FEX’s “mid-cap and value tilts do not come without risk. Since inception, the fund has had a volatility of 19%, 2 percentage points greater than the S&P 500. It also fell more than the S&P 500 Index during the financial crisis in 2008. Still, it has offered decent performance, and investors have been compensated for accepting this greater risk–at least during the past several years,” according to Rawson.

Over the past three years, FEX is up 58.2% with annualized volatility of 17.9% compared to a 59.8% gain for the S&P 500 with annualized volatility of 16.2%, according to ETF Replay data.

FEX is underweight the technology, financial services and health care sectors relative to the S&P 500. The ETF is overweight energy and utilities, the two best sectors in the S&P 500 this year, but FEX is also overweight consumer discretionary. That is the worst-performing sector in the benchmark U.S. index this year. [Discretionary ETFs Show Signs of Life]

First Trust Large Cap Core AlphaDEX Fund