PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EWX vs. FEMS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

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.


-0.50.00.51.00.8

Performance

EWX vs. FEMS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P Emerging Markets Small Cap ETF (EWX) and First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS). The values are adjusted to include any dividend payments, if applicable.

60.00%70.00%80.00%90.00%100.00%110.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
80.91%
100.39%
EWX
FEMS

Key characteristics

Sharpe Ratio

EWX:

0.83

FEMS:

0.39

Sortino Ratio

EWX:

1.18

FEMS:

0.62

Omega Ratio

EWX:

1.16

FEMS:

1.08

Calmar Ratio

EWX:

1.35

FEMS:

0.44

Martin Ratio

EWX:

3.52

FEMS:

1.41

Ulcer Index

EWX:

3.53%

FEMS:

4.49%

Daily Std Dev

EWX:

14.96%

FEMS:

16.41%

Max Drawdown

EWX:

-63.90%

FEMS:

-47.85%

Current Drawdown

EWX:

-6.23%

FEMS:

-8.69%

Returns By Period

In the year-to-date period, EWX achieves a 8.43% return, which is significantly higher than FEMS's 2.76% return. Both investments have delivered pretty close results over the past 10 years, with EWX having a 5.95% annualized return and FEMS not far behind at 5.92%.


EWX

YTD

8.43%

1M

0.85%

6M

4.46%

1Y

10.28%

5Y*

8.53%

10Y*

5.95%

FEMS

YTD

2.76%

1M

-0.29%

6M

-4.60%

1Y

5.23%

5Y*

4.80%

10Y*

5.92%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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.


Sharpe ratio
The chart of Sharpe ratio for EWX, currently valued at 0.83, compared to the broader market0.002.004.000.830.39
The chart of Sortino ratio for EWX, currently valued at 1.18, compared to the broader market-2.000.002.004.006.008.0010.001.180.62
The chart of Omega ratio for EWX, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.08
The chart of Calmar ratio for EWX, currently valued at 1.35, compared to the broader market0.005.0010.0015.001.350.44
The chart of Martin ratio for EWX, currently valued at 3.52, compared to the broader market0.0020.0040.0060.0080.00100.003.521.41
EWX
FEMS

The current EWX Sharpe Ratio is 0.83, which is higher than the FEMS Sharpe Ratio of 0.39. 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 Ratio0.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
0.83
0.39
EWX
FEMS

Dividends

EWX vs. FEMS - Dividend Comparison

EWX's dividend yield for the trailing twelve months is around 0.74%, less than FEMS's 4.90% yield.


TTM20232022202120202019201820172016201520142013
EWX
SPDR S&P Emerging Markets Small Cap ETF
0.74%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
3.93%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%JulyAugustSeptemberOctoberNovemberDecember
-6.23%
-8.69%
EWX
FEMS

Volatility

EWX vs. FEMS - Volatility Comparison

The current volatility for SPDR S&P Emerging Markets Small Cap ETF (EWX) is 4.45%, while First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) has a volatility of 5.54%. This indicates that EWX experiences smaller price fluctuations and is considered to be less risky 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%JulyAugustSeptemberOctoberNovemberDecember
4.45%
5.54%
EWX
FEMS
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab