EMXF vs. FEM

Last updated Jun 24, 2026

EMXF (iShares ESG Advanced MSCI EM ETF) and FEM (First Trust Emerging Markets AlphaDEX Fund) are both Emerging Markets Equities funds - EMXF tracks the MSCI Emerging Markets Choice ESG Screened 5% Issuer Capped Index while FEM tracks the NASDAQ AlphaDEX EM Index. Both are passively managed. Over the past 5 years, EMXF returned 7.11%/yr vs 6.91%/yr for FEM. A 0.72 correlation means they provide meaningful diversification when combined. EMXF charges 0.16%/yr vs 0.80%/yr for FEM.

Performance

EMXF vs. FEM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Advanced MSCI EM ETF (EMXF) and First Trust Emerging Markets AlphaDEX Fund (FEM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EMXF achieves a 24.26% return, which is significantly higher than FEM's 16.29% return.

EMXF

• 1D: -4.12%
• 1M: 5.10%
• YTD: 24.26%
• 6M: 24.79%
• 1Y: 43.07%
• 3Y*: 21.44%
• 5Y*: 7.11%
• 10Y*: —

FEM

• 1D: -3.61%
• 1M: -2.59%
• YTD: 16.29%
• 6M: 15.74%
• 1Y: 35.75%
• 3Y*: 19.09%
• 5Y*: 6.91%
• 10Y*: 9.60%

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

EMXF vs. FEM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
EMXF iShares ESG Advanced MSCI EM ETF	24.26%	29.40%	8.03%	6.63%	-18.99%	4.45%	15.65%
FEM First Trust Emerging Markets AlphaDEX Fund	16.29%	28.36%	3.01%	10.84%	-14.24%	7.40%	13.31%

Correlation

The correlation between EMXF and FEM is 0.81, 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	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.71
Correlation (All Time) Calculated using the full available price history since Oct 13, 2020	0.72

The correlation between EMXF and FEM has been stable across timeframes, ranging from 0.71 to 0.81 - a consistent structural relationship.

EMXF vs. FEM - Sectors Allocation Comparison

Sectors	EMXF	FEM
Financial Services	34.3%	6.4%
Technology	33.4%	28.4%
Communication Services	8.5%	4.6%
Industrials	5.6%	19.8%
Consumer Cyclical	5.2%	5.7%
Healthcare	3.6%	2.8%
Basic Materials	2.8%	7.8%
Consumer Defensive	2.6%	2.9%
Real Estate	1.4%	2.6%
Utilities	0.6%	6.1%
Energy	0.0%	12.9%

Return for Risk

EMXF vs. FEM — Risk / Return Rank

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

EMXF

EMXF Risk / Return Rank: 71
EMXF Sharpe Ratio Rank: 71
EMXF Sortino Ratio Rank: 66
EMXF Omega Ratio Rank: 73
EMXF Calmar Ratio Rank: 73
EMXF Martin Ratio Rank: 74

FEM

FEM Risk / Return Rank: 66
FEM Sharpe Ratio Rank: 62
FEM Sortino Ratio Rank: 53
FEM Omega Ratio Rank: 60
FEM Calmar Ratio Rank: 79
FEM Martin Ratio Rank: 75

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.

EMXF vs. FEM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI EM ETF (EMXF) and First Trust Emerging Markets AlphaDEX Fund (FEM). 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.

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.

	EMXF	FEM	Difference
Sharpe ratio: Return per unit of total volatility	2.13	1.90	+0.22
Sortino ratio: Return per unit of downside risk	2.82	2.42	+0.40
Omega ratio: Gain probability vs. loss probability	1.40	1.34	+0.05
Calmar ratio: Return relative to maximum drawdown	3.45	3.86	-0.41
Martin ratio: Return relative to average drawdown	12.92	13.27	-0.35

EMXF vs. FEM - Sharpe Ratio Comparison

The current EMXF Sharpe Ratio is 2.13, which is comparable to the FEM Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of EMXF and FEM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

EMXF vs. FEM - Drawdown Comparison

The maximum EMXF drawdown since its inception was -33.13%, smaller than the maximum FEM drawdown of -46.23%. Use the drawdown chart below to compare losses from any high point for EMXF and FEM.

Drawdown Indicators

	EMXF	FEM	Difference
Max Drawdown Largest peak-to-trough decline	-33.13%	-46.23%	+13.10%
Max Drawdown (1Y) Largest decline over 1 year	-12.53%	-9.31%	-3.22%
Max Drawdown (3Y) Largest decline over 3 years	-15.93%	-18.79%	+2.86%
Max Drawdown (5Y) Largest decline over 5 years	-32.89%	-31.72%	-1.17%
Max Drawdown (10Y) Largest decline over 10 years	—	-46.23%	—
Current Drawdown Current decline from peak	-4.12%	-5.81%	+1.69%
Average Drawdown Average peak-to-trough decline	-11.93%	-15.00%	+3.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.34%	2.70%	+0.64%

Volatility

EMXF vs. FEM - Volatility Comparison

iShares ESG Advanced MSCI EM ETF (EMXF) has a higher volatility of 10.32% compared to First Trust Emerging Markets AlphaDEX Fund (FEM) at 8.76%. This indicates that EMXF's price experiences larger fluctuations and is considered to be riskier than FEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EMXF	FEM	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.32%	8.76%	+1.56%
Volatility (6M) Calculated over the trailing 6-month period	18.35%	16.30%	+2.05%
Volatility (1Y) Calculated over the trailing 1-year period	20.37%	18.88%	+1.49%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.50%	18.67%	+3.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.99%	20.97%	+1.02%

EMXF vs. FEM - Expense Ratio Comparison

EMXF has a 0.16% expense ratio, which is lower than FEM's 0.80% expense ratio.

Dividends

EMXF vs. FEM - Dividend Comparison

EMXF's dividend yield for the trailing twelve months is around 2.67%, which matches FEM's 2.67% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EMXF iShares ESG Advanced MSCI EM ETF	2.67%	3.43%	2.92%	2.25%	2.42%	1.87%	0.41%	0.00%	0.00%	0.00%	0.00%	0.00%
FEM First Trust Emerging Markets AlphaDEX Fund	2.67%	3.13%	3.66%	4.96%	6.15%	4.15%	2.68%	3.31%	3.52%	2.45%	2.25%	3.61%

Frequently Asked Questions

Can I hold both EMXF and FEM in my portfolio?

EMXF and FEM have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EMXF or FEM?

EMXF has higher volatility (10.32%) compared to FEM (8.76%). In terms of maximum drawdown, EMXF dropped -33.13% vs FEM's -46.23%.

Which ETF is better, EMXF or FEM?

On 5-year performance, EMXF leads with 7.11% vs 6.91% for FEM. On fees, EMXF is cheaper at 0.16% per year. On volatility, FEM has been the lower-risk option at 8.76%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EMXF or FEM?

Over the 5-year period, EMXF has performed better with a 7.11% return vs 6.91%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EMXF or FEM?

EMXF is cheaper with a 0.16% expense ratio, compared with 0.80% for FEM.

Which ETF pays a higher dividend yield, EMXF or FEM?

EMXF and FEM have nearly identical dividend yields, around 2.67%.

What is the main difference between EMXF and FEM?

EMXF tracks MSCI Emerging Markets Choice ESG Screened 5% Issuer Capped Index, while FEM tracks NASDAQ AlphaDEX EM Index. They also come from different issuers: iShares and First Trust. Their fees differ too: 0.16% for EMXF and 0.80% for FEM.

Which has better risk-adjusted returns?

EMXF currently has the higher Sharpe Ratio (2.13 vs 1.90), 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.