FEM vs. EMDM

Last updated Aug 4, 2026

FEM (First Trust Emerging Markets AlphaDEX Fund) and EMDM (First Trust Bloomberg Emerging Market Democracies ETF) are both Emerging Markets Equities funds from First Trust - FEM tracks the NASDAQ AlphaDEX EM Index while EMDM tracks the Bloomberg Emerging Market Democracies Index - Benchmark TR Net. Both are passively managed. Over the past 3 years, FEM returned 15.72%/yr vs 28.08%/yr for EMDM. Their 0.76 correlation means they have sometimes moved together and sometimes differently. FEM charges 0.80%/yr vs 0.75%/yr for EMDM.

Performance

FEM vs. EMDM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Emerging Markets AlphaDEX Fund (FEM) and First Trust Bloomberg Emerging Market Democracies ETF (EMDM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FEM achieves a 14.62% return, which is significantly lower than EMDM's 28.39% return.

FEM

• 1D: 1.10%
• 1M: -0.97%
• 6M: 7.32%
• YTD: 14.62%
• 1Y: 28.96%
• 3Y*: 15.72%
• 5Y*: 6.98%
• 10Y*: 8.01%
• ALL TIME*: 3.68%

EMDM

• 1D: 0.42%
• 1M: -3.12%
• 6M: 12.42%
• YTD: 28.39%
• 1Y: 66.69%
• 3Y*: 28.08%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 26.54%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
EMDM First Trust Bloomberg Emerging Market Democracies ETF	$370.33K	$752.09K	$541.22K
FEM First Trust Emerging Markets AlphaDEX Fund	$3.69M	$3.65M	$3.68M

FEM vs. EMDM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
FEM First Trust Emerging Markets AlphaDEX Fund	14.62%	28.36%	3.01%	7.77%
EMDM First Trust Bloomberg Emerging Market Democracies ETF	28.39%	59.68%	-4.93%	14.75%

Correlation

The correlation between FEM and EMDM is 0.79, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.79
Correlation (3Y) Balances recent behavior with more history.	0.76
Correlation (All Time) Calculated using the full available price history since Mar 3, 2023	0.76

The correlation between FEM and EMDM has been stable across timeframes, ranging from 0.76 to 0.79 - a consistent structural relationship.

FEM vs. EMDM - Sectors Allocation Comparison

Sectors	FEM	EMDM
Technology	29.9%	39.9%
Industrials	19.1%	2.6%
Energy	12.2%	4.8%
Financial Services	7.5%	25.6%
Basic Materials	7.2%	12.7%
Utilities	6.0%	1.5%
Consumer Cyclical	5.4%	5.3%
Communication Services	4.6%	4.0%
Consumer Defensive	2.9%	3.1%
Healthcare	2.7%	0.5%
Real Estate	2.5%	-

Return for Risk

FEM vs. EMDM — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

FEM

FEM Risk / Return Rank: 61
FEM Sharpe Ratio Rank: 58
FEM Sortino Ratio Rank: 51
FEM Omega Ratio Rank: 56
FEM Calmar Ratio Rank: 73
FEM Martin Ratio Rank: 66

EMDM

EMDM Risk / Return Rank: 89
EMDM Sharpe Ratio Rank: 91
EMDM Sortino Ratio Rank: 85
EMDM Omega Ratio Rank: 89
EMDM Calmar Ratio Rank: 92
EMDM Martin Ratio Rank: 88

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

FEM vs. EMDM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Emerging Markets AlphaDEX Fund (FEM) and First Trust Bloomberg Emerging Market Democracies ETF (EMDM). 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.

