FAD vs. XSHQ

Last updated Jun 4, 2026

FAD (First Trust Multi Cap Growth AlphaDEX Fund) and XSHQ (Invesco S&P SmallCap Quality ETF) are both exchange-traded funds - FAD is a Mid Cap Growth Equities fund tracking the NASDAQ AlphaDEX Multi Cap Growth Index, while XSHQ is a Small Cap Growth Equities fund tracking the S&P SmallCap 600 Quality Index. Both are passively managed. Over the past 5 years, FAD returned 11.25%/yr vs 5.96%/yr for XSHQ. A 0.75 correlation means they provide meaningful diversification when combined. FAD charges 0.63%/yr vs 0.29%/yr for XSHQ.

Performance

FAD vs. XSHQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Multi Cap Growth AlphaDEX Fund (FAD) and Invesco S&P SmallCap Quality ETF (XSHQ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FAD achieves a 17.25% return, which is significantly higher than XSHQ's 9.09% return.

FAD

• 1D: -0.15%
• 1M: 6.70%
• YTD: 17.25%
• 6M: 17.16%
• 1Y: 34.52%
• 3Y*: 24.16%
• 5Y*: 11.25%
• 10Y*: 14.53%

XSHQ

• 1D: -0.48%
• 1M: 1.37%
• YTD: 9.09%
• 6M: 8.27%
• 1Y: 15.18%
• 3Y*: 11.81%
• 5Y*: 5.96%
• 10Y*: —

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

FAD vs. XSHQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FAD First Trust Multi Cap Growth AlphaDEX Fund	17.25%	17.23%	23.85%	19.07%	-24.06%	21.17%	34.92%	26.66%	-6.45%	12.43%
XSHQ Invesco S&P SmallCap Quality ETF	9.09%	0.89%	7.49%	23.88%	-15.01%	23.99%	11.81%	17.37%	-6.11%	7.18%

Correlation

The correlation between FAD and XSHQ is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.75
Correlation (3Y) Calculated over the trailing 3-year period	0.82
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (All Time) Calculated using the full available price history since Aug 25, 2017	0.75

The correlation between FAD and XSHQ has been stable across timeframes, ranging from 0.75 to 0.82 - a consistent structural relationship.

FAD vs. XSHQ - Sectors Allocation Comparison

Sectors	FAD	XSHQ
Industrials	26.1%	21.1%
Technology	24.1%	17.6%
Healthcare	15.4%	8.0%
Consumer Cyclical	10.8%	16.3%
Financial Services	8.0%	24.0%
Real Estate	4.1%	0.9%
Communication Services	3.1%	1.0%
Basic Materials	3.0%	2.5%
Consumer Defensive	2.4%	4.0%
Energy	1.6%	4.5%
Utilities	1.6%	-

Return for Risk

FAD vs. XSHQ — Risk / Return Rank

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

FAD

FAD Risk / Return Rank: 59
FAD Sharpe Ratio Rank: 55
FAD Sortino Ratio Rank: 53
FAD Omega Ratio Rank: 51
FAD Calmar Ratio Rank: 66
FAD Martin Ratio Rank: 68

XSHQ

XSHQ Risk / Return Rank: 26
XSHQ Sharpe Ratio Rank: 24
XSHQ Sortino Ratio Rank: 26
XSHQ Omega Ratio Rank: 23
XSHQ Calmar Ratio Rank: 30
XSHQ Martin Ratio Rank: 28

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.

FAD vs. XSHQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Multi Cap Growth AlphaDEX Fund (FAD) and Invesco S&P SmallCap Quality ETF (XSHQ). 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	XSHQ	Difference
Sharpe ratio: Return per unit of total volatility	1.88	0.88	+1.00
Sortino ratio: Return per unit of downside risk	2.59	1.42	+1.17
Omega ratio: Gain probability vs. loss probability	1.32	1.16	+0.17
Calmar ratio: Return relative to maximum drawdown	3.25	1.48	+1.77
Martin ratio: Return relative to average drawdown	12.54	4.06	+8.49
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FAD vs. XSHQ - Sharpe Ratio Comparison

The current FAD Sharpe Ratio is 1.88, which is higher than the XSHQ Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of FAD and XSHQ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FAD	XSHQ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.88	0.88	+1.00
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.55	0.28	+0.27
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.69	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.50	0.37	+0.14

Drawdowns

FAD vs. XSHQ - Drawdown Comparison

The maximum FAD drawdown since its inception was -54.33%, which is greater than XSHQ's maximum drawdown of -38.33%. Use the drawdown chart below to compare losses from any high point for FAD and XSHQ.

