FDTS vs. TSM

Last updated Jun 14, 2026

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 TSM (Taiwan Semiconductor Manufacturing Company Limited) is a stock. Over the past 10 years, FDTS returned 10.96%/yr vs 35.80%/yr for TSM. At a 0.32 correlation, their price movements are largely independent.

Performance

FDTS vs. TSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Developed Markets ex-US Small Cap AlphaDEX Fund (FDTS) and Taiwan Semiconductor Manufacturing Company Limited (TSM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FDTS achieves a 18.78% return, which is significantly lower than TSM's 40.22% return. Over the past 10 years, FDTS has underperformed TSM with an annualized return of 10.96%, while TSM has yielded a comparatively higher 35.80% 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%

TSM

• 1D: 0.68%
• 1M: 1.72%
• YTD: 40.22%
• 6M: 45.91%
• 1Y: 103.01%
• 3Y*: 60.80%
• 5Y*: 31.30%
• 10Y*: 35.80%

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

FDTS vs. TSM - 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%
TSM Taiwan Semiconductor Manufacturing Company Limited	40.22%	55.91%	92.58%	42.33%	-36.75%	12.09%	92.67%	64.85%	-3.50%	41.46%

Correlation

The correlation between FDTS and TSM is 0.51, 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	0.51
Correlation (3Y) Calculated over the trailing 3-year period	0.45
Correlation (5Y) Calculated over the trailing 5-year period	0.44
Correlation (10Y) Calculated over the trailing 10-year period	0.37
Correlation (All Time) Calculated using the full available price history since Feb 16, 2012	0.32

The correlation between FDTS and TSM shifts across timeframes, from 0.32 (all time) to 0.51 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

FDTS vs. TSM — Risk / Return Rank

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

FDTS

FDTS Risk / Return Rank: 79
FDTS Sharpe Ratio Rank: 84
FDTS Sortino Ratio Rank: 81
FDTS Omega Ratio Rank: 81
FDTS Calmar Ratio Rank: 76
FDTS Martin Ratio Rank: 72

TSM

TSM Risk / Return Rank: 93
TSM Sharpe Ratio Rank: 94
TSM Sortino Ratio Rank: 92
TSM Omega Ratio Rank: 90
TSM Calmar Ratio Rank: 94
TSM Martin Ratio Rank: 96

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.

FDTS vs. TSM - 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 Taiwan Semiconductor Manufacturing Company Limited (TSM). 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	TSM	Difference
Sharpe ratio: Return per unit of total volatility	2.37	2.71	-0.34
Sortino ratio: Return per unit of downside risk	3.15	3.30	-0.16
Omega ratio: Gain probability vs. loss probability	1.42	1.40	+0.02
Calmar ratio: Return relative to maximum drawdown	3.43	5.48	-2.06
Martin ratio: Return relative to average drawdown	11.78	19.42	-7.64

FDTS vs. TSM - Sharpe Ratio Comparison

The current FDTS Sharpe Ratio is 2.37, which is comparable to the TSM Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of FDTS and TSM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FDTS vs. TSM - Drawdown Comparison

The maximum FDTS drawdown since its inception was -51.26%, smaller than the maximum TSM drawdown of -89.08%. Use the drawdown chart below to compare losses from any high point for FDTS and TSM.

Drawdown Indicators

	FDTS	TSM	Difference
Max Drawdown Largest peak-to-trough decline	-51.26%	-89.08%	+37.82%
Max Drawdown (1Y) Largest decline over 1 year	-12.61%	-18.14%	+5.53%
Max Drawdown (3Y) Largest decline over 3 years	-13.19%	-36.82%	+23.63%
Max Drawdown (5Y) Largest decline over 5 years	-33.11%	-56.47%	+23.36%
Max Drawdown (10Y) Largest decline over 10 years	-51.26%	-56.47%	+5.21%
Current Drawdown Current decline from peak	-4.77%	-4.87%	+0.10%
Average Drawdown Average peak-to-trough decline	-10.64%	-42.85%	+32.21%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.66%	5.11%	-1.45%

Volatility

FDTS vs. TSM - Volatility Comparison

The current volatility for First Trust Developed Markets ex-US Small Cap AlphaDEX Fund (FDTS) is 8.44%, while Taiwan Semiconductor Manufacturing Company Limited (TSM) has a volatility of 13.42%. This indicates that FDTS experiences smaller price fluctuations and is considered to be less risky than TSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FDTS	TSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.44%	13.42%	-4.98%
Volatility (6M) Calculated over the trailing 6-month period	15.54%	28.65%	-13.11%
Volatility (1Y) Calculated over the trailing 1-year period	18.27%	36.69%	-18.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	29.42%	37.46%	-8.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.92%	34.23%	-9.31%

Dividends

FDTS vs. TSM - Dividend Comparison

FDTS's dividend yield for the trailing twelve months is around 2.53%, more than TSM's 0.83% 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%
TSM Taiwan Semiconductor Manufacturing Company Limited	0.83%	1.00%	1.18%	1.78%	2.49%	1.57%	1.56%	3.46%	3.64%	2.32%	2.61%	2.54%

Frequently Asked Questions

Can I hold both FDTS and TSM in my portfolio?

FDTS and TSM have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FDTS or TSM?

TSM has higher volatility (13.42%) compared to FDTS (8.44%). In terms of maximum drawdown, FDTS dropped -51.26% vs TSM's -89.08%.

Which has better risk-adjusted returns?

TSM currently has the higher Sharpe Ratio (2.71 vs 2.37), 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.