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FEMS vs. EEMS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FEMS and EEMS is 0.75, 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.


-0.50.00.51.00.7

Performance

FEMS vs. EEMS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) and iShares MSCI Emerging Markets Small-Cap ETF (EEMS). The values are adjusted to include any dividend payments, if applicable.

60.00%70.00%80.00%90.00%100.00%110.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
100.39%
69.33%
FEMS
EEMS

Key characteristics

Sharpe Ratio

FEMS:

0.39

EEMS:

0.59

Sortino Ratio

FEMS:

0.62

EEMS:

0.86

Omega Ratio

FEMS:

1.08

EEMS:

1.11

Calmar Ratio

FEMS:

0.44

EEMS:

0.81

Martin Ratio

FEMS:

1.41

EEMS:

2.38

Ulcer Index

FEMS:

4.49%

EEMS:

3.18%

Daily Std Dev

FEMS:

16.41%

EEMS:

12.71%

Max Drawdown

FEMS:

-47.85%

EEMS:

-48.89%

Current Drawdown

FEMS:

-8.69%

EEMS:

-7.01%

Returns By Period

In the year-to-date period, FEMS achieves a 2.76% return, which is significantly lower than EEMS's 3.70% return. Over the past 10 years, FEMS has outperformed EEMS with an annualized return of 5.92%, while EEMS has yielded a comparatively lower 5.41% annualized return.


FEMS

YTD

2.76%

1M

-0.29%

6M

-4.60%

1Y

5.23%

5Y*

4.80%

10Y*

5.92%

EEMS

YTD

3.70%

1M

0.45%

6M

-2.47%

1Y

5.73%

5Y*

8.21%

10Y*

5.41%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FEMS vs. EEMS - Expense Ratio Comparison

FEMS has a 0.80% expense ratio, which is higher than EEMS's 0.69% expense ratio.


FEMS
First Trust Emerging Markets Small Cap AlphaDEX Fund
Expense ratio chart for FEMS: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
Expense ratio chart for EEMS: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%

Risk-Adjusted Performance

FEMS vs. EEMS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) and iShares MSCI Emerging Markets Small-Cap ETF (EEMS). 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.


Sharpe ratio
The chart of Sharpe ratio for FEMS, currently valued at 0.39, compared to the broader market0.002.004.000.390.59
The chart of Sortino ratio for FEMS, currently valued at 0.62, compared to the broader market-2.000.002.004.006.008.0010.000.620.86
The chart of Omega ratio for FEMS, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.001.081.11
The chart of Calmar ratio for FEMS, currently valued at 0.44, compared to the broader market0.005.0010.0015.000.440.81
The chart of Martin ratio for FEMS, currently valued at 1.41, compared to the broader market0.0020.0040.0060.0080.00100.001.412.38
FEMS
EEMS

The current FEMS Sharpe Ratio is 0.39, which is lower than the EEMS Sharpe Ratio of 0.59. The chart below compares the historical Sharpe Ratios of FEMS and EEMS, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
0.39
0.59
FEMS
EEMS

Dividends

FEMS vs. EEMS - Dividend Comparison

FEMS's dividend yield for the trailing twelve months is around 4.90%, more than EEMS's 2.58% yield.


TTM20232022202120202019201820172016201520142013
FEMS
First Trust Emerging Markets Small Cap AlphaDEX Fund
3.93%4.65%4.55%6.25%2.90%4.38%4.68%3.39%2.42%3.28%3.49%1.79%
EEMS
iShares MSCI Emerging Markets Small-Cap ETF
2.58%2.69%0.89%3.56%2.14%2.64%3.06%2.47%2.51%2.33%2.67%2.15%

Drawdowns

FEMS vs. EEMS - Drawdown Comparison

The maximum FEMS drawdown since its inception was -47.85%, roughly equal to the maximum EEMS drawdown of -48.89%. Use the drawdown chart below to compare losses from any high point for FEMS and EEMS. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.69%
-7.01%
FEMS
EEMS

Volatility

FEMS vs. EEMS - Volatility Comparison

First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) has a higher volatility of 5.54% compared to iShares MSCI Emerging Markets Small-Cap ETF (EEMS) at 3.18%. This indicates that FEMS's price experiences larger fluctuations and is considered to be riskier than EEMS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.54%
3.18%
FEMS
EEMS
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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