FXZ vs. FXR

Last updated Jun 24, 2026

FXZ (First Trust Materials AlphaDEX Fund) and FXR (First Trust Industrials/Producer Durables AlphaDEX Fund) are both exchange-traded funds - FXZ is a Materials fund tracking the StrataQuant Materials Index, while FXR is a Industrials Equities fund tracking the StrataQuant Industrials Index. Both are passively managed. Over the past 10 years, FXZ returned 11.46%/yr vs 13.33%/yr for FXR. Their correlation of 0.81 suggests significant overlap in exposure. FXZ charges 0.67%/yr vs 0.64%/yr for FXR.

Performance

FXZ vs. FXR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Materials AlphaDEX Fund (FXZ) and First Trust Industrials/Producer Durables AlphaDEX Fund (FXR). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FXZ achieves a 24.42% return, which is significantly higher than FXR's 9.23% return. Over the past 10 years, FXZ has underperformed FXR with an annualized return of 11.46%, while FXR has yielded a comparatively higher 13.33% annualized return.

FXZ

• 1D: -2.45%
• 1M: 0.61%
• YTD: 24.42%
• 6M: 22.36%
• 1Y: 44.84%
• 3Y*: 11.20%
• 5Y*: 8.66%
• 10Y*: 11.46%

FXR

• 1D: -1.51%
• 1M: 1.86%
• YTD: 9.23%
• 6M: 7.46%
• 1Y: 20.59%
• 3Y*: 15.76%
• 5Y*: 9.01%
• 10Y*: 13.33%

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

FXZ vs. FXR - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FXZ First Trust Materials AlphaDEX Fund	24.42%	16.25%	-16.31%	16.27%	-0.92%	30.84%	22.52%	21.52%	-22.62%	23.72%
FXR First Trust Industrials/Producer Durables AlphaDEX Fund	9.23%	7.56%	16.19%	26.98%	-16.68%	25.07%	12.82%	33.42%	-15.12%	24.20%

Correlation

The correlation between FXZ and FXR is 0.79, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.79
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (10Y) Calculated over the trailing 10-year period	0.83
Correlation (All Time) Calculated using the full available price history since May 10, 2007	0.81

The correlation between FXZ and FXR has been stable across timeframes, ranging from 0.78 to 0.83 - a consistent structural relationship.

FXZ vs. FXR - Sectors Allocation Comparison

Sectors	FXZ	FXR
Basic Materials	76.9%	6.2%
Industrials	15.4%	70.5%
Consumer Cyclical	5.1%	7.5%
Communication Services	-	-
Consumer Defensive	-	-
Energy	-	-
Financial Services	-	3.4%
Healthcare	-	0.7%
Real Estate	-	-
Technology	-	10.3%
Utilities	-	0.7%

Return for Risk

FXZ vs. FXR — Risk / Return Rank

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

FXZ

FXZ Risk / Return Rank: 66
FXZ Sharpe Ratio Rank: 64
FXZ Sortino Ratio Rank: 61
FXZ Omega Ratio Rank: 57
FXZ Calmar Ratio Rank: 74
FXZ Martin Ratio Rank: 73

FXR

FXR Risk / Return Rank: 32
FXR Sharpe Ratio Rank: 31
FXR Sortino Ratio Rank: 33
FXR Omega Ratio Rank: 29
FXR Calmar Ratio Rank: 32
FXR Martin Ratio Rank: 34

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.

FXZ vs. FXR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Materials AlphaDEX Fund (FXZ) and First Trust Industrials/Producer Durables AlphaDEX Fund (FXR). 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.