Drawdown Indicators

	FAD	XSHQ	Difference
Max Drawdown Largest peak-to-trough decline	-54.33%	-38.33%	-16.00%
Max Drawdown (1Y) Largest decline over 1 year	-10.66%	-10.27%	-0.39%
Max Drawdown (3Y) Largest decline over 3 years	-23.55%	-27.34%	+3.79%
Max Drawdown (5Y) Largest decline over 5 years	-31.99%	-27.34%	-4.65%
Max Drawdown (10Y) Largest decline over 10 years	-37.25%	—	—
Current Drawdown Current decline from peak	-0.15%	-1.76%	+1.61%
Average Drawdown Average peak-to-trough decline	-9.64%	-9.35%	-0.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.76%	3.75%	-0.99%

Volatility

FAD vs. XSHQ - Volatility Comparison

First Trust Multi Cap Growth AlphaDEX Fund (FAD) has a higher volatility of 6.01% compared to Invesco S&P SmallCap Quality ETF (XSHQ) at 4.57%. This indicates that FAD's price experiences larger fluctuations and is considered to be riskier than XSHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FAD	XSHQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.01%	4.57%	+1.44%
Volatility (6M) Calculated over the trailing 6-month period	14.14%	11.66%	+2.48%
Volatility (1Y) Calculated over the trailing 1-year period	18.50%	17.43%	+1.07%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.53%	21.23%	-0.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.18%	23.13%	-1.95%

FAD vs. XSHQ - Expense Ratio Comparison

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

Dividends

FAD vs. XSHQ - Dividend Comparison

FAD's dividend yield for the trailing twelve months is around 0.09%, less than XSHQ's 1.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FAD First Trust Multi Cap Growth AlphaDEX Fund	0.09%	0.09%	0.59%	0.51%	0.60%	0.09%	0.32%	0.48%	0.20%	0.22%	0.64%	0.41%
XSHQ Invesco S&P SmallCap Quality ETF	1.38%	1.48%	1.18%	1.15%	2.02%	1.25%	1.24%	1.11%	1.16%	0.60%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FAD and XSHQ in my portfolio?

FAD and XSHQ have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FAD or XSHQ?

FAD has higher volatility (6.01%) compared to XSHQ (4.57%). In terms of maximum drawdown, FAD dropped -54.33% vs XSHQ's -38.33%.

Which ETF is better, FAD or XSHQ?

On 5-year performance, FAD leads with 11.25% vs 5.96% for XSHQ. On fees, XSHQ is cheaper at 0.29% per year. On volatility, XSHQ has been the lower-risk option at 4.57%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FAD or XSHQ?

Over the 5-year period, FAD has performed better with a 11.25% return vs 5.96%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FAD or XSHQ?

XSHQ is cheaper with a 0.29% expense ratio, compared with 0.63% for FAD.

Which ETF pays a higher dividend yield, FAD or XSHQ?

XSHQ has the higher dividend yield at 1.38%, compared with 0.09% for FAD.

What is the main difference between FAD and XSHQ?

FAD is categorized as Mid Cap Growth Equities, while XSHQ is Small Cap Growth Equities. FAD tracks NASDAQ AlphaDEX Multi Cap Growth Index, while XSHQ tracks S&P SmallCap 600 Quality Index. They also come from different issuers: First Trust and Invesco. Their fees differ too: 0.63% for FAD and 0.29% for XSHQ.

Which has better risk-adjusted returns?

FAD currently has the higher Sharpe Ratio (1.88 vs 0.88), 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.