FJP vs. VYM
Compare and contrast key facts about First Trust Japan AlphaDEX Fund (FJP) and Vanguard High Dividend Yield ETF (VYM).
FJP and VYM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FJP is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX Japan Index. It was launched on Apr 18, 2011. VYM is a passively managed fund by Vanguard that tracks the performance of the FTSE High Dividend Yield Index. It was launched on Feb 7, 2019. Both FJP and VYM 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
FJP vs. VYM - Performance Comparison
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FJP vs. VYM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FJP First Trust Japan AlphaDEX Fund | 8.24% | 33.60% | 5.80% | 23.00% | -12.83% | -1.13% | 3.60% | 7.72% | -18.60% | 27.63% |
VYM Vanguard High Dividend Yield ETF | 3.80% | 15.42% | 17.60% | 6.57% | -0.43% | 26.20% | 1.15% | 24.06% | -5.92% | 16.42% |
Returns By Period
In the year-to-date period, FJP achieves a 8.24% return, which is significantly higher than VYM's 3.80% return. Over the past 10 years, FJP has underperformed VYM with an annualized return of 7.51%, while VYM has yielded a comparatively higher 11.24% annualized return.
FJP
- 1D
- 2.19%
- 1M
- -11.26%
- YTD
- 8.24%
- 6M
- 13.78%
- 1Y
- 36.33%
- 3Y*
- 20.73%
- 5Y*
- 9.22%
- 10Y*
- 7.51%
VYM
- 1D
- 1.80%
- 1M
- -3.92%
- YTD
- 3.80%
- 6M
- 6.39%
- 1Y
- 17.76%
- 3Y*
- 15.21%
- 5Y*
- 11.04%
- 10Y*
- 11.24%
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FJP vs. VYM - Expense Ratio Comparison
FJP has a 0.80% expense ratio, which is higher than VYM's 0.04% expense ratio.
Return for Risk
FJP vs. VYM — Risk / Return Rank
FJP
VYM
FJP vs. VYM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Japan AlphaDEX Fund (FJP) and Vanguard High Dividend Yield ETF (VYM). 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.
| FJP | VYM | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.64 | 1.18 | +0.47 |
Sortino ratioReturn per unit of downside risk | 2.18 | 1.69 | +0.49 |
Omega ratioGain probability vs. loss probability | 1.30 | 1.26 | +0.04 |
Calmar ratioReturn relative to maximum drawdown | 2.51 | 1.68 | +0.83 |
Martin ratioReturn relative to average drawdown | 9.35 | 7.46 | +1.88 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FJP | VYM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.64 | 1.18 | +0.47 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.46 | 0.79 | -0.33 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.40 | 0.69 | -0.29 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.49 | -0.18 |
Correlation
The correlation between FJP and VYM is 0.51, 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.
Dividends
FJP vs. VYM - Dividend Comparison
FJP's dividend yield for the trailing twelve months is around 2.63%, more than VYM's 2.37% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FJP First Trust Japan AlphaDEX Fund | 2.63% | 2.68% | 3.18% | 3.49% | 2.21% | 2.43% | 0.99% | 2.80% | 1.54% | 1.29% | 1.46% | 0.85% |
VYM Vanguard High Dividend Yield ETF | 2.37% | 2.44% | 2.74% | 3.12% | 3.01% | 2.76% | 3.18% | 3.03% | 3.40% | 2.80% | 2.91% | 3.22% |
Drawdowns
FJP vs. VYM - Drawdown Comparison
The maximum FJP drawdown since its inception was -41.51%, smaller than the maximum VYM drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for FJP and VYM.
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Drawdown Indicators
| FJP | VYM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.51% | -56.98% | +15.47% |
Max Drawdown (1Y)Largest decline over 1 year | -14.43% | -11.32% | -3.11% |
Max Drawdown (5Y)Largest decline over 5 years | -31.88% | -15.84% | -16.04% |
Max Drawdown (10Y)Largest decline over 10 years | -41.51% | -35.21% | -6.30% |
Current DrawdownCurrent decline from peak | -11.29% | -4.81% | -6.48% |
Average DrawdownAverage peak-to-trough decline | -11.51% | -7.25% | -4.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.88% | 2.55% | +1.33% |
Volatility
FJP vs. VYM - Volatility Comparison
First Trust Japan AlphaDEX Fund (FJP) has a higher volatility of 9.09% compared to Vanguard High Dividend Yield ETF (VYM) at 3.74%. This indicates that FJP's price experiences larger fluctuations and is considered to be riskier than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FJP | VYM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.09% | 3.74% | +5.35% |
Volatility (6M)Calculated over the trailing 6-month period | 14.45% | 7.96% | +6.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.21% | 15.17% | +7.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.98% | 13.97% | +6.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.75% | 16.33% | +2.42% |