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First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Investment Objective/Strategy - The First Trust Multi Cap Value AlphaDEX® Fund is an exchange-traded fund. The investment objective of the Fund is to seek investment results that correspond generally to the price and yield, before fees and expenses, of an equity index called the NASDAQ AlphaDEX® Multi Cap Value Index.
There can be no assurance that the Fund's investment objectives will be achieved.
  • The NASDAQ AlphaDEX® Multi Cap Value Index is an “enhanced” index created and administered by Nasdaq, Inc. (“Nasdaq”) which employs the AlphaDEX® stock selection methodology to select stocks that meet certain criteria from the three indices – NASDAQ US 500 Large Cap Index, NASDAQ US 600 Mid Cap Index and NASDAQ US 700 Small Cap Index.
  • Nasdaq constructs the NASDAQ AlphaDEX® Multi Cap Value Index by ranking the eligible stocks within each index on growth factors including 3-, 6- and 12- month price appreciation, sales to price and one year sales growth, and separately on value factors including book value to price, cash flow to price and return on assets. All stocks are ranked on the sum of ranks for the growth factors and, separately, all stocks are ranked on the sum of ranks for the value factors. A stock must have data for all growth and/or value factors to receive a rank for that style.
  • Each stock receives either its growth or value score as it’s selection score based on it’s style designation as determined by Nasdaq.
  • The top 187 stocks from the NASDAQ US 500 Large Cap Value Index, 225 stocks from the NASDAQ US 600 Mid Cap Value Index and 262 stocks from the NASDAQ US 700 Small Cap Value Index based on the selection score determined in the previous step comprise the “selected stocks”.
  • The selected stocks are divided into quintiles based on their rankings within their size class and the top ranked quintiles receive a higher weight within the index.
  • The NASDAQ AlphaDEX® Multi Cap Value Index is comprised of the selected stocks in the following weights: the stocks selected from the NASDAQ US 500 Large Cap Value Index comprise 50%, the stocks selected from the NASDAQ US 600 Mid Cap Value Index comprise 30%, and the stocks selected from the NASDAQ US 700 Small Cap Value Index comprise 20%.
  • The index is reconstituted and rebalanced quarterly.
Fund Overview
TickerFAB
Fund TypeMulti Cap Value
Investment AdvisorFirst Trust Advisors L.P.
Investor Servicing AgentBank of New York Mellon
CUSIP33733C108
ISINUS33733C1080
Intraday NAVFABIV
Fiscal Year-End07/31
ExchangeNasdaq
Inception5/8/2007
Inception Price$30.00
Inception NAV$30.00
Rebalance FrequencyQuarterly
Gross Expense Ratio*0.64%
Net Expense Ratio*0.64%
* As of 4/8/2016
Expenses are capped contractually at 0.70% per year, at least until April 7, 2017.
Current Fund Data (as of 6/24/2016)
Closing NAV1$41.69
Closing Share Price2$41.78
Bid/Ask Midpoint$41.68
Bid/Ask Discount0.02%
Total Net Assets$95,886,587
Outstanding Shares2,300,002
Daily Volume12,107
Average 30-Day Daily Volume7,644
Closing Share Price 52-Week High/Low$46.47 / $35.77
Closing NAV 52-Week High/Low$46.43 / $35.79
Number of Holdings675
Fund Characteristics (as of 5/31/2016)8
Maximum Market Cap.$369,131
Median Market Cap.$3,141
Minimum Market Cap.$245
Price/Earnings12.92
Price/Book1.41
Price/Cash Flow8.27
Price/Sales0.83
Top Holdings (as of 6/27/2016)
Holding Percent
Sprint Corporation 0.58%
Micron Technology, Inc. 0.56%
Archer-Daniels-Midland Company 0.52%
Antero Resources Corporation 0.51%
SunTrust Banks, Inc. 0.50%
Bunge Limited 0.48%
Regions Financial Corporation 0.48%
Fifth Third Bancorp 0.47%
Hewlett Packard Enterprise Company 0.47%
Marathon Oil Corporation 0.47%

Holdings are subject to change.

