FEM vs. VXUS
Compare and contrast key facts about First Trust Emerging Markets AlphaDEX Fund (FEM) and Vanguard Total International Stock ETF (VXUS).
FEM and VXUS are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FEM is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX EM Index. It was launched on Apr 18, 2011. VXUS is a passively managed fund by Vanguard that tracks the performance of the MSCI All Country World ex USA Investable Market Index. It was launched on Jan 26, 2011. Both FEM and VXUS are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FEM or VXUS.
Key characteristics
| FEM | VXUS | |
|---|---|---|
| YTD Return | 2.61% | 6.19% |
| 1Y Return | 7.39% | 13.19% |
| 3Y Return (Ann) | -0.32% | 0.38% |
| 5Y Return (Ann) | 2.40% | 5.31% |
| 10Y Return (Ann) | 3.10% | 4.92% |
| Sharpe Ratio | 0.46 | 1.05 |
| Sortino Ratio | 0.75 | 1.52 |
| Omega Ratio | 1.09 | 1.19 |
| Calmar Ratio | 0.42 | 1.11 |
| Martin Ratio | 1.50 | 5.75 |
| Ulcer Index | 4.84% | 2.33% |
| Daily Std Dev | 15.68% | 12.72% |
| Max Drawdown | -46.24% | -35.97% |
| Current Drawdown | -10.79% | -7.34% |
Correlation
The correlation between FEM and VXUS 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.
Performance
FEM vs. VXUS - Performance Comparison
In the year-to-date period, FEM achieves a 2.61% return, which is significantly lower than VXUS's 6.19% return. Over the past 10 years, FEM has underperformed VXUS with an annualized return of 3.10%, while VXUS has yielded a comparatively higher 4.92% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FEM vs. VXUS - Expense Ratio Comparison
FEM has a 0.80% expense ratio, which is higher than VXUS's 0.07% expense ratio.
Risk-Adjusted Performance
FEM vs. VXUS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Emerging Markets AlphaDEX Fund (FEM) and Vanguard Total International Stock ETF (VXUS). 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.
Dividends
FEM vs. VXUS - Dividend Comparison
FEM's dividend yield for the trailing twelve months is around 3.40%, more than VXUS's 3.02% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FEM First Trust Emerging Markets AlphaDEX Fund | 3.40% | 4.97% | 6.16% | 4.15% | 2.68% | 3.30% | 3.52% | 2.45% | 2.26% | 3.62% | 2.85% | 2.62% |
VXUS Vanguard Total International Stock ETF | 3.02% | 3.25% | 3.09% | 3.10% | 2.14% | 3.06% | 3.17% | 2.73% | 2.93% | 2.83% | 3.40% | 2.70% |
Drawdowns
FEM vs. VXUS - Drawdown Comparison
The maximum FEM drawdown since its inception was -46.24%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for FEM and VXUS. For additional features, visit the drawdowns tool.
Volatility
FEM vs. VXUS - Volatility Comparison
First Trust Emerging Markets AlphaDEX Fund (FEM) has a higher volatility of 5.60% compared to Vanguard Total International Stock ETF (VXUS) at 3.90%. This indicates that FEM's price experiences larger fluctuations and is considered to be riskier than VXUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.