Launched on 05/08/2007, the First Trust Energy AlphaDEX ETF (FXN) is a smart beta exchange traded fund offering broad exposure to the Energy ETFs category of the market.What Are Smart Beta ETFs?The ETF industry has traditionally been dominated by products based on market capitalization weighted indexes that are designed to represent the market or a particular segment of the market.Market cap weighted indexes work great for investors who believe in market efficiency. They provide a low-cost, convenient and transparent way of replicating market returns.However, some investors believe in the possibility of beating the market through exceptional stock selection, and choose a different type of fund that tracks non-cap weighted strategies: smart beta.This kind of index follows this same mindset, as it attempts to pick stocks that have better chances of risk-return performance; non-cap weighted strategies base selection on certain fundamental characteristics, or a mix of such characteristics.Methodologies like equal-weighting, one of the simplest options out there, fundamental weighting, and volatility/momentum based weighting are all choices offered to investors in this space, but not all of them can deliver superior returns.Fund Sponsor & IndexBecause the fund has amassed over $1.99 billion, this makes it one of the larger ETFs in the Energy ETFs. FXN is managed by First Trust Advisors. Before fees and expenses, this particular fund seeks to match the performance of the StrataQuant Energy Index.The StrataQuant Energy Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX screening methodology.Cost & Other ExpensesExpense ratios are an important factor in the return of an ETF and in the long-term, cheaper funds can significantly outperform their more expensive cousins, other things remaining the same.Operating expenses on an annual basis are 0.64% for FXN, making it on par with most peer products in the space.The fund has a 12-month trailing dividend yield of 1.83%.Sector Exposure and Top HoldingsIt is important to delve into an ETF's holdings before investing despite the many upsides to these kinds of funds like diversified exposure, which minimizes single stock risk. And, most ETFs are very transparent products that disclose their holdings on a daily basis.Representing 94.70% of the portfolio, the fund has heaviest allocation to the Energy sector.When you look at individual holdings, Antero Resources Corporation (AR) accounts for about 4.85% of the fund's total assets, followed by Cheniere Energy, Inc. (LNG) and Southwestern Energy Company (SWN).FXN's top 10 holdings account for about 39.92% of its total assets under management.Performance and RiskThe ETF has added about 47.91% so far this year and was up about 53.05% in the last one year (as of 12/06/2022). In the past 52-week period, it has traded between $11.40 and $19.40.FXN has a beta of 1.82 and standard deviation of 49.02% for the trailing three-year period, which makes the fund a high risk choice in the space. With about 41 holdings, it has more concentrated exposure than peers.AlternativesFirst Trust Energy AlphaDEX ETF is an excellent option for investors seeking to outperform the Energy ETFs segment of the market. There are other ETFs in the space which investors could consider as well.Vanguard Energy ETF (VDE) tracks MSCI US Investable Market Energy 25/50 Index and the Energy Select Sector SPDR ETF (XLE) tracks Energy Select Sector Index. Vanguard Energy ETF has $8.52 billion in assets, Energy Select Sector SPDR ETF has $41.20 billion. VDE has an expense ratio of 0.10% and XLE charges 0.10%.Investors looking for cheaper and lower-risk options should consider traditional market cap weighted ETFs that aim to match the returns of the Energy ETFs.Bottom LineTo learn more about this product and other ETFs, screen for products that match your investment objectives and read articles on latest developments in the ETF investing universe, please visit Zacks ETF Center. 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Click to get this free report First Trust Energy AlphaDEX ETF (FXN): ETF Research Reports Southwestern Energy Company (SWN): Free Stock Analysis Report Cheniere Energy, Inc. (LNG): Free Stock Analysis Report Energy Select Sector SPDR ETF (XLE): ETF Research Reports Antero Resources Corporation (AR): Free Stock Analysis Report Vanguard Energy ETF (VDE): ETF Research ReportsTo read this article on Zacks.com click here.Zacks Investment Research