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Investment Objective/Strategy - The First Trust Brazil 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 the Fund's fees and expenses, of an equity index called the NASDAQ AlphaDEX® Brazil Index.
There can be no assurance that the Fund's investment objectives will be achieved.
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The NASDAQ AlphaDEX® Brazil Index is an "enhanced" index created and administered by Nasdaq, Inc. ("Nasdaq") which employs
the AlphaDEX® stock selection methodology to select stocks from the NASDAQ Brazil Index that meet certain criteria.
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Nasdaq constructs the NASDAQ AlphaDEX® Brazil Index by ranking the eligible stocks from the NASDAQ Brazil
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.
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Each stock receives the best style rank from the previous step as its selection score.
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The top 50 stocks 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 and the top
ranked quintiles receive a higher weight within the index. The stocks are equally-weighted within each quintile.
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Each stock is then tested in order of its selection score rank to check if the weight assigned
to that stock is outside the sector weighting constraints, which are set at 15% above the benchmark weight.
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If the weight assigned to the stock, when added with the weight assigned to all higher ranking stocks in its sector,
is greater than the constraint, then the stock's weight is lowered to the highest rank in the next quintile.
Stocks previously lower in rank then move up one rank. Such stocks in the lowest quintile that violate a constraint
are removed from the portfolio and replaced by the highest scoring stock not originally selected, subject to sector
constraints. This process continues until all the sector weightings meet the constraint.
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The index is reconstituted and rebalanced semi-annually.
Ticker | FBZ |
Fund Type | International Equity |
Investment Advisor | First Trust Advisors L.P. |
Investor Servicing Agent | Brown Brothers Harriman |
CUSIP | 33737J133 |
ISIN | US33737J1337 |
Intraday NAV | FBZIV |
Fiscal Year-End | 12/31 |
Exchange | Nasdaq |
Inception | 4/18/2011 |
Inception Price | $29.69 |
Inception NAV | $29.69 |
Rebalance Frequency | Semi-Annual |
Expense Ratio | 0.80% |
Closing NAV1 | $15.20 |
Closing Market Price2 | $15.25 |
Bid/Ask Midpoint | $15.23 |
Bid/Ask Premium | 0.17% |
Total Net Assets | $143,630,690 |
Outstanding Shares | 9,450,002 |
Daily Volume | 28,896 |
Average 30-Day Daily Volume | 33,115 |
Closing Market Price 52-Week High/Low | $17.59 / $10.52 |
Closing NAV 52-Week High/Low | $17.61 / $10.49 |
Number of Holdings | 50 |
Maximum Market Cap. | $99,604 |
Median Market Cap. | $5,950 |
Minimum Market Cap. | $2,066 |
Price/Earnings | 13.19 |
Price/Book | 1.81 |
Price/Cash Flow | 9.22 |
Price/Sales | 1.34 |
Holding |
Percent |
Companhia Siderurgica Nacional S.A. (CSN) |
3.90% |
Kroton Educacional S.A. |
3.77% |
Cia. de Transmissao de Enegia Eletrica Paulista (Preference) |
3.33% |
Centrais Eletricas Brasileiras SA (Eletrobras) (Preference B) |
3.30% |
Gol Linhas Aereas Inteligentes S.A. (Preference Shares) |
3.26% |
Azul SA (Preference) |
3.12% |
Natura Cosmeticos S.A. |
3.12% |
Telefonica Brasil SA (Preference) |
3.10% |
TIM Participacoes S.A. |
3.09% |
EDP - Energias do Brasil SA |
3.02% |
Holdings are subject to change.
Past performance is not indicative of future results.
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 |
12/31/2018 |
26 |
8 |
0 |
3 |
9/30/2018 |
41 |
2 |
0 |
0 |
6/30/2018 |
16 |
0 |
0 |
0 |
3/31/2018 |
21 |
3 |
2 |
1 |
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 |
12/31/2018 |
22 |
3 |
1 |
0 |
9/30/2018 |
20 |
0 |
0 |
0 |
6/30/2018 |
42 |
5 |
1 |
0 |
3/31/2018 |
28 |
6 |
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.
Utilities
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21.10%
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Consumer Discretionary
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18.61%
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Financials
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16.34%
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Materials
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10.80%
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Industrials
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9.98%
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Consumer Staples
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8.06%
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Communication Services
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6.22%
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Energy
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4.95%
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Information Technology
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2.21%
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Health Care
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1.73%
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Standard Deviation |
Alpha |
Beta |
Sharpe Ratio |
Correlation |
FBZ |
32.81% |
0.14 |
0.86 |
1.06 |
0.98 |
MSCI Brazil Index |
35.63% |
-0.92 |
0.95 |
1.04 |
1.00 |
NASDAQ Brazil Index |
37.30% |
--- |
1.00 |
1.07 |
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.
MSCI Brazil Index - The Index measures the performance of the Brazilian equity market. NASDAQ Brazil Index - The Index is a float adjusted market capitalization-weighted index designed to track the performance of securities assigned to Brazil.
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The information presented is not intended to constitute an investment recommendation for, or advice to, any specific person. By providing this information, First Trust is not undertaking to give advice in any fiduciary capacity within the meaning of ERISA and the Internal Revenue Code. First Trust has no knowledge of and has not been provided any information regarding any investor. Financial advisors must determine whether particular investments are appropriate for their clients. First Trust believes the financial advisor is a fiduciary, is capable of evaluating investment risks independently and is responsible for exercising independent judgment with respect to its retirement plan clients.
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