FEMS vs. ROAM

Last updated Apr 1, 2026

Compare and contrast key facts about First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) and Hartford Multifactor Emerging Markets ETF (ROAM).

FEMS and ROAM 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. ROAM is a passively managed fund by Hartford that tracks the performance of the Hartford Multifactor Emerging Markets Equity Index. It was launched on Feb 26, 2015. Both FEMS and ROAM are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.

Performance

FEMS vs. ROAM - 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 Hartford Multifactor Emerging Markets ETF (ROAM). The values are adjusted to include any dividend payments, if applicable.

FEMS vs. ROAM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FEMS First Trust Emerging Markets Small Cap AlphaDEX Fund	8.94%	16.48%	1.88%	3.55%	1.85%	3.76%	7.85%	28.88%	-22.63%	49.02%
ROAM Hartford Multifactor Emerging Markets ETF	6.43%	32.08%	6.21%	21.28%	-14.78%	9.32%	2.24%	8.89%	-12.24%	27.69%

Returns By Period

In the year-to-date period, FEMS achieves a 8.94% return, which is significantly higher than ROAM's 6.43% return. Over the past 10 years, FEMS has outperformed ROAM with an annualized return of 9.00%, while ROAM has yielded a comparatively lower 7.63% annualized return.

FEMS

• 1D: 2.29%
• 1M: -4.09%
• YTD: 8.94%
• 6M: 5.39%
• 1Y: 28.47%
• 3Y*: 11.79%
• 5Y*: 5.54%
• 10Y*: 9.00%

ROAM

• 1D: 2.47%
• 1M: -7.36%
• YTD: 6.43%
• 6M: 13.25%
• 1Y: 36.19%
• 3Y*: 19.94%
• 5Y*: 9.67%
• 10Y*: 7.63%

*Multi-year figures are annualized to reflect compound growth (CAGR)

FEMS vs. ROAM - Expense Ratio Comparison

FEMS has a 0.80% expense ratio, which is higher than ROAM's 0.44% expense ratio.

FEMS

First Trust Emerging Markets Small Cap AlphaDEX Fund

ROAM

Hartford Multifactor Emerging Markets ETF

Return for Risk

FEMS vs. ROAM — Risk / Return Rank

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

FEMS

FEMS Risk / Return Rank: 80
FEMS Sharpe Ratio Rank: 83
FEMS Sortino Ratio Rank: 83
FEMS Omega Ratio Rank: 82
FEMS Calmar Ratio Rank: 77
FEMS Martin Ratio Rank: 76

ROAM

ROAM Risk / Return Rank: 93
ROAM Sharpe Ratio Rank: 94
ROAM Sortino Ratio Rank: 94
ROAM Omega Ratio Rank: 94
ROAM Calmar Ratio Rank: 90
ROAM Martin Ratio Rank: 92

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FEMS vs. ROAM - Risk-Adjusted Trends Comparison

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

	FEMS	ROAM	Difference
Sharpe ratio Return per unit of total volatility	1.63	2.24	-0.61
Sortino ratio Return per unit of downside risk	2.17	2.93	-0.75
Omega ratio Gain probability vs. loss probability	1.32	1.44	-0.12
Calmar ratio Return relative to maximum drawdown	2.05	3.09	-1.04
Martin ratio Return relative to average drawdown	8.00	13.21	-5.21
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FEMS vs. ROAM - Sharpe Ratio Comparison

The current FEMS Sharpe Ratio is 1.63, which is comparable to the ROAM Sharpe Ratio of 2.24. The chart below compares the historical Sharpe Ratios of FEMS and ROAM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	FEMS	ROAM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.63	2.24	-0.61
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.31	0.65	-0.33
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.45	0.43	+0.02
Sharpe Ratio (All Time) Calculated using the full available price history	0.27	0.29	-0.03

Correlation

The correlation between FEMS and ROAM 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.

Dividends

FEMS vs. ROAM - Dividend Comparison

FEMS's dividend yield for the trailing twelve months is around 4.40%, more than ROAM's 2.98% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FEMS First Trust Emerging Markets Small Cap AlphaDEX Fund	4.40%	4.27%	3.97%	4.65%	4.55%	6.25%	2.90%	4.37%	4.68%	3.39%	2.42%	3.28%
ROAM Hartford Multifactor Emerging Markets ETF	2.98%	3.17%	4.15%	5.40%	5.23%	4.22%	3.04%	3.55%	2.54%	1.84%	1.89%	2.25%

Drawdowns

FEMS vs. ROAM - Drawdown Comparison

The maximum FEMS drawdown since its inception was -47.85%, which is greater than ROAM's maximum drawdown of -45.47%. Use the drawdown chart below to compare losses from any high point for FEMS and ROAM.

Drawdown Indicators

	FEMS	ROAM	Difference
Max Drawdown Largest peak-to-trough decline	-47.85%	-45.47%	-2.38%
Max Drawdown (1Y) Largest decline over 1 year	-13.24%	-11.63%	-1.61%
Max Drawdown (5Y) Largest decline over 5 years	-30.40%	-27.07%	-3.33%
Max Drawdown (10Y) Largest decline over 10 years	-47.85%	-45.47%	-2.38%
Current Drawdown Current decline from peak	-4.54%	-7.69%	+3.15%
Average Drawdown Average peak-to-trough decline	-17.59%	-11.28%	-6.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.40%	2.72%	+0.68%

Volatility

FEMS vs. ROAM - Volatility Comparison

First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) and Hartford Multifactor Emerging Markets ETF (ROAM) have volatilities of 7.87% and 7.59%, 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.

Volatility by Period

	FEMS	ROAM	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.87%	7.59%	+0.28%
Volatility (6M) Calculated over the trailing 6-month period	11.77%	11.01%	+0.76%
Volatility (1Y) Calculated over the trailing 1-year period	17.58%	16.22%	+1.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.86%	15.03%	+2.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.97%	17.83%	+2.14%