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FEM vs. FDEM
Performance
Return for Risk
Dividends
Drawdowns
Volatility

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.

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FEM vs. FDEM - Yearly Performance Comparison


2026 (YTD)2025202420232022202120202019
FEM
First Trust Emerging Markets AlphaDEX Fund
9.64%28.36%3.01%10.84%-14.24%7.40%-1.68%9.91%
FDEM
Fidelity Emerging Markets Multifactor ETF
2.77%26.75%9.34%17.26%-13.11%-3.52%8.87%5.73%

Returns By Period

In the year-to-date period, FEM achieves a 9.64% return, which is significantly higher than FDEM's 2.77% return.


FEM

1D
1.40%
1M
-4.37%
YTD
9.64%
6M
11.51%
1Y
35.39%
3Y*
16.74%
5Y*
6.92%
10Y*
8.47%

FDEM

1D
3.24%
1M
-8.84%
YTD
2.77%
6M
6.29%
1Y
27.87%
3Y*
17.22%
5Y*
6.52%
10Y*
*Multi-year figures are annualized to reflect compound growth (CAGR)

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FEM vs. FDEM - Expense Ratio Comparison

FEM has a 0.80% expense ratio, which is higher than FDEM's 0.45% expense ratio.


Return for Risk

FEM vs. FDEM — Risk / Return Rank

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

FEM
FEM Risk / Return Rank: 8888
Overall Rank
FEM Sharpe Ratio Rank: 8888
Sharpe Ratio Rank
FEM Sortino Ratio Rank: 8787
Sortino Ratio Rank
FEM Omega Ratio Rank: 8888
Omega Ratio Rank
FEM Calmar Ratio Rank: 8787
Calmar Ratio Rank
FEM Martin Ratio Rank: 9292
Martin Ratio Rank

FDEM
FDEM Risk / Return Rank: 8181
Overall Rank
FDEM Sharpe Ratio Rank: 8282
Sharpe Ratio Rank
FDEM Sortino Ratio Rank: 8383
Sortino Ratio Rank
FDEM Omega Ratio Rank: 8181
Omega Ratio Rank
FDEM Calmar Ratio Rank: 8181
Calmar Ratio Rank
FDEM Martin Ratio Rank: 8181
Martin Ratio Rank
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.

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.


FEMFDEMDifference

Sharpe ratio

Return per unit of total volatility

1.85

1.54

+0.31

Sortino ratio

Return per unit of downside risk

2.34

2.11

+0.23

Omega ratio

Gain probability vs. loss probability

1.36

1.30

+0.06

Calmar ratio

Return relative to maximum drawdown

2.66

2.18

+0.48

Martin ratio

Return relative to average drawdown

12.54

8.58

+3.96

FEM vs. FDEM - Sharpe Ratio Comparison

The current FEM Sharpe Ratio is 1.85, which is comparable to the FDEM Sharpe Ratio of 1.54. The chart below compares the historical Sharpe Ratios of FEM and FDEM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Sharpe Ratios by Period


FEMFDEMDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.85

1.54

+0.31

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.38

0.42

-0.03

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.41

Sharpe Ratio (All Time)

Calculated using the full available price history

0.16

0.39

-0.23

Correlation

The correlation between FEM and FDEM is 0.82, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


Dividends

FEM vs. FDEM - Dividend Comparison

FEM's dividend yield for the trailing twelve months is around 2.84%, less than FDEM's 3.17% yield.


TTM20252024202320222021202020192018201720162015
FEM
First Trust Emerging Markets AlphaDEX Fund
2.84%3.13%3.66%4.96%6.15%4.15%2.68%3.31%3.52%2.45%2.25%3.61%
FDEM
Fidelity Emerging Markets Multifactor ETF
3.17%3.23%4.05%4.41%3.95%2.71%1.84%2.39%0.00%0.00%0.00%0.00%

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.


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Drawdown Indicators


FEMFDEMDifference

Max Drawdown

Largest peak-to-trough decline

-46.23%

-33.65%

-12.58%

Max Drawdown (1Y)

Largest decline over 1 year

-13.19%

-12.70%

-0.49%

Max Drawdown (5Y)

Largest decline over 5 years

-31.72%

-29.19%

-2.53%

Max Drawdown (10Y)

Largest decline over 10 years

-46.23%

Current Drawdown

Current decline from peak

-5.40%

-9.87%

+4.47%

Average Drawdown

Average peak-to-trough decline

-15.20%

-9.00%

-6.20%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.79%

3.22%

-0.43%

Volatility

FEM vs. FDEM - Volatility Comparison

The current volatility for First Trust Emerging Markets AlphaDEX Fund (FEM) is 8.51%, while Fidelity Emerging Markets Multifactor ETF (FDEM) has a volatility of 9.54%. This indicates that FEM experiences smaller price fluctuations and is considered to be less risky than FDEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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Volatility by Period


FEMFDEMDifference

Volatility (1M)

Calculated over the trailing 1-month period

8.51%

9.54%

-1.03%

Volatility (6M)

Calculated over the trailing 6-month period

13.64%

13.16%

+0.48%

Volatility (1Y)

Calculated over the trailing 1-year period

19.24%

18.15%

+1.09%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

18.21%

15.77%

+2.44%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

20.95%

17.76%

+3.19%