust FactorFX UCITS ETF Class A USD, while FEXU.L is a Large Cap Blend Equities fund tracking the Russell 1000 TR USD. Both are passively managed. Over the past 5 years, FTFX.L returned 5.92%/yr vs 10.86%/yr for FEXU.L. At a 0.23 correlation, their price movements are largely independent.
Performance
FTFX.L vs. FEXU.L - Performance Comparison
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Returns By Period
In the year-to-date period, FTFX.L achieves a 6.72% return, which is significantly lower than FEXU.L's 13.98% return.
FTFX.L
- 1D
- 0.81%
- 1M
- 2.12%
- 6M
- 6.59%
- YTD
- 6.72%
- 1Y
- 10.31%
- 3Y*
- 6.78%
- 5Y*
- 5.92%
- 10Y*
- —
FEXU.L
- 1D
- -0.66%
- 1M
- -2.13%
- 6M
- 10.97%
- YTD
- 13.98%
- 1Y
- 23.64%
- 3Y*
- 17.77%
- 5Y*
- 10.86%
- 10Y*
- 12.38%
FTFX.L vs. FEXU.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FTFX.L First Trust FactorFX UCITS ETF Class A USD | 6.72% | 8.14% | 7.93% | 9.97% | -1.13% | -3.43% | 0.33% | 4.18% | 0.10% | 0.45% |
FEXU.L First Trust US Large Cap Core AlphaDEX UCITS ETF | 13.98% | 15.23% | 16.68% | 14.66% | -12.27% | 26.82% | 13.52% | 26.07% | -11.03% | 9.36% |
Correlation
The correlation between FTFX.L and FEXU.L is 0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.01 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.20 |
Correlation (All Time) Calculated using the full available price history since Jul 27, 2017 | 0.23 |
Over the past year, the correlation between FTFX.L and FEXU.L has dropped to 0.01 - well below their long-term average of 0.23, suggesting their price drivers have been diverging.
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Return for Risk
FTFX.L vs. FEXU.L — Risk / Return Rank
FTFX.L
FEXU.L
FTFX.L vs. FEXU.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust FactorFX UCITS ETF Class A USD (FTFX.L) and First Trust US Large Cap Core AlphaDEX UCITS ETF (FEXU.L). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FTFX.L | FEXU.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.33 | ||
| Sortino ratioReturn per unit of downside risk | -0.59 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.33 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 3.30 | 4.23 | -0.93 |
| Martin ratioReturn relative to average drawdown | 10.01 | 13.80 | -3.79 |
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Drawdowns
FTFX.L vs. FEXU.L - Drawdown Comparison
The maximum FTFX.L drawdown since its inception was -8.13%, smaller than the maximum FEXU.L drawdown of -39.38%. Use the drawdown chart below to compare losses from any high point for FTFX.L and FEXU.L.
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Drawdown Indicators
| FTFX.L | FEXU.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -8.13% | -39.38% | +31.25% |
Max Drawdown (1Y)Largest decline over 1 year | -2.97% | -5.56% | +2.59% |
Max Drawdown (3Y)Largest decline over 3 years | -6.92% | -20.15% | +13.23% |
Max Drawdown (5Y)Largest decline over 5 years | -6.92% | -20.80% | +13.88% |
Max Drawdown (10Y)Largest decline over 10 years | — | -39.38% | — |
Current DrawdownCurrent decline from peak | 0.00% | -2.73% | +2.73% |
Average DrawdownAverage peak-to-trough decline | -2.08% | -4.37% | +2.29% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.98% | 1.71% | -0.73% |
Volatility
FTFX.L vs. FEXU.L - Volatility Comparison
The current volatility for First Trust FactorFX UCITS ETF Class A USD (FTFX.L) is 1.26%, while First Trust US Large Cap Core AlphaDEX UCITS ETF (FEXU.L) has a volatility of 3.96%. This indicates that FTFX.L experiences smaller price fluctuations and is considered to be less risky than FEXU.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FTFX.L | FEXU.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.26% | 3.96% | -2.70% |
Volatility (6M)Calculated over the trailing 6-month period | 4.37% | 9.47% | -5.10% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.34% | 12.55% | -6.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.33% | 16.35% | -9.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.18% | 17.31% | -11.13% |
Dividends
FTFX.L vs. FEXU.L - Dividend Comparison
Neither FTFX.L nor FEXU.L has paid dividends to shareholders.
Frequently Asked Questions
FTFX.L and FEXU.L have a correlation of 0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FTFX.L is categorized as Global Equities, while FEXU.L is Large Cap Blend Equities. FTFX.L tracks First Trust FactorFX UCITS ETF Class A USD, while FEXU.L tracks Russell 1000 TR USD.
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