FEMS vs. EYLD
Compare and contrast key facts about First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) and Cambria Emerging Shareholder Yield ETF (EYLD).
FEMS and EYLD are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FEMS is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX EM Small Cap Index. It was launched on Feb 15, 2012. EYLD is an actively managed fund by Cambria. It was launched on Jul 14, 2016.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FEMS or EYLD.
Performance
FEMS vs. EYLD - Performance Comparison
Returns By Period
In the year-to-date period, FEMS achieves a 3.85% return, which is significantly lower than EYLD's 8.67% return.
FEMS
3.85%
-1.24%
-3.52%
6.99%
6.26%
5.30%
EYLD
8.67%
-3.24%
-4.29%
15.20%
6.83%
N/A
Key characteristics
| FEMS | EYLD | |
|---|---|---|
| Sharpe Ratio | 0.41 | 1.05 |
| Sortino Ratio | 0.66 | 1.50 |
| Omega Ratio | 1.08 | 1.19 |
| Calmar Ratio | 0.43 | 1.37 |
| Martin Ratio | 1.59 | 4.63 |
| Ulcer Index | 4.15% | 3.37% |
| Daily Std Dev | 16.13% | 14.95% |
| Max Drawdown | -47.85% | -41.82% |
| Current Drawdown | -7.73% | -7.04% |
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FEMS vs. EYLD - Expense Ratio Comparison
FEMS has a 0.80% expense ratio, which is higher than EYLD's 0.65% expense ratio.
Correlation
The correlation between FEMS and EYLD is 0.67, 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.
Risk-Adjusted Performance
FEMS vs. EYLD - 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 Cambria Emerging Shareholder Yield ETF (EYLD). 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
FEMS vs. EYLD - Dividend Comparison
FEMS's dividend yield for the trailing twelve months is around 3.65%, less than EYLD's 3.92% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FEMS First Trust Emerging Markets Small Cap AlphaDEX Fund | 3.65% | 4.65% | 4.55% | 6.25% | 2.90% | 4.38% | 4.68% | 3.39% | 2.42% | 3.28% | 3.49% | 1.79% |
EYLD Cambria Emerging Shareholder Yield ETF | 3.92% | 5.54% | 6.97% | 7.27% | 3.01% | 4.21% | 7.86% | 2.77% | 0.75% | 0.00% | 0.00% | 0.00% |
Drawdowns
FEMS vs. EYLD - Drawdown Comparison
The maximum FEMS drawdown since its inception was -47.85%, which is greater than EYLD's maximum drawdown of -41.82%. Use the drawdown chart below to compare losses from any high point for FEMS and EYLD. For additional features, visit the drawdowns tool.
Volatility
FEMS vs. EYLD - Volatility Comparison
The current volatility for First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) is 4.02%, while Cambria Emerging Shareholder Yield ETF (EYLD) has a volatility of 4.54%. This indicates that FEMS experiences smaller price fluctuations and is considered to be less risky than EYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.