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FEMS vs. TUR
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FEMS vs. TUR

Last updated Jun 5, 2026

FEMS (First Trust Emerging Markets Small Cap AlphaDEX Fund) and TUR (iShares MSCI Turkey ETF) are both Emerging Markets Equities funds - FEMS tracks the NASDAQ AlphaDEX EM Small Cap Index while TUR tracks the MSCI Turkey Investable Market Index. Both are passively managed. Over the past 10 years, FEMS returned 9.39%/yr vs 2.44%/yr for TUR. A 0.52 correlation means they provide meaningful diversification when combined. FEMS charges 0.80%/yr vs 0.59%/yr for TUR.

Performance

FEMS vs. TUR - 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 iShares MSCI Turkey ETF (TUR). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, FEMS achieves a 12.25% return, which is significantly lower than TUR's 13.80% return. Over the past 10 years, FEMS has outperformed TUR with an annualized return of 9.39%, while TUR has yielded a comparatively lower 2.44% annualized return.

FEMS

1D
0.08%
1M
-2.76%
YTD
12.25%
6M
11.00%
1Y
24.04%
3Y*
13.24%
5Y*
4.45%
10Y*
9.39%

TUR

1D
0.00%
1M
-7.70%
YTD
13.80%
6M
17.95%
1Y
28.13%
3Y*
9.19%
5Y*
14.80%
10Y*
2.44%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FEMS vs. TUR - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FEMS
First Trust Emerging Markets Small Cap AlphaDEX Fund		12.25%16.48%1.88%3.55%1.85%3.76%7.85%28.88%-22.63%49.02%
TUR
iShares MSCI Turkey ETF		13.80%-1.54%12.91%-8.83%105.75%-27.41%-1.19%14.49%-41.46%37.58%

Correlation

The correlation between FEMS and TUR is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.44

Correlation (3Y)
Calculated over the trailing 3-year period

0.45

Correlation (5Y)
Calculated over the trailing 5-year period

0.51

Correlation (10Y)
Calculated over the trailing 10-year period

0.54

Correlation (All Time)
Calculated using the full available price history since Feb 21, 2012

0.52

The correlation between FEMS and TUR shifts across timeframes, from 0.44 (1 year) to 0.54 (10 years), reflecting how their relationship changes across market environments.

FEMS vs. TUR - Sectors Allocation Comparison

Sectors
FEMS
TUR

Industrials

16.0%
25.7%

Consumer Cyclical

15.4%
5.0%

Technology

13.1%
0.8%

Basic Materials

12.0%
11.5%

Energy

8.7%
6.2%

Real Estate

7.9%
1.2%

Consumer Defensive

7.0%
13.7%

Utilities

6.6%
1.7%

Financial Services

5.5%
15.3%

Communication Services

4.6%
3.2%

Healthcare

3.4%
2.0%

Industrials

FEMS
16.0%
TUR
25.7%

Consumer Cyclical

FEMS
15.4%
TUR
5.0%

Technology

FEMS
13.1%
TUR
0.8%

Basic Materials

FEMS
12.0%
TUR
11.5%

Energy

FEMS
8.7%
TUR
6.2%

Real Estate

FEMS
7.9%
TUR
1.2%

Consumer Defensive

FEMS
7.0%
TUR
13.7%

Utilities

FEMS
6.6%
TUR
1.7%

Financial Services

FEMS
5.5%
TUR
15.3%

Communication Services

FEMS
4.6%
TUR
3.2%

Healthcare

FEMS
3.4%
TUR
2.0%

Compare stocks, funds, or ETFs

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First Trust Emerging Markets Small Cap AlphaDEX Fund

iShares MSCI Turkey ETF

Often compared with FEMS:
FEMS vs. EDIVFEMS vs. EYLDFEMS vs. EWXFEMS vs. AVEEFEMS vs. FNDFFEMS vs. EEMSFEMS vs. SSO
Often compared with TUR:
TUR vs. VOOTUR vs. HEDJTUR vs. EPOLTUR vs. AMRTUR vs. SPYTUR vs. VGKTUR vs. SFM

Return for Risk

FEMS vs. TUR — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FEMS
FEMS Risk / Return Rank: 4747
Overall Rank
FEMS Sharpe Ratio Rank: 4444
Sharpe Ratio Rank
FEMS Sortino Ratio Rank: 4343
Sortino Ratio Rank
FEMS Omega Ratio Rank: 4343
Omega Ratio Rank
FEMS Calmar Ratio Rank: 5858
Calmar Ratio Rank
FEMS Martin Ratio Rank: 4646
Martin Ratio Rank
TUR
TUR Risk / Return Rank: 3434
Overall Rank
TUR Sharpe Ratio Rank: 3232
Sharpe Ratio Rank
TUR Sortino Ratio Rank: 3232
Sortino Ratio Rank
TUR Omega Ratio Rank: 3434
Omega Ratio Rank
TUR Calmar Ratio Rank: 3636
Calmar Ratio Rank
TUR Martin Ratio Rank: 3535
Martin Ratio Rank
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. TUR - 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 iShares MSCI Turkey ETF (TUR). 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.

