- ISIN
- US33737J3077
- CUSIP
- 33737J307
- Issuer
- First Trust
- Inception Date
- Feb 15, 2012
- Region
- Emerging Markets (Broad)
- Category
- Emerging Markets Equities
- Leveraged
- 1x (No leverage)
- Index Tracked
- NASDAQ AlphaDEX EM Small Cap Index
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Mid-Cap
- Asset Class Style
- Blend
- Assets Under Management
- $261M
Share Price Chart
Loading charts...
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Performance
FEMS Performance Chart
First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) is up 12.9% since the beginning of the year. FEMS is currently trading at $47 per share. Investors who bought $1,000 worth of FEMS shares 5 years ago would now be looking at an investment worth $1,277.
Loading charts...
Returns By Period
First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) has returned 12.92% so far this year and 25.95% over the past 12 months. Over the last ten years, FEMS has returned 9.75% per year, falling short of the S&P 500 Index benchmark, which averaged 13.88% annually.
First Trust Emerging Markets Small Cap AlphaDEX Fund
- 1D
- 0.48%
- 1M
- 0.93%
- YTD
- 12.92%
- 6M
- 13.60%
- 1Y
- 25.95%
- 3Y*
- 14.00%
- 5Y*
- 5.02%
- 10Y*
- 9.75%
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
FEMS Monthly Returns History
Based on dividend-adjusted daily data since Feb 17, 2012, FEMS's average daily return is +0.04%, while the average monthly return is +0.71%. At this rate, an investment would double in approximately 8.2 years.
Historically, 55% of months were positive and 45% were negative. The best month was Nov 2020 with a return of +16.5%, while the worst month was Mar 2020 at -26.7%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 5 months.
On a daily basis, FEMS closed higher 51% of trading days. The best single day was Mar 13, 2012 with a return of +48.1%, while the worst single day was Mar 14, 2012 at -33.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 7.24% | 5.92% | -4.09% | 4.56% | -1.48% | 0.63% | 12.92% | ||||||
| 2025 | -0.92% | -0.86% | 0.55% | 0.00% | 4.87% | 5.56% | 1.39% | 6.35% | 2.12% | -4.32% | 1.41% | -0.29% | 16.48% |
| 2024 | -1.25% | 2.90% | -0.47% | 0.77% | 3.85% | 1.54% | -0.17% | -2.46% | 4.82% | -4.77% | -0.28% | -2.20% | 1.88% |
| 2023 | 2.88% | -4.49% | -2.48% | -2.10% | -2.99% | 4.76% | 8.58% | -0.56% | -0.33% | -7.44% | 4.66% | 4.18% | 3.55% |
| 2022 | 0.39% | -2.21% | 3.31% | -5.58% | 1.28% | -8.53% | -1.64% | 3.38% | -7.73% | 4.39% | 15.47% | 1.52% | 1.85% |
| 2021 | -0.34% | 5.78% | 1.69% | 4.80% | 1.54% | 1.63% | -5.16% | 1.94% | -4.62% | -2.65% | -3.88% | 3.71% | 3.76% |
Benchmark Metrics
First Trust Emerging Markets Small Cap AlphaDEX Fund has an annualized alpha of -0.51%, beta of 0.78, and R2 of 0.26 versus S&P 500 Index. Calculated based on daily prices since February 17, 2012.
- This ETF participated in 96.88% of S&P 500 Index downside but only 74.28% of its upside - more exposed to losses than it benefited from rallies.
- R2 of 0.26 means this ETF moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- -0.51%
- Beta
- 0.78
- R²
- 0.26
- Upside Capture
- 74.28%
- Downside Capture
- 96.88%
Expense Ratio
FEMS has an expense ratio of 0.80%, placing it in the medium range.
