FEM vs. FDEM

Last updated Aug 2, 2026

FEM (First Trust Emerging Markets AlphaDEX Fund) and FDEM (Fidelity Emerging Markets Multifactor ETF) are both Emerging Markets Equities funds - FEM tracks the NASDAQ AlphaDEX EM Index while FDEM tracks the Fidelity Emerging Markets Multifactor Index. Both are passively managed. Over the past 5 years, FEM returned 7.31%/yr vs 9.38%/yr for FDEM. Their correlation of 0.82 means they have usually moved in the same direction. FEM charges 0.80%/yr vs 0.25%/yr for FDEM.

Performance

FEM vs. FDEM - Performance Comparison

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

Returns By Period

In the year-to-date period, FEM achieves a 13.37% return, which is significantly lower than FDEM's 14.53% return.

FEM

• 1D: 0.81%
• 1M: -2.05%
• 6M: 5.28%
• YTD: 13.37%
• 1Y: 27.56%
• 3Y*: 14.41%
• 5Y*: 7.31%
• 10Y*: 8.23%
• ALL TIME*: 3.61%

FDEM

• 1D: 0.14%
• 1M: -1.28%
• 6M: 6.08%
• YTD: 14.53%
• 1Y: 28.23%
• 3Y*: 18.72%
• 5Y*: 9.38%
• 10Y*: —
• ALL TIME*: 8.19%

*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)
FDEM Fidelity Emerging Markets Multifactor ETF	$2.80M	$2.66M	$4.40M
FEM First Trust Emerging Markets AlphaDEX Fund	$3.32M	$3.48M	$3.62M

FEM vs. FDEM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
FEM First Trust Emerging Markets AlphaDEX Fund	13.37%	28.36%	3.01%	10.84%	-14.24%	7.40%	-1.68%	8.48%
FDEM Fidelity Emerging Markets Multifactor ETF	14.53%	26.75%	9.34%	17.26%	-13.11%	-3.52%	8.87%	5.60%

Correlation

The correlation between FEM and FDEM is 0.82, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.82
Correlation (3Y) Balances recent behavior with more history.	0.79
Correlation (5Y) Shows whether the relationship held over a longer period.	0.80
Correlation (All Time) Calculated using the full available price history since Feb 28, 2019	0.82

The correlation between FEM and FDEM has been stable across timeframes, ranging from 0.79 to 0.82 - a consistent structural relationship.

FEM vs. FDEM - Sectors Allocation Comparison

Sectors	FEM	FDEM
Technology	29.9%	39.5%
Industrials	19.1%	4.3%
Energy	12.2%	6.7%
Financial Services	7.5%	15.8%
Basic Materials	7.2%	2.6%
Utilities	6.0%	0.0%
Consumer Cyclical	5.4%	10.7%
Communication Services	4.6%	9.4%
Consumer Defensive	2.9%	6.6%
Healthcare	2.7%	-
Real Estate	2.5%	4.5%

Return for Risk

FEM vs. FDEM — Risk / Return Rank

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

FEM

FEM Risk / Return Rank: 60
FEM Sharpe Ratio Rank: 56
FEM Sortino Ratio Rank: 50
FEM Omega Ratio Rank: 55
FEM Calmar Ratio Rank: 72
FEM Martin Ratio Rank: 65

FDEM

FDEM Risk / Return Rank: 55
FDEM Sharpe Ratio Rank: 54
FDEM Sortino Ratio Rank: 51
FDEM Omega Ratio Rank: 56
FDEM Calmar Ratio Rank: 61
FDEM Martin Ratio Rank: 56

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. FDEM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Emerging Markets AlphaDEX Fund (FEM) and Fidelity Emerging Markets Multifactor ETF (FDEM). 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	FDEM	Difference
Sharpe ratio: Return per unit of total volatility	1.35	1.28	+0.06
Sortino ratio: Return per unit of downside risk	1.80	1.78	+0.02
Omega ratio: Gain probability vs. loss probability	1.24	1.24	0.00
Calmar ratio: Return relative to maximum drawdown	2.50	2.14	+0.36
Martin ratio: Return relative to average drawdown	7.78	6.60	+1.18

