PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
FXZ vs. FXR
Performance
Return for Risk
Dividends
Drawdowns
Volatility

FXZ vs. FXR

Last updated Apr 1, 2026

Compare and contrast key facts about First Trust Materials AlphaDEX Fund (FXZ) and First Trust Industrials/Producer Durables AlphaDEX Fund (FXR).

FXZ and FXR are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FXZ is a passively managed fund by First Trust that tracks the performance of the StrataQuant Materials Index. It was launched on May 8, 2007. FXR is a passively managed fund by First Trust that tracks the performance of the StrataQuant Industrials Index. It was launched on May 8, 2007. Both FXZ and FXR are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.

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.

Loading graphics...

FXZ vs. FXR - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FXZ
First Trust Materials AlphaDEX Fund		17.95%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		2.31%7.56%16.19%26.98%-16.68%25.07%12.82%33.42%-15.12%24.20%

Returns By Period

In the year-to-date period, FXZ achieves a 17.95% return, which is significantly higher than FXR's 2.31% return. Over the past 10 years, FXZ has underperformed FXR with an annualized return of 11.09%, while FXR has yielded a comparatively higher 12.30% annualized return.

FXZ

1D
3.07%
1M
-3.11%
YTD
17.95%
6M
24.85%
1Y
39.96%
3Y*
7.22%
5Y*
8.21%
10Y*
11.09%

FXR

1D
3.42%
1M
-9.65%
YTD
2.31%
6M
4.90%
1Y
18.03%
3Y*
14.54%
5Y*
8.21%
10Y*
12.30%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

First Trust Materials AlphaDEX Fund

First Trust Industrials/Producer Durables AlphaDEX Fund

Often compared with FXZ:
FXZ vs. SLXFXZ vs. URNMFXZ vs. COPXFXZ vs. PALLFXZ vs. UYMFXZ vs. NANRFXZ vs. MLPX
Often compared with FXR:
FXR vs. FIDUFXR vs. VISFXR vs. IYJFXR vs. XLIFXR vs. AIRRFXR vs. XLKFXR vs. DIA

FXZ vs. FXR - Expense Ratio Comparison

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

FXZ
First Trust Materials AlphaDEX Fund
FXR
First Trust Industrials/Producer Durables AlphaDEX Fund

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: 8282
Overall Rank
FXZ Sharpe Ratio Rank: 8181
Sharpe Ratio Rank
FXZ Sortino Ratio Rank: 8282
Sortino Ratio Rank
FXZ Omega Ratio Rank: 7777
Omega Ratio Rank
FXZ Calmar Ratio Rank: 8484
Calmar Ratio Rank
FXZ Martin Ratio Rank: 8484
Martin Ratio Rank
FXR
FXR Risk / Return Rank: 4646
Overall Rank
FXR Sharpe Ratio Rank: 4343
Sharpe Ratio Rank
FXR Sortino Ratio Rank: 4747
Sortino Ratio Rank
FXR Omega Ratio Rank: 4242
Omega Ratio Rank
FXR Calmar Ratio Rank: 5151
Calmar Ratio Rank
FXR Martin Ratio Rank: 4646
Martin Ratio Rank
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.

FXZFXRDifference

Sharpe ratio

Return per unit of total volatility

1.52

0.77

+0.75

Sortino ratio

Return per unit of downside risk

2.12

1.27

+0.85

Omega ratio

Gain probability vs. loss probability

1.29

1.16

+0.13

Calmar ratio

Return relative to maximum drawdown

2.45

1.29

+1.16

Martin ratio

Return relative to average drawdown

9.45

4.34

+5.10

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FXZ vs. FXR - Sharpe Ratio Comparison

The current FXZ Sharpe Ratio is 1.52, which is higher than the FXR Sharpe Ratio of 0.77. The chart below compares the historical Sharpe Ratios of FXZ and FXR, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Loading graphics...

Sharpe Ratios by Period

FXZFXRDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.52

0.77

+0.75

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.34

0.40

-0.06

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.45

0.57

-0.12

Sharpe Ratio (All Time)

Calculated using the full available price history

0.33

0.36

-0.03

Correlation

The correlation between FXZ and FXR 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.

Dividends

FXZ vs. FXR - Dividend Comparison

FXZ's dividend yield for the trailing twelve months is around 1.52%, more than FXR's 0.67% yield.

TTM20252024202320222021202020192018201720162015
FXZ
First Trust Materials AlphaDEX Fund		1.52%1.74%1.81%1.97%1.56%1.11%1.51%1.58%1.38%1.01%1.19%1.26%
FXR
First Trust Industrials/Producer Durables AlphaDEX Fund		0.67%0.71%0.72%0.77%0.92%0.52%1.06%0.74%1.18%0.55%0.52%0.62%

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.

Loading graphics...

Drawdown Indicators

FXZFXRDifference

Max Drawdown

Largest peak-to-trough decline

-65.46%

-63.81%

-1.65%

Max Drawdown (1Y)

Largest decline over 1 year

-16.38%

-14.42%

-1.96%

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

-4.10%

-10.71%

+6.61%

Average Drawdown

Average peak-to-trough decline

-11.45%

-10.40%

-1.05%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.25%

4.27%

-0.02%

Volatility

FXZ vs. FXR - Volatility Comparison

First Trust Materials AlphaDEX Fund (FXZ) has a higher volatility of 8.64% compared to First Trust Industrials/Producer Durables AlphaDEX Fund (FXR) at 7.55%. 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.

Loading graphics...

Volatility by Period

FXZFXRDifference

Volatility (1M)

Calculated over the trailing 1-month period

8.64%

7.55%

+1.09%

Volatility (6M)

Calculated over the trailing 6-month period

17.29%

14.04%

+3.25%

Volatility (1Y)

Calculated over the trailing 1-year period

26.42%

23.45%

+2.97%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

24.10%

20.38%

+3.72%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

24.79%

21.83%

+2.96%