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

Correlation

The correlation between FEMS and EMFM is 0.53, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

FEMS vs. EMFM - 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 Global X MSCI Next Emerging & Frontier ETF (EMFM). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
76.63%
465.98%
FEMS
EMFM

Key characteristics

Returns By Period


FEMS

YTD

2.76%

1M

-0.29%

6M

-4.60%

1Y

5.23%

5Y*

4.80%

10Y*

5.92%

EMFM

YTD

N/A

1M

N/A

6M

N/A

1Y

N/A

5Y*

N/A

10Y*

N/A

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FEMS vs. EMFM - Expense Ratio Comparison

FEMS has a 0.80% expense ratio, which is higher than EMFM's 0.70% 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 EMFM: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%

Risk-Adjusted Performance

FEMS vs. EMFM - 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 Global X MSCI Next Emerging & Frontier ETF (EMFM). 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 market0.002.004.000.390.34
The chart of Sortino ratio for FEMS, currently valued at 0.62, compared to the broader market-2.000.002.004.006.008.0010.000.620.49
The chart of Omega ratio for FEMS, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.001.081.12
The chart of Calmar ratio for FEMS, currently valued at 0.44, compared to the broader market0.005.0010.0015.000.440.01
The chart of Martin ratio for FEMS, currently valued at 1.41, compared to the broader market0.0020.0040.0060.0080.00100.001.410.59
FEMS
EMFM


Rolling 12-month Sharpe Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.39
0.34
FEMS
EMFM

Dividends

FEMS vs. EMFM - Dividend Comparison

FEMS's dividend yield for the trailing twelve months is around 4.90%, while EMFM has not paid dividends to shareholders.


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%
EMFM
Global X MSCI Next Emerging & Frontier ETF
101.60%2.95%0.63%2.17%2.61%2.85%3.29%1.72%10.97%0.00%0.00%0.00%

Drawdowns

FEMS vs. EMFM - Drawdown Comparison


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.69%
-78.34%
FEMS
EMFM

Volatility

FEMS vs. EMFM - Volatility Comparison

First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) has a higher volatility of 5.54% compared to Global X MSCI Next Emerging & Frontier ETF (EMFM) at 0.00%. This indicates that FEMS's price experiences larger fluctuations and is considered to be riskier than EMFM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.54%
0
FEMS
EMFM
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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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