EYLD vs. FEMS
Compare and contrast key facts about Cambria Emerging Shareholder Yield ETF (EYLD) and First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS).
EYLD and FEMS are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EYLD is an actively managed fund by Cambria. It was launched on Jul 14, 2016. FEMS is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX EM Small Cap Index. It was launched on Feb 15, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EYLD or FEMS.
Performance
EYLD vs. FEMS - Performance Comparison
Returns By Period
In the year-to-date period, EYLD achieves a 8.01% return, which is significantly higher than FEMS's 3.69% return.
EYLD
8.01%
-2.68%
-5.67%
14.50%
6.69%
N/A
FEMS
3.69%
-0.23%
-4.31%
6.82%
6.23%
5.35%
Key characteristics
| EYLD | FEMS | |
|---|---|---|
| Sharpe Ratio | 0.97 | 0.42 |
| Sortino Ratio | 1.40 | 0.67 |
| Omega Ratio | 1.17 | 1.08 |
| Calmar Ratio | 1.27 | 0.44 |
| Martin Ratio | 4.25 | 1.63 |
| Ulcer Index | 3.41% | 4.18% |
| Daily Std Dev | 14.96% | 16.13% |
| Max Drawdown | -41.82% | -47.85% |
| Current Drawdown | -7.60% | -7.87% |
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EYLD vs. FEMS - Expense Ratio Comparison
EYLD has a 0.65% expense ratio, which is lower than FEMS's 0.80% expense ratio.
Correlation
The correlation between EYLD and FEMS is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
EYLD vs. FEMS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Cambria Emerging Shareholder Yield ETF (EYLD) 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.
Dividends
EYLD vs. FEMS - Dividend Comparison
EYLD's dividend yield for the trailing twelve months is around 3.94%, more than FEMS's 3.66% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EYLD Cambria Emerging Shareholder Yield ETF | 3.94% | 5.54% | 6.97% | 7.27% | 3.01% | 4.21% | 7.86% | 2.77% | 0.75% | 0.00% | 0.00% | 0.00% |
FEMS First Trust Emerging Markets Small Cap AlphaDEX Fund | 3.66% | 4.65% | 4.55% | 6.25% | 2.90% | 4.38% | 4.68% | 3.39% | 2.42% | 3.28% | 3.49% | 1.79% |
Drawdowns
EYLD vs. FEMS - Drawdown Comparison
The maximum EYLD drawdown since its inception was -41.82%, smaller than the maximum FEMS drawdown of -47.85%. Use the drawdown chart below to compare losses from any high point for EYLD and FEMS. For additional features, visit the drawdowns tool.
Volatility
EYLD vs. FEMS - Volatility Comparison
Cambria Emerging Shareholder Yield ETF (EYLD) has a higher volatility of 4.55% compared to First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) at 4.02%. This indicates that EYLD'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.