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FAD vs. FNCMX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FAD and FNCMX is 0.80, 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.


-0.50.00.51.0
Correlation: 0.8

Performance

FAD vs. FNCMX - Performance Comparison

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

300.00%400.00%500.00%600.00%700.00%800.00%NovemberDecember2025FebruaryMarchApril
360.14%
634.29%
FAD
FNCMX

Key characteristics

Sharpe Ratio

FAD:

0.49

FNCMX:

0.46

Sortino Ratio

FAD:

0.81

FNCMX:

0.81

Omega Ratio

FAD:

1.11

FNCMX:

1.11

Calmar Ratio

FAD:

0.47

FNCMX:

0.49

Martin Ratio

FAD:

1.64

FNCMX:

1.72

Ulcer Index

FAD:

6.70%

FNCMX:

6.85%

Daily Std Dev

FAD:

22.38%

FNCMX:

25.76%

Max Drawdown

FAD:

-54.33%

FNCMX:

-55.71%

Current Drawdown

FAD:

-14.55%

FNCMX:

-14.79%

Returns By Period

In the year-to-date period, FAD achieves a -7.28% return, which is significantly higher than FNCMX's -10.98% return. Over the past 10 years, FAD has underperformed FNCMX with an annualized return of 10.19%, while FNCMX has yielded a comparatively higher 13.45% annualized return.


FAD

YTD

-7.28%

1M

-5.01%

6M

-5.17%

1Y

9.22%

5Y*

14.37%

10Y*

10.19%

FNCMX

YTD

-10.98%

1M

-6.05%

6M

-6.54%

1Y

9.92%

5Y*

15.75%

10Y*

13.45%

*Annualized

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FAD vs. FNCMX - Expense Ratio Comparison

FAD has a 0.63% expense ratio, which is higher than FNCMX's 0.29% expense ratio.


Expense ratio chart for FAD: current value is 0.63%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FAD: 0.63%
Expense ratio chart for FNCMX: current value is 0.29%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FNCMX: 0.29%

Risk-Adjusted Performance

FAD vs. FNCMX — Risk-Adjusted Performance Rank

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

FAD
The Risk-Adjusted Performance Rank of FAD is 5757
Overall Rank
The Sharpe Ratio Rank of FAD is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of FAD is 5858
Sortino Ratio Rank
The Omega Ratio Rank of FAD is 5757
Omega Ratio Rank
The Calmar Ratio Rank of FAD is 6060
Calmar Ratio Rank
The Martin Ratio Rank of FAD is 5454
Martin Ratio Rank

FNCMX
The Risk-Adjusted Performance Rank of FNCMX is 5858
Overall Rank
The Sharpe Ratio Rank of FNCMX is 5454
Sharpe Ratio Rank
The Sortino Ratio Rank of FNCMX is 5757
Sortino Ratio Rank
The Omega Ratio Rank of FNCMX is 5757
Omega Ratio Rank
The Calmar Ratio Rank of FNCMX is 6565
Calmar Ratio Rank
The Martin Ratio Rank of FNCMX is 5555
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FAD vs. FNCMX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Multi Cap Growth AlphaDEX Fund (FAD) 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.


The chart of Sharpe ratio for FAD, currently valued at 0.49, compared to the broader market-1.000.001.002.003.004.00
FAD: 0.49
FNCMX: 0.46
The chart of Sortino ratio for FAD, currently valued at 0.81, compared to the broader market-2.000.002.004.006.008.00
FAD: 0.81
FNCMX: 0.81
The chart of Omega ratio for FAD, currently valued at 1.11, compared to the broader market0.501.001.502.002.50
FAD: 1.11
FNCMX: 1.11
The chart of Calmar ratio for FAD, currently valued at 0.47, compared to the broader market0.002.004.006.008.0010.0012.00
FAD: 0.47
FNCMX: 0.49
The chart of Martin ratio for FAD, currently valued at 1.64, compared to the broader market0.0020.0040.0060.00
FAD: 1.64
FNCMX: 1.72

The current FAD Sharpe Ratio is 0.49, which is comparable to the FNCMX Sharpe Ratio of 0.46. The chart below compares the historical Sharpe Ratios of FAD and FNCMX, 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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.49
0.46
FAD
FNCMX

Dividends

FAD vs. FNCMX - Dividend Comparison

FAD's dividend yield for the trailing twelve months is around 0.58%, less than FNCMX's 0.68% yield.


TTM20242023202220212020201920182017201620152014
FAD
First Trust Multi Cap Growth AlphaDEX Fund
0.58%0.59%0.51%0.60%0.09%0.32%0.48%0.20%0.22%0.64%0.41%0.44%
FNCMX
Fidelity NASDAQ Composite Index Fund
0.68%0.61%0.67%0.88%0.47%0.67%0.97%0.94%0.70%0.91%0.89%0.80%

Drawdowns

FAD vs. FNCMX - Drawdown Comparison

The maximum FAD drawdown since its inception was -54.33%, roughly equal to the maximum FNCMX drawdown of -55.71%. Use the drawdown chart below to compare losses from any high point for FAD and FNCMX. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-14.55%
-14.79%
FAD
FNCMX

Volatility

FAD vs. FNCMX - Volatility Comparison

The current volatility for First Trust Multi Cap Growth AlphaDEX Fund (FAD) is 13.99%, while Fidelity NASDAQ Composite Index Fund (FNCMX) has a volatility of 17.23%. This indicates that FAD 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.


5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
13.99%
17.23%
FAD
FNCMX