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

Correlation

The correlation between FEMS and EYLD is 0.49, 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.


-0.50.00.51.0
Correlation: 0.5

Performance

FEMS vs. EYLD - 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 Cambria Emerging Shareholder Yield ETF (EYLD). The values are adjusted to include any dividend payments, if applicable.

50.00%60.00%70.00%80.00%90.00%100.00%110.00%NovemberDecember2025FebruaryMarchApril
71.00%
93.65%
FEMS
EYLD

Key characteristics

Sharpe Ratio

FEMS:

0.00

EYLD:

-0.09

Sortino Ratio

FEMS:

0.14

EYLD:

-0.00

Omega Ratio

FEMS:

1.02

EYLD:

1.00

Calmar Ratio

FEMS:

0.00

EYLD:

-0.08

Martin Ratio

FEMS:

0.01

EYLD:

-0.24

Ulcer Index

FEMS:

7.33%

EYLD:

6.92%

Daily Std Dev

FEMS:

19.07%

EYLD:

18.41%

Max Drawdown

FEMS:

-47.85%

EYLD:

-41.82%

Current Drawdown

FEMS:

-11.14%

EYLD:

-9.39%

Returns By Period

In the year-to-date period, FEMS achieves a -1.84% return, which is significantly lower than EYLD's 1.15% return.


FEMS

YTD

-1.84%

1M

-2.19%

6M

-3.73%

1Y

-0.71%

5Y*

11.58%

10Y*

4.27%

EYLD

YTD

1.15%

1M

-3.15%

6M

-4.84%

1Y

-2.12%

5Y*

11.97%

10Y*

N/A

*Annualized

Compare stocks, funds, or ETFs

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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.


Expense ratio chart for FEMS: current value is 0.80%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FEMS: 0.80%
Expense ratio chart for EYLD: current value is 0.65%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EYLD: 0.65%

Risk-Adjusted Performance

FEMS vs. EYLD — Risk-Adjusted Performance Rank

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

FEMS
The Risk-Adjusted Performance Rank of FEMS is 2121
Overall Rank
The Sharpe Ratio Rank of FEMS is 2222
Sharpe Ratio Rank
The Sortino Ratio Rank of FEMS is 2121
Sortino Ratio Rank
The Omega Ratio Rank of FEMS is 2121
Omega Ratio Rank
The Calmar Ratio Rank of FEMS is 2222
Calmar Ratio Rank
The Martin Ratio Rank of FEMS is 2222
Martin Ratio Rank

EYLD
The Risk-Adjusted Performance Rank of EYLD is 1717
Overall Rank
The Sharpe Ratio Rank of EYLD is 1818
Sharpe Ratio Rank
The Sortino Ratio Rank of EYLD is 1717
Sortino Ratio Rank
The Omega Ratio Rank of EYLD is 1717
Omega Ratio Rank
The Calmar Ratio Rank of EYLD is 1616
Calmar Ratio Rank
The Martin Ratio Rank of EYLD is 1818
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for FEMS, currently valued at 0.00, compared to the broader market-1.000.001.002.003.004.00
FEMS: 0.00
EYLD: -0.09
The chart of Sortino ratio for FEMS, currently valued at 0.14, compared to the broader market-2.000.002.004.006.008.00
FEMS: 0.14
EYLD: -0.00
The chart of Omega ratio for FEMS, currently valued at 1.02, compared to the broader market0.501.001.502.002.50
FEMS: 1.02
EYLD: 1.00
The chart of Calmar ratio for FEMS, currently valued at 0.00, compared to the broader market0.002.004.006.008.0010.0012.00
FEMS: 0.00
EYLD: -0.08
The chart of Martin ratio for FEMS, currently valued at 0.01, compared to the broader market0.0020.0040.0060.00
FEMS: 0.01
EYLD: -0.24

The current FEMS Sharpe Ratio is 0.00, which is higher than the EYLD Sharpe Ratio of -0.09. The chart below compares the historical Sharpe Ratios of FEMS and EYLD, 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 Ratio-1.00-0.500.000.501.001.50NovemberDecember2025FebruaryMarchApril
0.00
-0.09
FEMS
EYLD

Dividends

FEMS vs. EYLD - Dividend Comparison

FEMS's dividend yield for the trailing twelve months is around 3.85%, less than EYLD's 4.46% yield.


TTM20242023202220212020201920182017201620152014
FEMS
First Trust Emerging Markets Small Cap AlphaDEX Fund
3.85%3.97%4.65%4.55%6.25%2.90%4.38%4.68%3.39%2.42%3.28%3.49%
EYLD
Cambria Emerging Shareholder Yield ETF
4.46%5.16%5.54%6.97%7.27%3.01%4.21%7.86%2.77%0.75%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.


-20.00%-15.00%-10.00%-5.00%NovemberDecember2025FebruaryMarchApril
-11.14%
-9.39%
FEMS
EYLD

Volatility

FEMS vs. EYLD - Volatility Comparison

First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) and Cambria Emerging Shareholder Yield ETF (EYLD) have volatilities of 10.90% and 10.57%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%NovemberDecember2025FebruaryMarchApril
10.90%
10.57%
FEMS
EYLD