NAV History (Since Inception)
Past performance is not indicative of future results.
Distribution Information
Dividend per Share Amt3$0.1607
30-Day SEC Yield (as of 5/31/2016)41.64%
Unsubsidized 30-Day SEC Yield (as of 5/31/2016)51.64%
12-Month Distribution Rate (as of 5/31/2016)61.53%
Index Yield (as of 5/31/2016)72.54%
Bid/Ask Midpoint vs. NAV (as of 3/31/2016)
Number of Days Bid/Ask Midpoint Above NAV
Quarter Ended 0-49
Basis Points
50-99
Basis Points
100-199
Basis Points
>=200
Basis Points
3/31/2016 27 0 0 0
12/31/2015 30 0 0 0
9/30/2015 30 0 0 0
6/30/2015 44 0 0 0
Number of Days Bid/Ask Midpoint Below NAV
Quarter Ended 0-49
Basis Points
50-99
Basis Points
100-199
Basis Points
>=200
Basis Points
3/31/2016 34 0 0 0
12/31/2015 34 0 0 0
9/30/2015 34 0 0 0
6/30/2015 19 0 0 0

The price used to calculate market return is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange, on which shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated.

Top Sector Exposure (as of 6/27/2016)
Financials 28.22%
Consumer Discretionary 15.91%
Industrials 14.88%
Information Technology 10.92%
Energy 7.71%
Utilities 7.69%
Materials 5.88%
Consumer Staples 3.52%
Health Care 2.77%
Telecommunication Services 2.50%
Month End Performance (as of 5/31/2016)
  3 Mos YTD 1 Year 3 Year 5 Year 10 Year Since
Fund
Inception9
Fund Performance *
Net Asset Value (NAV) 11.18% 7.39% -7.35% 5.90% 8.40% N/A 5.65%
After Tax Held 11.05% 7.26% -7.97% 5.27% 7.80% N/A 5.10%
After Tax Sold 6.33% 4.18% -4.17% 4.26% 6.34% N/A 4.22%
Market Price 11.25% 7.42% -7.39% 5.86% 8.37% N/A 5.65%
Index Performance **
Defined Multi Cap Value Index 11.40% 7.72% -6.68% 6.70% 9.24% N/A 6.49%
Nasdaq AlphaDEX® Multi Cap Value Index 11.46% N/A N/A N/A N/A N/A N/A
Nasdaq US Multi Cap Value Index 10.10% N/A N/A N/A N/A N/A N/A
S&P Composite 1500 Index 9.43% 3.91% 1.50% 10.92% 11.49% N/A 6.14%
S&P Composite 1500 Value Index 10.43% 5.71% 0.32% 9.04% 10.50% N/A 4.25%
Quarter End Performance (as of 3/31/2016)
  3 Mos YTD 1 Year 3 Year 5 Year 10 Year Since
Fund
Inception9
Fund Performance *
Net Asset Value (NAV) 5.91% 5.91% -8.14% 6.87% 8.38% N/A 5.59%
After Tax Held 5.79% 5.79% -8.76% 6.23% 7.78% N/A 5.04%
After Tax Sold 3.34% 3.34% -4.61% 5.02% 6.32% N/A 4.16%
Market Price 6.01% 6.01% -8.18% 6.91% 8.38% N/A 5.60%
Index Performance **
Defined Multi Cap Value Index 6.12% 6.12% -7.46% 7.69% 9.22% N/A 6.44%
Nasdaq AlphaDEX® Multi Cap Value Index N/A N/A N/A N/A N/A N/A N/A
Nasdaq US Multi Cap Value Index N/A N/A N/A N/A N/A N/A N/A
S&P Composite 1500 Index 1.57% 1.57% 1.18% 11.59% 11.37% N/A 5.98%
S&P Composite 1500 Value Index 2.59% 2.59% -0.69% 9.43% 9.96% N/A 3.98%
3-Year Statistics (as of 5/31/2016)
  Standard Deviation Alpha Beta Sharpe Ratio Correlation
FAB 13.76% -3.86 1.13 0.46 0.93
S&P Composite 1500 Value Index 11.31% --- 1.00 0.79 1.00
Standard Deviation is a measure of price variability (risk). Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.Beta is a measure of price variability relative to the market. Sharpe Ratio is a measure of excess reward per unit of volatility. Correlation is a measure of the similarity of performance.

*Performance data quoted represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate and shares when sold or redeemed, may be worth more or less than their original cost.

On April 8, 2016, the fund's underlying index changed from the Defined Multi Cap Value Index to the NASDAQ AlphaDEX® Multi Cap Value Index. Therefore, the fund's performance and historical returns shown for the periods prior to this date are not necessarily indicative of the performance that the fund, based on its current index, would have generated.

After Tax Held returns represent return after taxes on distributions. Assumes shares have not been sold. After Tax Sold returns represent the return after taxes on distributions and the sale of fund shares. Returns do not represent the returns you would receive if you traded shares at other times. Market Price returns are based on the midpoint of the bid/ask spread. Returns are average annualized total returns, except those for periods of less than one year, which are cumulative. The fund's performance reflects fee waivers and expense reimbursements, absent which performance would have been lower.

