FEMS vs. SSO
Compare and contrast key facts about First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) and ProShares Ultra S&P 500 (SSO).
FEMS and SSO 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. SSO is a passively managed fund by ProShares that tracks the performance of the S&P 500 Index (200%). It was launched on Jun 21, 2006. Both FEMS and SSO are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FEMS or SSO.
Performance
FEMS vs. SSO - Performance Comparison
Returns By Period
In the year-to-date period, FEMS achieves a 3.69% return, which is significantly lower than SSO's 48.39% return. Over the past 10 years, FEMS has underperformed SSO with an annualized return of 5.35%, while SSO has yielded a comparatively higher 20.10% annualized return.
FEMS
3.69%
-0.23%
-4.31%
6.82%
6.23%
5.35%
SSO
48.39%
5.41%
22.82%
62.05%
22.86%
20.10%
Key characteristics
| FEMS | SSO | |
|---|---|---|
| Sharpe Ratio | 0.42 | 2.55 |
| Sortino Ratio | 0.67 | 3.13 |
| Omega Ratio | 1.08 | 1.43 |
| Calmar Ratio | 0.44 | 3.22 |
| Martin Ratio | 1.63 | 15.58 |
| Ulcer Index | 4.18% | 3.98% |
| Daily Std Dev | 16.13% | 24.29% |
| Max Drawdown | -47.85% | -84.67% |
| Current Drawdown | -7.87% | -1.35% |
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FEMS vs. SSO - Expense Ratio Comparison
FEMS has a 0.80% expense ratio, which is lower than SSO's 0.90% expense ratio.
Correlation
The correlation between FEMS and SSO is 0.55, 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. SSO - 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 ProShares Ultra S&P 500 (SSO). 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. SSO - Dividend Comparison
FEMS's dividend yield for the trailing twelve months is around 3.66%, more than SSO's 0.69% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FEMS First Trust Emerging Markets Small Cap AlphaDEX Fund | 3.66% | 4.65% | 4.55% | 6.25% | 2.90% | 4.38% | 4.68% | 3.39% | 2.42% | 3.28% | 3.49% | 1.79% |
SSO ProShares Ultra S&P 500 | 0.69% | 0.18% | 0.50% | 0.18% | 0.20% | 0.50% | 0.75% | 0.39% | 0.51% | 0.63% | 0.32% | 0.26% |
Drawdowns
FEMS vs. SSO - Drawdown Comparison
The maximum FEMS drawdown since its inception was -47.85%, smaller than the maximum SSO drawdown of -84.67%. Use the drawdown chart below to compare losses from any high point for FEMS and SSO. For additional features, visit the drawdowns tool.
Volatility
FEMS vs. SSO - Volatility Comparison
The current volatility for First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) is 4.02%, while ProShares Ultra S&P 500 (SSO) has a volatility of 7.97%. This indicates that FEMS experiences smaller price fluctuations and is considered to be less risky than SSO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.