FEMSTURDifference
Sharpe ratioReturn per unit of total volatility
1.53
1.12

+0.41

Sortino ratioReturn per unit of downside risk
2.14
1.69

+0.45

Omega ratioGain probability vs. loss probability

1.27

1.22

+0.05

Calmar ratioReturn relative to maximum drawdown

2.81

1.76

+1.05

Martin ratioReturn relative to average drawdown

7.34

5.22

+2.11

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. TUR - Sharpe Ratio Comparison

The current FEMS Sharpe Ratio is 1.53, which is higher than the TUR Sharpe Ratio of 1.12. The chart below compares the historical Sharpe Ratios of FEMS and TUR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

FEMSTURDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.53

1.12

+0.41

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.25

0.44

-0.18

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.47

0.07

+0.40

Sharpe Ratio (All Time)

Calculated using the full available price history

0.27

0.04

+0.24

Drawdowns

FEMS vs. TUR - Drawdown Comparison

The maximum FEMS drawdown since its inception was -47.85%, smaller than the maximum TUR drawdown of -72.34%. Use the drawdown chart below to compare losses from any high point for FEMS and TUR.

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Drawdown Indicators

FEMSTURDifference

Max Drawdown

Largest peak-to-trough decline

-47.85%

-72.34%

+24.49%

Max Drawdown (1Y)

Largest decline over 1 year

-8.59%

-16.07%

+7.48%

Max Drawdown (3Y)

Largest decline over 3 years

-21.09%

-31.63%

+10.54%

Max Drawdown (5Y)

Largest decline over 5 years

-26.89%

-31.63%

+4.74%

Max Drawdown (10Y)

Largest decline over 10 years

-47.85%

-59.25%

+11.40%

Current Drawdown

Current decline from peak

-4.80%

-28.38%

+23.58%

Average Drawdown

Average peak-to-trough decline

-17.40%

-39.90%

+22.50%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.29%

5.40%

-2.11%

Volatility

FEMS vs. TUR - Volatility Comparison

The current volatility for First Trust Emerging Markets Small Cap AlphaDEX Fund (FEMS) is 6.03%, while iShares MSCI Turkey ETF (TUR) has a volatility of 14.06%. This indicates that FEMS experiences smaller price fluctuations and is considered to be less risky than TUR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FEMSTURDifference

Volatility (1M)

Calculated over the trailing 1-month period

6.03%

14.06%

-8.03%

Volatility (6M)

Calculated over the trailing 6-month period

12.98%

19.90%

-6.92%

Volatility (1Y)

Calculated over the trailing 1-year period

15.83%

25.28%

-9.45%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.66%

34.15%

-16.49%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

19.96%

34.39%

-14.43%

FEMS vs. TUR - Expense Ratio Comparison

FEMS has a 0.80% expense ratio, which is higher than TUR's 0.59% expense ratio.

Dividends

FEMS vs. TUR - Dividend Comparison

FEMS's dividend yield for the trailing twelve months is around 4.27%, more than TUR's 2.11% yield.

PositionTTM20252024202320222021202020192018201720162015
FEMS
First Trust Emerging Markets Small Cap AlphaDEX Fund		4.27%4.27%3.97%4.65%4.55%6.25%2.90%4.37%4.68%3.39%2.42%3.28%
TUR
iShares MSCI Turkey ETF		2.11%2.40%1.79%4.43%1.97%4.22%0.87%3.29%4.05%2.64%2.89%3.04%

Frequently Asked Questions

FEMS and TUR have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

TUR has higher volatility (14.06%) compared to FEMS (6.03%). In terms of maximum drawdown, FEMS dropped -47.85% vs TUR's -72.34%.

On 10-year performance, FEMS leads with 9.39% vs 2.44% for TUR. On fees, TUR is cheaper at 0.59% per year. On volatility, FEMS has been the lower-risk option at 6.03%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, FEMS has performed better with a 9.39% return vs 2.44%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

TUR is cheaper with a 0.59% expense ratio, compared with 0.80% for FEMS.

FEMS has the higher dividend yield at 4.27%, compared with 2.11% for TUR.

FEMS tracks NASDAQ AlphaDEX EM Small Cap Index, while TUR tracks MSCI Turkey Investable Market Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.80% for FEMS and 0.59% for TUR.

FEMS currently has the higher Sharpe Ratio (1.53 vs 1.12), 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.

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