FAB vs. FNCMX

Last updated Jun 23, 2026

FAB (First Trust Multi Cap Value AlphaDEX Fund) and FNCMX (Fidelity NASDAQ Composite Index Fund) are both funds - FAB is a Mid Cap Value Equities fund tracking the NASDAQ AlphaDEX Multi Cap Value Index, while FNCMX is a Large Cap Growth Equities fund tracking the Nasdaq Composite Index. Both are passively managed. Over the past 10 years, FAB returned 11.00%/yr vs 19.62%/yr for FNCMX. A 0.66 correlation means they provide meaningful diversification when combined. FAB charges 0.64%/yr vs 0.29%/yr for FNCMX.

Performance

FAB vs. FNCMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Multi Cap Value AlphaDEX Fund (FAB) and Fidelity NASDAQ Composite Index Fund (FNCMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FAB achieves a 11.98% return, which is significantly lower than FNCMX's 12.94% return. Over the past 10 years, FAB has underperformed FNCMX with an annualized return of 11.00%, while FNCMX has yielded a comparatively higher 19.62% annualized return.

FAB

• 1D: 0.12%
• 1M: 1.28%
• YTD: 11.98%
• 6M: 10.85%
• 1Y: 26.31%
• 3Y*: 15.38%
• 5Y*: 9.02%
• 10Y*: 11.00%

FNCMX

• 1D: -1.31%
• 1M: -0.56%
• YTD: 12.94%
• 6M: 11.41%
• 1Y: 34.15%
• 3Y*: 25.67%
• 5Y*: 13.84%
• 10Y*: 19.62%

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

FAB vs. FNCMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FAB First Trust Multi Cap Value AlphaDEX Fund	11.98%	9.86%	7.82%	15.81%	-6.79%	30.83%	2.40%	23.73%	-14.62%	14.62%
FNCMX Fidelity NASDAQ Composite Index Fund	12.94%	21.11%	29.48%	45.13%	-32.40%	22.21%	44.57%	36.63%	-3.07%	28.35%

Correlation

The correlation between FAB and FNCMX is 0.35, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.35
Correlation (3Y) Calculated over the trailing 3-year period	0.45
Correlation (5Y) Calculated over the trailing 5-year period	0.59
Correlation (10Y) Calculated over the trailing 10-year period	0.58
Correlation (All Time) Calculated using the full available price history since May 23, 2007	0.66

Over the past year, the correlation between FAB and FNCMX has dropped to 0.35 - well below their long-term average of 0.66, suggesting their price drivers have been diverging.

Return for Risk

FAB vs. FNCMX — Risk / Return Rank

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

FAB

FAB Risk / Return Rank: 65
FAB Sharpe Ratio Rank: 59
FAB Sortino Ratio Rank: 65
FAB Omega Ratio Rank: 56
FAB Calmar Ratio Rank: 79
FAB Martin Ratio Rank: 68

FNCMX

FNCMX Risk / Return Rank: 53
FNCMX Sharpe Ratio Rank: 56
FNCMX Sortino Ratio Rank: 49
FNCMX Omega Ratio Rank: 50
FNCMX Calmar Ratio Rank: 56
FNCMX Martin Ratio Rank: 54

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.

FAB vs. FNCMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Multi Cap Value AlphaDEX Fund (FAB) and Fidelity NASDAQ Composite Index Fund (FNCMX). 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.

	FAB	FNCMX	Difference
Sharpe ratio: Return per unit of total volatility	1.92	2.04	-0.13
Sortino ratio: Return per unit of downside risk	2.91	2.69	+0.22
Omega ratio: Gain probability vs. loss probability	1.34	1.36	-0.02
Calmar ratio: Return relative to maximum drawdown	3.97	2.74	+1.24
Martin ratio: Return relative to average drawdown	12.31	10.40	+1.91

FAB vs. FNCMX - Sharpe Ratio Comparison

The current FAB Sharpe Ratio is 1.92, which is comparable to the FNCMX Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of FAB and FNCMX, 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

FAB vs. FNCMX - Drawdown Comparison

The maximum FAB drawdown since its inception was -63.29%, which is greater than FNCMX's maximum drawdown of -55.08%. Use the drawdown chart below to compare losses from any high point for FAB and FNCMX.

Drawdown Indicators

	FAB	FNCMX	Difference
Max Drawdown Largest peak-to-trough decline	-63.29%	-55.08%	-8.21%
Max Drawdown (1Y) Largest decline over 1 year	-6.65%	-13.01%	+6.36%
Max Drawdown (3Y) Largest decline over 3 years	-22.91%	-24.20%	+1.29%
Max Drawdown (5Y) Largest decline over 5 years	-22.91%	-35.64%	+12.73%
Max Drawdown (10Y) Largest decline over 10 years	-47.08%	-35.64%	-11.44%
Current Drawdown Current decline from peak	-2.06%	-3.32%	+1.26%
Average Drawdown Average peak-to-trough decline	-9.23%	-7.85%	-1.38%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.14%	3.42%	-1.28%

Volatility

FAB vs. FNCMX - Volatility Comparison

The current volatility for First Trust Multi Cap Value AlphaDEX Fund (FAB) is 3.25%, while Fidelity NASDAQ Composite Index Fund (FNCMX) has a volatility of 7.36%. This indicates that FAB experiences smaller price fluctuations and is considered to be less risky than FNCMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FAB	FNCMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.25%	7.36%	-4.11%
Volatility (6M) Calculated over the trailing 6-month period	8.68%	13.73%	-5.05%
Volatility (1Y) Calculated over the trailing 1-year period	13.83%	17.48%	-3.65%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.67%	22.65%	-3.98%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.06%	22.15%	-0.09%

FAB vs. FNCMX - Expense Ratio Comparison

FAB has a 0.64% expense ratio, which is higher than FNCMX's 0.29% expense ratio.

Dividends

FAB vs. FNCMX - Dividend Comparison

FAB's dividend yield for the trailing twelve months is around 1.57%, more than FNCMX's 0.46% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FAB First Trust Multi Cap Value AlphaDEX Fund	1.57%	1.57%	2.00%	1.94%	1.80%	1.32%	1.59%	1.75%	1.96%	1.42%	1.40%	1.62%
FNCMX Fidelity NASDAQ Composite Index Fund	0.46%	0.51%	0.61%	0.67%	0.88%	0.47%	0.67%	4.41%	1.93%	0.03%	1.01%	1.50%

Frequently Asked Questions

Can I hold both FAB and FNCMX in my portfolio?

FAB and FNCMX have a correlation of 0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FAB or FNCMX?

FNCMX has higher volatility (7.36%) compared to FAB (3.25%). In terms of maximum drawdown, FAB dropped -63.29% vs FNCMX's -55.08%.

Which has better risk-adjusted returns?

FNCMX currently has the higher Sharpe Ratio (2.04 vs 1.92), 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.