FAD vs. QMOM
Compare and contrast key facts about First Trust Multi Cap Growth AlphaDEX Fund (FAD) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM).
FAD and QMOM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FAD is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX Multi Cap Growth Index. It was launched on May 8, 2007. QMOM is an actively managed fund by Alpha Architect. It was launched on Dec 2, 2015.
Performance
FAD vs. QMOM - Performance Comparison
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FAD vs. QMOM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FAD First Trust Multi Cap Growth AlphaDEX Fund | -1.80% | 17.23% | 23.85% | 19.07% | -24.06% | 21.17% | 34.92% | 26.66% | -6.45% | 25.75% |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 4.62% | 2.36% | 30.43% | 9.50% | -6.99% | -4.06% | 61.94% | 28.39% | -11.75% | 15.92% |
Returns By Period
In the year-to-date period, FAD achieves a -1.80% return, which is significantly lower than QMOM's 4.62% return. Both investments have delivered pretty close results over the past 10 years, with FAD having a 12.73% annualized return and QMOM not far behind at 12.16%.
FAD
- 1D
- 3.83%
- 1M
- -5.64%
- YTD
- -1.80%
- 6M
- -0.99%
- 1Y
- 22.98%
- 3Y*
- 17.93%
- 5Y*
- 8.03%
- 10Y*
- 12.73%
QMOM
- 1D
- 5.91%
- 1M
- -6.64%
- YTD
- 4.62%
- 6M
- 6.57%
- 1Y
- 15.61%
- 3Y*
- 15.94%
- 5Y*
- 6.10%
- 10Y*
- 12.16%
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FAD vs. QMOM - Expense Ratio Comparison
FAD has a 0.63% expense ratio, which is higher than QMOM's 0.28% expense ratio.
Return for Risk
FAD vs. QMOM — Risk / Return Rank
FAD
QMOM
FAD vs. QMOM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Multi Cap Growth AlphaDEX Fund (FAD) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM). 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.
| FAD | QMOM | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.05 | 0.61 | +0.44 |
Sortino ratioReturn per unit of downside risk | 1.55 | 0.97 | +0.57 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.13 | +0.08 |
Calmar ratioReturn relative to maximum drawdown | 1.78 | 1.35 | +0.42 |
Martin ratioReturn relative to average drawdown | 7.13 | 4.68 | +2.45 |
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
| FAD | QMOM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.05 | 0.61 | +0.44 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.39 | 0.25 | +0.15 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.61 | 0.46 | +0.14 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.46 | 0.45 | +0.01 |
Correlation
The correlation between FAD and QMOM is 0.83, 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.
Dividends
FAD vs. QMOM - Dividend Comparison
FAD's dividend yield for the trailing twelve months is around 0.11%, less than QMOM's 0.52% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FAD First Trust Multi Cap Growth AlphaDEX Fund | 0.11% | 0.09% | 0.59% | 0.51% | 0.60% | 0.09% | 0.32% | 0.48% | 0.20% | 0.22% | 0.64% | 0.41% |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 0.52% | 0.54% | 1.40% | 0.87% | 1.59% | 0.12% | 0.08% | 0.01% | 0.05% | 0.13% | 0.34% | 0.00% |
Drawdowns
FAD vs. QMOM - Drawdown Comparison
The maximum FAD drawdown since its inception was -54.33%, which is greater than QMOM's maximum drawdown of -39.13%. Use the drawdown chart below to compare losses from any high point for FAD and QMOM.
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Drawdown Indicators
| FAD | QMOM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.33% | -39.13% | -15.20% |
Max Drawdown (1Y)Largest decline over 1 year | -13.08% | -13.55% | +0.47% |
Max Drawdown (5Y)Largest decline over 5 years | -31.99% | -27.00% | -4.99% |
Max Drawdown (10Y)Largest decline over 10 years | -37.25% | -39.13% | +1.88% |
Current DrawdownCurrent decline from peak | -7.24% | -7.48% | +0.24% |
Average DrawdownAverage peak-to-trough decline | -9.72% | -13.11% | +3.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.26% | 3.92% | -0.66% |
Volatility
FAD vs. QMOM - Volatility Comparison
The current volatility for First Trust Multi Cap Growth AlphaDEX Fund (FAD) is 7.87%, while Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a volatility of 12.00%. This indicates that FAD experiences smaller price fluctuations and is considered to be less risky than QMOM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FAD | QMOM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.87% | 12.00% | -4.13% |
Volatility (6M)Calculated over the trailing 6-month period | 14.67% | 19.09% | -4.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.90% | 25.78% | -3.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.50% | 24.72% | -4.22% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.07% | 26.28% | -5.21% |