	FEM	EMDM	Difference
Sharpe ratio: Return per unit of total volatility	1.44	2.41	-0.96
Sortino ratio: Return per unit of downside risk	1.90	2.94	-1.04
Omega ratio: Gain probability vs. loss probability	1.26	1.42	-0.16
Calmar ratio: Return relative to maximum drawdown	2.67	4.28	-1.61
Martin ratio: Return relative to average drawdown	8.27	13.58	-5.31

FEM vs. EMDM - Sharpe Ratio Comparison

The current FEM Sharpe Ratio is 1.44, which is lower than the EMDM Sharpe Ratio of 2.41. The chart below compares the historical Sharpe Ratios of FEM and EMDM, 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

FEM vs. EMDM - Drawdown Comparison

The maximum FEM drawdown since its inception was -46.23%, which is greater than EMDM's maximum drawdown of -18.81%. Use the drawdown chart below to compare losses from any high point for FEM and EMDM.

Drawdown Indicators

	FEM	EMDM	Difference
Max Drawdown Largest peak-to-trough decline	-46.23%	-18.81%	-27.42%
Max Drawdown (1Y) Largest decline over 1 year	-10.88%	-15.65%	+4.77%
Max Drawdown (3Y) Largest decline over 3 years	-18.79%	-18.81%	+0.02%
Max Drawdown (5Y) Largest decline over 5 years	-31.72%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-46.23%	—	—
Current Drawdown Current decline from peak	-7.17%	-10.51%	+3.34%
Average Drawdown Average peak-to-trough decline	-14.94%	-4.21%	-10.73%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.51%	4.93%	-1.42%

Volatility

FEM vs. EMDM - Volatility Comparison

The current volatility for First Trust Emerging Markets AlphaDEX Fund (FEM) is 7.85%, while First Trust Bloomberg Emerging Market Democracies ETF (EMDM) has a volatility of 9.92%. This indicates that FEM experiences smaller price fluctuations and is considered to be less risky than EMDM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FEM	EMDM	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.85%	9.92%	-2.07%
Volatility (6M) Calculated over the trailing 6-month period	17.34%	25.36%	-8.02%
Volatility (1Y) Calculated over the trailing 1-year period	20.22%	27.91%	-7.69%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.86%	21.15%	-2.29%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.01%	21.15%	-0.14%

FEM vs. EMDM - Expense Ratio Comparison

FEM has a 0.80% expense ratio, which is higher than EMDM's 0.75% expense ratio.

Dividends

FEM vs. EMDM - Dividend Comparison

FEM's dividend yield for the trailing twelve months is around 2.30%, less than EMDM's 2.95% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EMDM First Trust Bloomberg Emerging Market Democracies ETF	2.95%	3.57%	5.87%	2.16%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
FEM First Trust Emerging Markets AlphaDEX Fund	2.30%	3.13%	3.66%	4.96%	6.15%	4.15%	2.68%	3.31%	3.52%	2.45%	2.25%	3.61%

Frequently Asked Questions

Can I hold both FEM and EMDM in my portfolio?

FEM and EMDM have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FEM or EMDM?

EMDM has higher volatility (9.92%) compared to FEM (7.85%). In terms of maximum drawdown, FEM dropped -46.23% vs EMDM's -18.81%.

Which ETF is better, FEM or EMDM?

On 3-year performance, EMDM leads with 28.08% vs 15.72% for FEM. On fees, EMDM is cheaper at 0.75% per year. On volatility, FEM has been the lower-risk option at 7.85%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FEM or EMDM?

Over the 3-year period, EMDM has performed better with a 28.08% return vs 15.72%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FEM or EMDM?

EMDM is cheaper with a 0.75% expense ratio, compared with 0.80% for FEM.

Which ETF pays a higher dividend yield, FEM or EMDM?

EMDM has the higher dividend yield at 2.95%, compared with 2.30% for FEM.

What is the main difference between FEM and EMDM?

FEM tracks NASDAQ AlphaDEX EM Index, while EMDM tracks Bloomberg Emerging Market Democracies Index - Benchmark TR Net. Their fees differ too: 0.80% for FEM and 0.75% for EMDM.

Which has better risk-adjusted returns?

EMDM currently has the higher Sharpe Ratio (2.41 vs 1.44), 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.