FDTS vs. GVAL
Compare and contrast key facts about First Trust Developed Markets ex-US Small Cap AlphaDEX Fund (FDTS) and Cambria Global Value ETF (GVAL).
FDTS and GVAL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FDTS is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX DM Ex-US Small Cap Index. It was launched on Feb 15, 2012. GVAL is an actively managed fund by Cambria. It was launched on Mar 11, 2014.
Performance
FDTS vs. GVAL - Performance Comparison
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FDTS vs. GVAL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FDTS First Trust Developed Markets ex-US Small Cap AlphaDEX Fund | 11.04% | 51.17% | 2.44% | 10.96% | -15.34% | 11.79% | 12.90% | 18.71% | -23.71% | 36.01% |
GVAL Cambria Global Value ETF | 6.95% | 55.87% | 2.59% | 13.30% | -7.98% | 10.70% | -8.51% | 17.24% | -14.30% | 29.50% |
Returns By Period
In the year-to-date period, FDTS achieves a 11.04% return, which is significantly higher than GVAL's 6.95% return. Both investments have delivered pretty close results over the past 10 years, with FDTS having a 10.43% annualized return and GVAL not far behind at 10.04%.
FDTS
- 1D
- 3.04%
- 1M
- -8.82%
- YTD
- 11.04%
- 6M
- 16.51%
- 1Y
- 59.73%
- 3Y*
- 21.33%
- 5Y*
- 10.78%
- 10Y*
- 10.43%
GVAL
- 1D
- 1.18%
- 1M
- -2.90%
- YTD
- 6.95%
- 6M
- 15.22%
- 1Y
- 39.26%
- 3Y*
- 23.80%
- 5Y*
- 13.53%
- 10Y*
- 10.04%
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FDTS vs. GVAL - Expense Ratio Comparison
FDTS has a 0.80% expense ratio, which is higher than GVAL's 0.66% expense ratio.
Return for Risk
FDTS vs. GVAL — Risk / Return Rank
FDTS
GVAL
FDTS vs. GVAL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Developed Markets ex-US Small Cap AlphaDEX Fund (FDTS) and Cambria Global Value ETF (GVAL). 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.
| FDTS | GVAL | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.16 | 2.28 | +0.89 |
Sortino ratioReturn per unit of downside risk | 3.90 | 2.93 | +0.97 |
Omega ratioGain probability vs. loss probability | 1.60 | 1.47 | +0.13 |
Calmar ratioReturn relative to maximum drawdown | 4.68 | 3.52 | +1.16 |
Martin ratioReturn relative to average drawdown | 18.83 | 13.29 | +5.53 |
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
| FDTS | GVAL | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.16 | 2.28 | +0.89 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.37 | 0.74 | -0.37 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.42 | 0.52 | -0.10 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.36 | 0.32 | +0.03 |
Correlation
The correlation between FDTS and GVAL is 0.46, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
FDTS vs. GVAL - Dividend Comparison
FDTS's dividend yield for the trailing twelve months is around 2.71%, less than GVAL's 3.02% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FDTS First Trust Developed Markets ex-US Small Cap AlphaDEX Fund | 2.71% | 2.94% | 3.94% | 2.90% | 3.71% | 3.01% | 2.02% | 2.30% | 1.96% | 2.08% | 1.78% | 1.73% |
GVAL Cambria Global Value ETF | 3.02% | 2.93% | 4.75% | 6.12% | 5.05% | 2.97% | 1.90% | 2.84% | 4.65% | 2.00% | 2.54% | 2.11% |
Drawdowns
FDTS vs. GVAL - Drawdown Comparison
The maximum FDTS drawdown since its inception was -51.26%, which is greater than GVAL's maximum drawdown of -46.82%. Use the drawdown chart below to compare losses from any high point for FDTS and GVAL.
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Drawdown Indicators
| FDTS | GVAL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -51.26% | -46.82% | -4.44% |
Max Drawdown (1Y)Largest decline over 1 year | -12.61% | -11.50% | -1.11% |
Max Drawdown (5Y)Largest decline over 5 years | -33.11% | -30.83% | -2.28% |
Max Drawdown (10Y)Largest decline over 10 years | -51.26% | -46.82% | -4.44% |
Current DrawdownCurrent decline from peak | -9.95% | -6.46% | -3.49% |
Average DrawdownAverage peak-to-trough decline | -10.74% | -14.04% | +3.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.13% | 3.05% | +0.08% |
Volatility
FDTS vs. GVAL - Volatility Comparison
First Trust Developed Markets ex-US Small Cap AlphaDEX Fund (FDTS) has a higher volatility of 7.97% compared to Cambria Global Value ETF (GVAL) at 7.38%. This indicates that FDTS's price experiences larger fluctuations and is considered to be riskier than GVAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FDTS | GVAL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.97% | 7.38% | +0.59% |
Volatility (6M)Calculated over the trailing 6-month period | 12.60% | 11.38% | +1.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.77% | 17.34% | +1.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.14% | 18.32% | +10.82% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.75% | 19.18% | +5.57% |