FEMS vs. SSO

Last updated Jun 23, 2026

FEMS (First Trust Emerging Markets Small Cap AlphaDEX Fund) and SSO (ProShares Ultra S&P500) are both exchange-traded funds - FEMS is a Emerging Markets Equities fund tracking the NASDAQ AlphaDEX EM Small Cap Index, while SSO is a Leveraged Equities fund tracking the S&P 500. Both are passively managed. Over the past 10 years, FEMS returned 9.75%/yr vs 24.62%/yr for SSO. A 0.55 correlation means they provide meaningful diversification when combined. FEMS charges 0.80%/yr vs 0.87%/yr for SSO.

Performance

FEMS vs. SSO - 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 ProShares Ultra S&P500 (SSO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FEMS achieves a 12.92% return, which is significantly lower than SSO's 16.27% return. Over the past 10 years, FEMS has underperformed SSO with an annualized return of 9.75%, while SSO has yielded a comparatively higher 24.62% annualized return.

FEMS

• 1D: 0.48%
• 1M: 0.93%
• YTD: 12.92%
• 6M: 13.60%
• 1Y: 25.95%
• 3Y*: 14.00%
• 5Y*: 5.02%
• 10Y*: 9.75%

SSO

• 1D: -0.61%
• 1M: -0.46%
• YTD: 16.27%
• 6M: 15.09%
• 1Y: 49.34%
• 3Y*: 35.13%
• 5Y*: 18.87%
• 10Y*: 24.62%

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

FEMS vs. SSO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FEMS First Trust Emerging Markets Small Cap AlphaDEX Fund	12.92%	16.48%	1.88%	3.55%	1.85%	3.76%	7.85%	28.88%	-22.63%	49.02%
SSO ProShares Ultra S&P500	16.27%	26.19%	43.48%	46.65%	-38.98%	60.57%	21.54%	63.45%	-14.60%	44.35%

Correlation

The correlation between FEMS and SSO is 0.61, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.61
Correlation (3Y) Calculated over the trailing 3-year period	0.50
Correlation (5Y) Calculated over the trailing 5-year period	0.50
Correlation (10Y) Calculated over the trailing 10-year period	0.56
Correlation (All Time) Calculated using the full available price history since Feb 17, 2012	0.55

The correlation between FEMS and SSO shifts across timeframes, from 0.50 (3 years) to 0.61 (1 year), reflecting how their relationship changes across market environments.

FEMS vs. SSO - Sectors Allocation Comparison

Sectors	FEMS	SSO
Technology	16.4%	24.9%
Industrials	16.2%	5.2%
Consumer Cyclical	14.9%	6.2%
Basic Materials	11.7%	1.2%
Real Estate	7.6%	1.2%
Energy	7.4%	2.2%
Consumer Defensive	6.8%	3.1%
Utilities	6.3%	1.7%
Financial Services	5.3%	25.1%
Communication Services	4.4%	6.6%
Healthcare	3.0%	5.7%

Return for Risk

FEMS vs. SSO — Risk / Return Rank

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

FEMS

FEMS Risk / Return Rank: 49
FEMS Sharpe Ratio Rank: 47
FEMS Sortino Ratio Rank: 44
FEMS Omega Ratio Rank: 46
FEMS Calmar Ratio Rank: 60
FEMS Martin Ratio Rank: 45

SSO

SSO Risk / Return Rank: 59
SSO Sharpe Ratio Rank: 63
SSO Sortino Ratio Rank: 55
SSO Omega Ratio Rank: 57
SSO Calmar Ratio Rank: 57
SSO Martin Ratio Rank: 65

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. SSO - 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 ProShares Ultra S&P500 (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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	FEMS	SSO	Difference
Sharpe ratio: Return per unit of total volatility	1.58	2.00	-0.43
Sortino ratio: Return per unit of downside risk	2.16	2.56	-0.39
Omega ratio: Gain probability vs. loss probability	1.29	1.34	-0.05
Calmar ratio: Return relative to maximum drawdown	2.90	2.73	+0.17
Martin ratio: Return relative to average drawdown	7.35	11.61	-4.26

FEMS vs. SSO - Sharpe Ratio Comparison

The current FEMS Sharpe Ratio is 1.58, which is comparable to the SSO Sharpe Ratio of 2.00. The chart below compares the historical Sharpe Ratios of FEMS and SSO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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.