FEM vs. FDEM - Sharpe Ratio Comparison

The current FEM Sharpe Ratio is 1.35, which is comparable to the FDEM Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of FEM and FDEM, 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. FDEM - Drawdown Comparison

The maximum FEM drawdown since its inception was -46.23%, which is greater than FDEM's maximum drawdown of -33.65%. Use the drawdown chart below to compare losses from any high point for FEM and FDEM.

Drawdown Indicators

	FEM	FDEM	Difference
Max Drawdown Largest peak-to-trough decline	-46.23%	-33.65%	-12.58%
Max Drawdown (1Y) Largest decline over 1 year	-10.88%	-12.70%	+1.82%
Max Drawdown (3Y) Largest decline over 3 years	-18.79%	-16.04%	-2.75%
Max Drawdown (5Y) Largest decline over 5 years	-31.72%	-25.82%	-5.90%
Max Drawdown (10Y) Largest decline over 10 years	-46.23%	—	—
Current Drawdown Current decline from peak	-8.18%	-7.94%	-0.24%
Average Drawdown Average peak-to-trough decline	-14.95%	-8.77%	-6.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.48%	4.10%	-0.62%

Volatility

FEM vs. FDEM - Volatility Comparison

First Trust Emerging Markets AlphaDEX Fund (FEM) and Fidelity Emerging Markets Multifactor ETF (FDEM) have volatilities of 7.75% and 7.53%, 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.

Volatility by Period

	FEM	FDEM	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.75%	7.53%	+0.22%
Volatility (6M) Calculated over the trailing 6-month period	17.64%	19.27%	-1.63%
Volatility (1Y) Calculated over the trailing 1-year period	20.19%	21.14%	-0.95%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.86%	16.93%	+1.93%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.01%	18.32%	+2.69%

FEM vs. FDEM - Expense Ratio Comparison

FEM has a 0.80% expense ratio, which is higher than FDEM's 0.25% expense ratio.

Dividends

FEM vs. FDEM - Dividend Comparison

FEM's dividend yield for the trailing twelve months is around 2.32%, less than FDEM's 3.05% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FDEM Fidelity Emerging Markets Multifactor ETF	3.05%	3.23%	4.05%	4.41%	3.95%	2.71%	1.84%	2.39%	0.00%	0.00%	0.00%	0.00%
FEM First Trust Emerging Markets AlphaDEX Fund	2.32%	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 FDEM in my portfolio?

FEM and FDEM have a correlation of 0.82, 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 FDEM?

FEM has higher volatility (7.75%) compared to FDEM (7.53%). In terms of maximum drawdown, FEM dropped -46.23% vs FDEM's -33.65%.

Which ETF is better, FEM or FDEM?

On 5-year performance, FDEM leads with 9.38% vs 7.31% for FEM. On fees, FDEM is cheaper at 0.25% per year. On volatility, FDEM has been the lower-risk option at 7.53%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FEM or FDEM?

Over the 5-year period, FDEM has performed better with a 9.38% return vs 7.31%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FEM or FDEM?

FDEM is cheaper with a 0.25% expense ratio, compared with 0.80% for FEM.

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

FDEM has the higher dividend yield at 3.05%, compared with 2.32% for FEM.

What is the main difference between FEM and FDEM?

FEM tracks NASDAQ AlphaDEX EM Index, while FDEM tracks Fidelity Emerging Markets Multifactor Index. They also come from different issuers: First Trust and Fidelity. Their fees differ too: 0.80% for FEM and 0.25% for FDEM.

Which has better risk-adjusted returns?

FEM currently has the higher Sharpe Ratio (1.35 vs 1.28), 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.