FDTS vs. NEE
FDTS (First Trust Developed Markets ex-US Small Cap AlphaDEX Fund) is Foreign Small & Mid Cap Equities fund tracking the NASDAQ AlphaDEX DM Ex-US Small Cap Index, while NEE (NextEra Energy, Inc.) is a stock. Over the past 10 years, FDTS returned 10.96%/yr vs 13.51%/yr for NEE. At a 0.16 correlation, their price movements are largely independent.
Performance
FDTS vs. NEE - Performance Comparison
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Returns By Period
In the year-to-date period, FDTS achieves a 18.78% return, which is significantly higher than NEE's 8.63% return. Over the past 10 years, FDTS has underperformed NEE with an annualized return of 10.96%, while NEE has yielded a comparatively higher 13.51% annualized return.
FDTS
- 1D
- -0.17%
- 1M
- -3.79%
- YTD
- 18.78%
- 6M
- 20.77%
- 1Y
- 44.72%
- 3Y*
- 24.70%
- 5Y*
- 10.78%
- 10Y*
- 10.96%
NEE
- 1D
- 1.36%
- 1M
- -9.47%
- YTD
- 8.63%
- 6M
- 6.81%
- 1Y
- 18.32%
- 3Y*
- 8.11%
- 5Y*
- 5.94%
- 10Y*
- 13.51%
FDTS vs. NEE - 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 | 18.78% | 51.17% | 2.44% | 10.96% | -15.34% | 11.79% | 12.90% | 18.71% | -23.71% | 36.01% |
NEE NextEra Energy, Inc. | 8.63% | 15.47% | 21.46% | -25.30% | -8.54% | 23.39% | 30.06% | 42.69% | 14.30% | 34.39% |
Correlation
The correlation between FDTS and NEE is 0.19, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.24 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.24 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.18 |
Correlation (All Time) Calculated using the full available price history since Feb 16, 2012 | 0.16 |
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Return for Risk
FDTS vs. NEE — Risk / Return Rank
FDTS
NEE
FDTS vs. NEE - 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 NextEra Energy, Inc. (NEE). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FDTS | NEE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.53 | ||
| Sortino ratioReturn per unit of downside risk | +1.85 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.17 | +0.25 |
| Calmar ratioReturn relative to maximum drawdown | 3.43 | 1.37 | +2.05 |
| Martin ratioReturn relative to average drawdown | 11.78 | 3.78 | +8.00 |
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Drawdowns
FDTS vs. NEE - Drawdown Comparison
The maximum FDTS drawdown since its inception was -51.26%, which is greater than NEE's maximum drawdown of -47.81%. Use the drawdown chart below to compare losses from any high point for FDTS and NEE.
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Drawdown Indicators
| FDTS | NEE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -51.26% | -47.81% | -3.45% |
Max Drawdown (1Y)Largest decline over 1 year | -12.61% | -14.53% | +1.92% |
Max Drawdown (3Y)Largest decline over 3 years | -13.19% | -34.57% | +21.38% |
Max Drawdown (5Y)Largest decline over 5 years | -33.11% | -44.97% | +11.86% |
Max Drawdown (10Y)Largest decline over 10 years | -51.26% | -44.97% | -6.29% |
Current DrawdownCurrent decline from peak | -4.77% | -11.50% | +6.73% |
Average DrawdownAverage peak-to-trough decline | -10.64% | -8.93% | -1.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.66% | 5.25% | -1.59% |
Volatility
FDTS vs. NEE - Volatility Comparison
First Trust Developed Markets ex-US Small Cap AlphaDEX Fund (FDTS) and NextEra Energy, Inc. (NEE) have volatilities of 8.44% and 8.52%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FDTS | NEE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.44% | 8.52% | -0.08% |
Volatility (6M)Calculated over the trailing 6-month period | 15.54% | 16.75% | -1.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.27% | 23.78% | -5.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.42% | 26.91% | +2.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.92% | 25.49% | -0.57% |
Dividends
FDTS vs. NEE - Dividend Comparison
FDTS's dividend yield for the trailing twelve months is around 2.53%, less than NEE's 2.77% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FDTS First Trust Developed Markets ex-US Small Cap AlphaDEX Fund | 2.53% | 2.94% | 3.94% | 2.90% | 3.71% | 3.01% | 2.02% | 2.30% | 1.96% | 2.08% | 1.78% | 1.73% |
NEE NextEra Energy, Inc. | 2.77% | 2.82% | 2.87% | 3.08% | 2.03% | 1.65% | 1.81% | 2.06% | 2.55% | 2.52% | 2.91% | 2.96% |
Frequently Asked Questions
FDTS and NEE have a correlation of 0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NEE has higher volatility (8.52%) compared to FDTS (8.44%). In terms of maximum drawdown, FDTS dropped -51.26% vs NEE's -47.81%.
FDTS currently has the higher Sharpe Ratio (2.37 vs 0.84), 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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