After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown. The after-tax returns shown are not relevant to investors who hold their fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts.

**Performance information for the Defined Multi Cap Value Index is for illustrative purposes only and does not represent actual fund performance.
Indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index.
The gross expense ratio for this fund is 0.64%. Expenses are capped contractually at 0.70% per year, at least until April 7, 2017.

Nasdaq US Multi Cap Value Index - The Index is a float modified market capitalization weighted index that contains the top 50% of securities with the strongest value-oriented composite score from the Nasdaq US Select Index Family.

S&P Composite 1500 Index - The Index is an unmanaged index representing the large cap, mid cap and small cap segments of the U.S. equity market.

S&P Composite 1500 Value Index - The Index contains those securities with value characteristics from the S&P 1500 Index.

Footnotes
1 The NAV represents the fund's net assets (assets less liabilities) divided by the fund's outstanding shares .
2 Fund shares are purchased and sold on an exchange at their share price rather than net asset value (NAV), which may cause the shares to trade at a price greater than NAV (premium) or less than NAV (discount).
3 Most recent distribution paid or declared to today's date. Subject to change in the future. There is no guarantee that the fund will declare dividends.
4 The 30-day SEC yield is calculated by dividing the net investment income per share earned during the most recent 30-day period by the maximum offering price per share on the last day of the period and includes the effects of fee waivers and expense reimbursements, if applicable.
5 The unsubsidized 30-day SEC yield is calculated the same as the 30-day SEC yield, however it excludes contractual fee waivers and expense reimbursements.
6 12-Month Distribution Rate is calculated by dividing the sum of the fund's trailing 12-month ordinary distributions paid or declared by the NAV price. Distribution rates may vary.
7 Index yield represents the weighted average trailing 12-month dividend of the constituents of the Defined Multi Cap Value Index.
8 All market capitalization numbers are in USD$ Millions.
9 Inception Date is 5/8/2007

You should consider the fund's investment objectives, risks, and charges and expenses carefully before investing. You can download a prospectus or summary prospectus, or contact First Trust Portfolios L.P. at 1-800-621-1675 to request a prospectus or summary prospectus which contains this and other information about the fund. The prospectus or summary prospectus should be read carefully before investing.

ETF Characteristics

The fund lists and principally trades its shares on The Nasdaq Stock Market LLC.

The fund's return may not match the return of the Defined Multi Cap Value Index.  Securities held by the fund will generally not be bought or sold in response to market fluctuations.

Investors buying or selling fund shares on the secondary market may incur customary brokerage commissions. Market prices may differ to some degree from the net asset value of the shares. Investors who sell fund shares may receive less than the share's net asset value. Shares may be sold throughout the day on the exchange through any brokerage account. However, unlike mutual funds, shares may only be redeemed directly from the fund by authorized participants, in very large creation/redemption units.

Risk Considerations

The fund's shares will change in value, and you could lose money by investing in the fund. One of the principal risks of investing in the fund is market risk. Market risk is the risk that a particular stock owned by the fund, fund shares or stocks in general may fall in value. There can be no assurance that the fund's investment objective will be achieved.

The fund may invest in securities issued by companies concentrated in a particular industry. The fund may invest in small capitalization and mid capitalization companies. Such companies may experience greater price volatility than larger, more established companies.

The fund is classified as "non-diversified" and may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly concentrated in certain issuers.

First Trust Advisors L.P. is the adviser to the fund. First Trust Advisors L.P. is an affiliate of First Trust Portfolios L.P., the fund's distributor.

The NASDAQ AlphaDEX® Multi Cap Value Index (the"Index") is a trademark of Nasdaq, Inc. and has been licensed for use by First Trust Portfolios L.P. AlphaDEX® is a trademark owned by First Trust Portfolios L.P. and has been licensed to Nasdaq, Inc. for use in the name of the Index. The First Trust Multi Cap Value AlphaDEX® Fund is not sponsored, endorsed, sold or promoted by Nasdaq, Inc. and Nasdaq, Inc. makes no representation or warranty regarding the advisability of investing in the First Trust Multi Cap Value AlphaDEX® Fund or as to the result to be obtained by any person from use of the Index in connection with the trading of the First Trust Multi Cap Value AlphaDEX® Fund.

"AlphaDEX®" is a registered trademark of First Trust Portfolios L.P. First Trust Portfolios L.P. has obtained a patent for the AlphaDEX® stock selection methodology from the United States Patent and Trademark Office.

Not FDIC Insured • Not Bank Guaranteed • May Lose Value
 
First Trust Portfolios L.P.  Member SIPC and FINRA.
First Trust Advisors L.P.
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