Return for Risk
Risk / Return Rank
FEMS ranks 49 for risk / return — on par with similar ETFs. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FEMS | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.45 | ||
| Sortino ratioReturn per unit of downside risk | -0.59 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.37 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.90 | 2.78 | +0.12 |
| Martin ratioReturn relative to average drawdown | 7.35 | 12.44 | -5.09 |
Dividends
Dividend History
First Trust Emerging Markets Small Cap AlphaDEX Fund provided a 4.25% dividend yield over the last twelve months, with an annual payout of $2.01 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $2.01 | $1.80 | $1.50 | $1.79 | $1.77 | $2.51 | $1.19 | $1.73 | $1.51 | $1.47 | $0.73 | $0.89 |
Dividend yield | 4.25% | 4.27% | 3.97% | 4.65% | 4.55% | 6.25% | 2.90% | 4.37% | 4.68% | 3.39% | 2.42% | 3.28% |
Monthly Dividends
The table displays the monthly dividend distributions for First Trust Emerging Markets Small Cap AlphaDEX Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.30 | $0.00 | $0.00 | $0.00 | $0.30 | ||||||
| 2025 | $0.00 | $0.00 | $0.09 | $0.00 | $0.00 | $0.52 | $0.00 | $0.00 | $0.53 | $0.00 | $0.00 | $0.65 | $1.80 |
| 2024 | $0.00 | $0.00 | $0.17 | $0.00 | $0.00 | $0.54 | $0.00 | $0.00 | $0.34 | $0.00 | $0.00 | $0.45 | $1.50 |
| 2023 | $0.00 | $0.00 | $0.10 | $0.00 | $0.00 | $0.66 | $0.00 | $0.00 | $0.65 | $0.00 | $0.00 | $0.37 | $1.79 |
| 2022 | $0.00 | $0.00 | $0.12 | $0.00 | $0.00 | $0.81 | $0.00 | $0.00 | $0.75 | $0.00 | $0.00 | $0.09 | $1.77 |
| 2021 | $0.00 | $0.00 | $0.51 | $0.00 | $0.00 | $0.43 | $0.00 | $0.00 | $0.73 | $0.00 | $0.00 | $0.84 | $2.51 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Loading charts...
Worst Drawdowns
The table below displays the maximum drawdowns of the First Trust Emerging Markets Small Cap AlphaDEX Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the First Trust Emerging Markets Small Cap AlphaDEX Fund was 47.85%, occurring on Mar 23, 2020. Recovery took 201 trading sessions.
The current First Trust Emerging Markets Small Cap AlphaDEX Fund drawdown is 4.23%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -47.85%Mar 2020 | 2y 1mo | 9mo 20d | 2y 11moJan 2018 - Jan 2021 |
2012 bear market2012 | -45.48%Jun 2012 | 2mo 22d | 5y 2mo | 5y 5moMar 2012 - Aug 2017 |
Bear market2022 | -30.40%Sep 2022 | 1y 3mo | 2y 9mo | 4y 28dJun 2021 - Jul 2025 |
2026 pullback2026 | -8.98%Jun 2026 | 29d | — | 1mo 17dMay 2026 - now |
2026 pullback2026 | -8.59%Mar 2026 | 21d | 21d | 1mo 12dFeb 2026 - Apr 2026 |
Drawdown Indicators
| FEMS | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.85% | -56.78% | +8.93% |
Max Drawdown (1Y)Largest decline over 1 year | -8.98% | -9.10% | +0.12% |
Max Drawdown (3Y)Largest decline over 3 years | -21.09% | -18.90% | -2.19% |
Max Drawdown (5Y)Largest decline over 5 years | -26.43% | -25.43% | -1.00% |
Max Drawdown (10Y)Largest decline over 10 years | -47.85% | -33.92% | -13.93% |
Current DrawdownCurrent decline from peak | -4.23% | -1.80% | -2.43% |
Average DrawdownAverage peak-to-trough decline | -17.37% | -10.71% | -6.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.54% | 2.03% | +1.51% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading charts...
Build a portfolio with FEMS
Add First Trust Emerging Markets Small Cap AlphaDEX Fund to a portfolio and analyze allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Analyzer with FEMS