ECML vs. FNK

Last updated Jun 4, 2026

ECML (EA Series Trust - Euclidean Fundamental Value ETF) and FNK (First Trust Mid Cap Value AlphaDEX Fund) are both Small Cap Value Equities funds. ECML is actively managed, while FNK is passively managed. Over the past 3 years, ECML returned 15.57%/yr vs 13.11%/yr for FNK. Their correlation of 0.91 suggests significant overlap in exposure. ECML charges 0.95%/yr vs 0.70%/yr for FNK.

Performance

ECML vs. FNK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in EA Series Trust - Euclidean Fundamental Value ETF (ECML) and First Trust Mid Cap Value AlphaDEX Fund (FNK). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ECML achieves a 14.39% return, which is significantly higher than FNK's 7.22% return.

ECML

• 1D: 0.16%
• 1M: 1.49%
• YTD: 14.39%
• 6M: 14.23%
• 1Y: 26.84%
• 3Y*: 15.57%
• 5Y*: —
• 10Y*: —

FNK

• 1D: -0.38%
• 1M: 0.68%
• YTD: 7.22%
• 6M: 7.56%
• 1Y: 19.55%
• 3Y*: 13.11%
• 5Y*: 6.97%
• 10Y*: 9.29%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ECML vs. FNK - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
ECML EA Series Trust - Euclidean Fundamental Value ETF	14.39%	6.82%	2.37%	24.36%
FNK First Trust Mid Cap Value AlphaDEX Fund	7.22%	5.65%	6.65%	20.77%

Correlation

The correlation between ECML and FNK is 0.87, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.87
Correlation (3Y) Calculated over the trailing 3-year period	0.91
Correlation (All Time) Calculated using the full available price history since May 19, 2023	0.91

The correlation between ECML and FNK has been stable across timeframes, ranging from 0.87 to 0.91 - a consistent structural relationship.

ECML vs. FNK - Sectors Allocation Comparison

Sectors	ECML	FNK
Consumer Cyclical	23.8%	19.0%
Healthcare	16.6%	5.3%
Industrials	14.2%	12.8%
Energy	13.2%	8.4%
Consumer Defensive	12.4%	3.5%
Basic Materials	10.6%	4.0%
Technology	5.3%	7.1%
Communication Services	3.9%	1.3%
Utilities	1.4%	4.4%
Financial Services	-	25.2%
Real Estate	-	7.5%

Return for Risk

ECML vs. FNK — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ECML

ECML Risk / Return Rank: 61
ECML Sharpe Ratio Rank: 55
ECML Sortino Ratio Rank: 61
ECML Omega Ratio Rank: 53
ECML Calmar Ratio Rank: 77
ECML Martin Ratio Rank: 62

FNK

FNK Risk / Return Rank: 38
FNK Sharpe Ratio Rank: 35
FNK Sortino Ratio Rank: 39
FNK Omega Ratio Rank: 35
FNK Calmar Ratio Rank: 43
FNK Martin Ratio Rank: 39

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ECML vs. FNK - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for EA Series Trust - Euclidean Fundamental Value ETF (ECML) and First Trust Mid Cap Value AlphaDEX Fund (FNK). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	ECML	FNK	Difference
Sharpe ratio: Return per unit of total volatility	1.86	1.29	+0.57
Sortino ratio: Return per unit of downside risk	2.85	2.02	+0.83
Omega ratio: Gain probability vs. loss probability	1.32	1.23	+0.09
Calmar ratio: Return relative to maximum drawdown	3.85	2.15	+1.69
Martin ratio: Return relative to average drawdown	11.05	6.23	+4.82
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ECML vs. FNK - Sharpe Ratio Comparison

The current ECML Sharpe Ratio is 1.86, which is higher than the FNK Sharpe Ratio of 1.29. The chart below compares the historical Sharpe Ratios of ECML and FNK, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ECML	FNK	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.86	1.29	+0.57
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.33	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.39	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.86	0.40	+0.46

Drawdowns

ECML vs. FNK - Drawdown Comparison

The maximum ECML drawdown since its inception was -24.66%, smaller than the maximum FNK drawdown of -50.70%. Use the drawdown chart below to compare losses from any high point for ECML and FNK.

Drawdown Indicators

	ECML	FNK	Difference
Max Drawdown Largest peak-to-trough decline	-24.66%	-50.70%	+26.04%
Max Drawdown (1Y) Largest decline over 1 year	-7.01%	-9.13%	+2.12%
Max Drawdown (3Y) Largest decline over 3 years	-24.66%	-25.16%	+0.50%
Max Drawdown (5Y) Largest decline over 5 years	—	-25.16%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-50.70%	—
Current Drawdown Current decline from peak	-0.27%	-2.16%	+1.89%
Average Drawdown Average peak-to-trough decline	-5.88%	-6.84%	+0.96%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.44%	3.15%	-0.71%

Volatility

ECML vs. FNK - Volatility Comparison

EA Series Trust - Euclidean Fundamental Value ETF (ECML) has a higher volatility of 3.84% compared to First Trust Mid Cap Value AlphaDEX Fund (FNK) at 3.53%. This indicates that ECML's price experiences larger fluctuations and is considered to be riskier than FNK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ECML	FNK	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.84%	3.53%	+0.31%
Volatility (6M) Calculated over the trailing 6-month period	9.75%	9.69%	+0.06%
Volatility (1Y) Calculated over the trailing 1-year period	14.56%	15.36%	-0.80%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.39%	21.04%	-2.65%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.39%	23.86%	-5.47%

ECML vs. FNK - Expense Ratio Comparison

ECML has a 0.95% expense ratio, which is higher than FNK's 0.70% expense ratio.

Dividends

ECML vs. FNK - Dividend Comparison

ECML's dividend yield for the trailing twelve months is around 1.20%, less than FNK's 1.56% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ECML EA Series Trust - Euclidean Fundamental Value ETF	1.20%	1.38%	0.98%	0.77%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
FNK First Trust Mid Cap Value AlphaDEX Fund	1.56%	1.53%	1.63%	1.76%	1.66%	1.27%	1.61%	1.82%	1.76%	1.40%	1.38%	1.45%

Frequently Asked Questions

Can I hold both ECML and FNK in my portfolio?

ECML and FNK have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ECML or FNK?

ECML has higher volatility (3.84%) compared to FNK (3.53%). In terms of maximum drawdown, ECML dropped -24.66% vs FNK's -50.70%.

Which ETF is better, ECML or FNK?

On 3-year performance, ECML leads with 15.57% vs 13.11% for FNK. On fees, FNK is cheaper at 0.70% per year. On volatility, FNK has been the lower-risk option at 3.53%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ECML or FNK?

Over the 3-year period, ECML has performed better with a 15.57% return vs 13.11%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ECML or FNK?

FNK is cheaper with a 0.70% expense ratio, compared with 0.95% for ECML.

Which ETF pays a higher dividend yield, ECML or FNK?

FNK has the higher dividend yield at 1.56%, compared with 1.20% for ECML.

What is the main difference between ECML and FNK?

They also come from different issuers: Euclidean and First Trust. Their fees differ too: 0.95% for ECML and 0.70% for FNK.

Which has better risk-adjusted returns?

ECML currently has the higher Sharpe Ratio (1.86 vs 1.29), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.