FAB vs. USFR
FAB (First Trust Multi Cap Value AlphaDEX Fund) and USFR (WisdomTree Floating Rate Treasury Fund) are both exchange-traded funds - FAB is a Mid Cap Value Equities fund tracking the NASDAQ AlphaDEX Multi Cap Value Index, while USFR is a Government Bonds fund tracking the Bloomberg U.S. Treasury Floating Rate Bond Index. Both are passively managed. Over the past 10 years, FAB returned 10.39%/yr vs 2.47%/yr for USFR. At a correlation of -0.00, they often move in opposite directions. FAB charges 0.64%/yr vs 0.15%/yr for USFR.
Performance
FAB vs. USFR - Performance Comparison
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Returns By Period
In the year-to-date period, FAB achieves a 10.72% return, which is significantly higher than USFR's 1.60% return. Over the past 10 years, FAB has outperformed USFR with an annualized return of 10.39%, while USFR has yielded a comparatively lower 2.47% annualized return.
FAB
- 1D
- -0.79%
- 1M
- 0.77%
- YTD
- 10.72%
- 6M
- 11.08%
- 1Y
- 26.09%
- 3Y*
- 15.20%
- 5Y*
- 7.87%
- 10Y*
- 10.39%
USFR
- 1D
- 0.02%
- 1M
- 0.29%
- YTD
- 1.60%
- 6M
- 1.98%
- 1Y
- 4.03%
- 3Y*
- 4.76%
- 5Y*
- 3.66%
- 10Y*
- 2.47%
FAB vs. USFR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FAB First Trust Multi Cap Value AlphaDEX Fund | 10.72% | 9.86% | 7.82% | 15.81% | -6.79% | 30.83% | 2.40% | 23.73% | -14.62% | 14.62% |
USFR WisdomTree Floating Rate Treasury Fund | 1.60% | 4.23% | 5.47% | 5.18% | 1.98% | -0.03% | 0.56% | 2.02% | 2.01% | 1.03% |
Correlation
The correlation between FAB and USFR is -0.11, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.03 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since Feb 5, 2014 | -0.00 |
The correlation between FAB and USFR shifts across timeframes, from -0.11 (1 year) to -0.00 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
FAB vs. USFR — Risk / Return Rank
FAB
USFR
FAB vs. USFR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Multi Cap Value AlphaDEX Fund (FAB) and WisdomTree Floating Rate Treasury Fund (USFR). 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.
| FAB | USFR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -13.21 | ||
| Sortino ratioReturn per unit of downside risk | -47.72 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 13.43 | -12.10 |
| Calmar ratioReturn relative to maximum drawdown | 3.94 | 203.42 | -199.48 |
| Martin ratioReturn relative to average drawdown | 12.25 | 787.84 | -775.59 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FAB | USFR | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.91 | 15.11 | -13.21 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.42 | 9.26 | -8.84 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.47 | 3.07 | -2.60 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.34 | 1.60 | -1.26 |
Drawdowns
FAB vs. USFR - Drawdown Comparison
The maximum FAB drawdown since its inception was -63.29%, which is greater than USFR's maximum drawdown of -1.36%. Use the drawdown chart below to compare losses from any high point for FAB and USFR.
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Drawdown Indicators
| FAB | USFR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.29% | -1.36% | -61.93% |
Max Drawdown (1Y)Largest decline over 1 year | -6.65% | -0.02% | -6.63% |
Max Drawdown (3Y)Largest decline over 3 years | -22.91% | -0.06% | -22.85% |
Max Drawdown (5Y)Largest decline over 5 years | -22.91% | -0.18% | -22.73% |
Max Drawdown (10Y)Largest decline over 10 years | -47.08% | -0.80% | -46.28% |
Current DrawdownCurrent decline from peak | -0.98% | 0.00% | -0.98% |
Average DrawdownAverage peak-to-trough decline | -9.25% | -0.16% | -9.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.14% | 0.01% | +2.13% |
Volatility
FAB vs. USFR - Volatility Comparison
First Trust Multi Cap Value AlphaDEX Fund (FAB) has a higher volatility of 3.15% compared to WisdomTree Floating Rate Treasury Fund (USFR) at 0.06%. This indicates that FAB's price experiences larger fluctuations and is considered to be riskier than USFR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FAB | USFR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.15% | 0.06% | +3.09% |
Volatility (6M)Calculated over the trailing 6-month period | 8.64% | 0.18% | +8.46% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.81% | 0.27% | +13.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.72% | 0.40% | +18.32% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.06% | 0.81% | +21.25% |
FAB vs. USFR - Expense Ratio Comparison
FAB has a 0.64% expense ratio, which is higher than USFR's 0.15% expense ratio.
Dividends
FAB vs. USFR - Dividend Comparison
FAB's dividend yield for the trailing twelve months is around 1.59%, less than USFR's 3.91% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FAB First Trust Multi Cap Value AlphaDEX Fund | 1.59% | 1.57% | 2.00% | 1.94% | 1.80% | 1.32% | 1.59% | 1.75% | 1.96% | 1.42% | 1.40% | 1.62% |
USFR WisdomTree Floating Rate Treasury Fund | 3.91% | 4.15% | 5.17% | 5.12% | 1.78% | 0.01% | 0.40% | 2.08% | 1.67% | 1.03% | 0.29% | 0.00% |
Frequently Asked Questions
FAB and USFR have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FAB has higher volatility (3.15%) compared to USFR (0.06%). In terms of maximum drawdown, FAB dropped -63.29% vs USFR's -1.36%.
On 10-year performance, FAB leads with 10.39% vs 2.47% for USFR. On fees, USFR is cheaper at 0.15% per year. On volatility, USFR has been the lower-risk option at 0.06%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FAB has performed better with a 10.39% return vs 2.47%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
USFR is cheaper with a 0.15% expense ratio, compared with 0.64% for FAB.
USFR has the higher dividend yield at 3.91%, compared with 1.59% for FAB.
FAB is categorized as Mid Cap Value Equities, while USFR is Government Bonds. FAB tracks NASDAQ AlphaDEX Multi Cap Value Index, while USFR tracks Bloomberg U.S. Treasury Floating Rate Bond Index. They also come from different issuers: First Trust and WisdomTree. Their fees differ too: 0.64% for FAB and 0.15% for USFR.
USFR currently has the higher Sharpe Ratio (15.11 vs 1.91), 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.
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