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EWX vs. FEMS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EWXFEMS
YTD Return8.39%2.86%
1Y Return16.44%9.10%
3Y Return (Ann)2.61%1.75%
5Y Return (Ann)9.34%6.34%
10Y Return (Ann)5.41%5.21%
Sharpe Ratio1.120.49
Sortino Ratio1.550.77
Omega Ratio1.211.09
Calmar Ratio1.820.50
Martin Ratio5.762.05
Ulcer Index2.91%3.94%
Daily Std Dev14.87%16.54%
Max Drawdown-63.90%-47.85%
Current Drawdown-6.26%-8.61%

Correlation

-0.50.00.51.00.8

The correlation between EWX and FEMS is 0.79, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

EWX vs. FEMS - Performance Comparison

In the year-to-date period, EWX achieves a 8.39% return, which is significantly higher than FEMS's 2.86% return. Both investments have delivered pretty close results over the past 10 years, with EWX having a 5.41% annualized return and FEMS not far behind at 5.21%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.97%
-3.36%
EWX
FEMS

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EWX vs. FEMS - Expense Ratio Comparison

EWX has a 0.65% expense ratio, which is lower than FEMS's 0.80% expense ratio.


FEMS
First Trust Emerging Markets Small Cap AlphaDEX Fund
Expense ratio chart for FEMS: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
Expense ratio chart for EWX: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%

Risk-Adjusted Performance

EWX vs. FEMS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Emerging Markets Small Cap ETF (EWX) and First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS). 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.


EWX
Sharpe ratio
The chart of Sharpe ratio for EWX, currently valued at 1.12, compared to the broader market-2.000.002.004.006.001.12
Sortino ratio
The chart of Sortino ratio for EWX, currently valued at 1.55, compared to the broader market-2.000.002.004.006.008.0010.0012.001.55
Omega ratio
The chart of Omega ratio for EWX, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for EWX, currently valued at 1.82, compared to the broader market0.005.0010.0015.001.82
Martin ratio
The chart of Martin ratio for EWX, currently valued at 5.76, compared to the broader market0.0020.0040.0060.0080.00100.005.76
FEMS
Sharpe ratio
The chart of Sharpe ratio for FEMS, currently valued at 0.49, compared to the broader market-2.000.002.004.006.000.49
Sortino ratio
The chart of Sortino ratio for FEMS, currently valued at 0.77, compared to the broader market-2.000.002.004.006.008.0010.0012.000.77
Omega ratio
The chart of Omega ratio for FEMS, currently valued at 1.09, compared to the broader market1.001.502.002.503.001.09
Calmar ratio
The chart of Calmar ratio for FEMS, currently valued at 0.50, compared to the broader market0.005.0010.0015.000.50
Martin ratio
The chart of Martin ratio for FEMS, currently valued at 2.05, compared to the broader market0.0020.0040.0060.0080.00100.002.05

EWX vs. FEMS - Sharpe Ratio Comparison

The current EWX Sharpe Ratio is 1.12, which is higher than the FEMS Sharpe Ratio of 0.49. The chart below compares the historical Sharpe Ratios of EWX and FEMS, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
1.12
0.49
EWX
FEMS

Dividends

EWX vs. FEMS - Dividend Comparison

EWX's dividend yield for the trailing twelve months is around 2.10%, less than FEMS's 3.69% yield.


TTM20232022202120202019201820172016201520142013
EWX
SPDR S&P Emerging Markets Small Cap ETF
2.10%2.32%3.00%2.77%2.24%2.73%3.26%2.30%2.46%3.04%2.74%2.33%
FEMS
First Trust Emerging Markets Small Cap AlphaDEX Fund
3.69%4.65%4.55%6.25%2.90%4.38%4.68%3.39%2.42%3.28%3.49%1.79%

Drawdowns

EWX vs. FEMS - Drawdown Comparison

The maximum EWX drawdown since its inception was -63.90%, which is greater than FEMS's maximum drawdown of -47.85%. Use the drawdown chart below to compare losses from any high point for EWX and FEMS. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.26%
-8.61%
EWX
FEMS

Volatility

EWX vs. FEMS - Volatility Comparison

SPDR S&P Emerging Markets Small Cap ETF (EWX) has a higher volatility of 5.14% compared to First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) at 4.33%. This indicates that EWX's price experiences larger fluctuations and is considered to be riskier than FEMS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
5.14%
4.33%
EWX
FEMS