Drawdown Indicators

	FEMS	SSO	Difference
Max Drawdown Largest peak-to-trough decline	-47.85%	-84.67%	+36.82%
Max Drawdown (1Y) Largest decline over 1 year	-8.98%	-18.17%	+9.19%
Max Drawdown (3Y) Largest decline over 3 years	-21.09%	-35.21%	+14.12%
Max Drawdown (5Y) Largest decline over 5 years	-26.43%	-46.73%	+20.30%
Max Drawdown (10Y) Largest decline over 10 years	-47.85%	-59.34%	+11.49%
Current Drawdown Current decline from peak	-4.23%	-3.96%	-0.27%
Average Drawdown Average peak-to-trough decline	-17.37%	-19.53%	+2.16%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.54%	4.26%	-0.72%

Volatility

FEMS vs. SSO - Volatility Comparison

The current volatility for First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) is 7.07%, while ProShares Ultra S&P500 (SSO) has a volatility of 9.26%. 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.

Volatility by Period

	FEMS	SSO	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.07%	9.26%	-2.19%
Volatility (6M) Calculated over the trailing 6-month period	14.11%	19.46%	-5.35%
Volatility (1Y) Calculated over the trailing 1-year period	16.55%	24.79%	-8.24%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.83%	33.82%	-15.99%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.02%	35.99%	-15.97%

FEMS vs. SSO - Expense Ratio Comparison

FEMS has a 0.80% expense ratio, which is lower than SSO's 0.87% expense ratio.

Dividends

FEMS vs. SSO - Dividend Comparison

FEMS's dividend yield for the trailing twelve months is around 4.25%, more than SSO's 0.63% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FEMS First Trust Emerging Markets Small Cap AlphaDEX Fund	4.25%	4.27%	3.97%	4.65%	4.55%	6.25%	2.90%	4.37%	4.68%	3.39%	2.42%	3.28%
SSO ProShares Ultra S&P500	0.63%	0.68%	0.85%	0.18%	0.50%	0.18%	0.20%	0.50%	0.75%	0.39%	0.51%	0.63%

Frequently Asked Questions

Can I hold both FEMS and SSO in my portfolio?

FEMS and SSO have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FEMS or SSO?

SSO has higher volatility (9.26%) compared to FEMS (7.07%). In terms of maximum drawdown, FEMS dropped -47.85% vs SSO's -84.67%.

Which ETF is better, FEMS or SSO?

On 10-year performance, SSO leads with 24.62% vs 9.75% for FEMS. On fees, FEMS is cheaper at 0.80% per year. On volatility, FEMS has been the lower-risk option at 7.07%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FEMS or SSO?

Over the 10-year period, SSO has performed better with a 24.62% return vs 9.75%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FEMS or SSO?

FEMS is cheaper with a 0.80% expense ratio, compared with 0.87% for SSO.

Which ETF pays a higher dividend yield, FEMS or SSO?

FEMS has the higher dividend yield at 4.25%, compared with 0.63% for SSO.

What is the main difference between FEMS and SSO?

FEMS is categorized as Emerging Markets Equities, while SSO is Leveraged Equities. FEMS tracks NASDAQ AlphaDEX EM Small Cap Index, while SSO tracks S&P 500. They also come from different issuers: First Trust and ProShares. Their fees differ too: 0.80% for FEMS and 0.87% for SSO.

Which has better risk-adjusted returns?

SSO currently has the higher Sharpe Ratio (2.00 vs 1.58), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.