	FXZ	FXR	Difference
Sharpe ratio: Return per unit of total volatility	1.98	1.06	+0.92
Sortino ratio: Return per unit of downside risk	2.68	1.66	+1.02
Omega ratio: Gain probability vs. loss probability	1.33	1.19	+0.14
Calmar ratio: Return relative to maximum drawdown	3.53	1.51	+2.02
Martin ratio: Return relative to average drawdown	13.08	4.70	+8.38

FXZ vs. FXR - Sharpe Ratio Comparison

The current FXZ Sharpe Ratio is 1.98, which is higher than the FXR Sharpe Ratio of 1.06. The chart below compares the historical Sharpe Ratios of FXZ and FXR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FXZ vs. FXR - Drawdown Comparison

The maximum FXZ drawdown since its inception was -65.46%, roughly equal to the maximum FXR drawdown of -63.81%. Use the drawdown chart below to compare losses from any high point for FXZ and FXR.

Drawdown Indicators

	FXZ	FXR	Difference
Max Drawdown Largest peak-to-trough decline	-65.46%	-63.81%	-1.65%
Max Drawdown (1Y) Largest decline over 1 year	-12.75%	-13.66%	+0.91%
Max Drawdown (3Y) Largest decline over 3 years	-33.99%	-26.65%	-7.34%
Max Drawdown (5Y) Largest decline over 5 years	-33.99%	-26.85%	-7.14%
Max Drawdown (10Y) Largest decline over 10 years	-49.41%	-44.71%	-4.70%
Current Drawdown Current decline from peak	-5.23%	-4.67%	-0.56%
Average Drawdown Average peak-to-trough decline	-11.33%	-10.34%	-0.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.44%	4.39%	-0.95%

Volatility

FXZ vs. FXR - Volatility Comparison

First Trust Materials AlphaDEX Fund (FXZ) has a higher volatility of 7.83% compared to First Trust Industrials/Producer Durables AlphaDEX Fund (FXR) at 6.19%. This indicates that FXZ's price experiences larger fluctuations and is considered to be riskier than FXR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FXZ	FXR	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.83%	6.19%	+1.64%
Volatility (6M) Calculated over the trailing 6-month period	17.24%	15.19%	+2.05%
Volatility (1Y) Calculated over the trailing 1-year period	22.77%	19.55%	+3.22%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.19%	20.67%	+3.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.93%	21.91%	+3.02%

FXZ vs. FXR - Expense Ratio Comparison

FXZ has a 0.67% expense ratio, which is higher than FXR's 0.64% expense ratio.

Dividends

FXZ vs. FXR - Dividend Comparison

FXZ's dividend yield for the trailing twelve months is around 1.44%, more than FXR's 0.62% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FXR First Trust Industrials/Producer Durables AlphaDEX Fund	0.62%	0.71%	0.72%	0.77%	0.92%	0.52%	1.06%	0.74%	1.18%	0.55%	0.52%	0.62%
FXZ First Trust Materials AlphaDEX Fund	1.44%	1.74%	1.81%	1.97%	1.56%	1.11%	1.51%	1.58%	1.38%	1.01%	1.19%	1.26%

Frequently Asked Questions

Can I hold both FXZ and FXR in my portfolio?

FXZ and FXR have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FXZ or FXR?

FXZ has higher volatility (7.83%) compared to FXR (6.19%). In terms of maximum drawdown, FXZ dropped -65.46% vs FXR's -63.81%.

Which ETF is better, FXZ or FXR?

On 10-year performance, FXR leads with 13.33% vs 11.46% for FXZ. On fees, FXR is cheaper at 0.64% per year. On volatility, FXR has been the lower-risk option at 6.19%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FXZ or FXR?

Over the 10-year period, FXR has performed better with a 13.33% return vs 11.46%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FXZ or FXR?

FXR is cheaper with a 0.64% expense ratio, compared with 0.67% for FXZ.

Which ETF pays a higher dividend yield, FXZ or FXR?

FXZ has the higher dividend yield at 1.44%, compared with 0.62% for FXR.

What is the main difference between FXZ and FXR?

FXZ is categorized as Materials, while FXR is Industrials Equities. FXZ tracks StrataQuant Materials Index, while FXR tracks StrataQuant Industrials Index. Their fees differ too: 0.67% for FXZ and 0.64% for FXR.

Which has better risk-adjusted returns?

FXZ currently has the higher Sharpe Ratio (1.98 vs 1.06), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.