FNK vs. ^GSPC

Last updated Jun 4, 2026

FNK (First Trust Mid Cap Value AlphaDEX Fund) is Small Cap Value Equities fund tracking the NASDAQ AlphaDEX Mid Cap Value Index, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, FNK returned 9.29%/yr vs 13.66%/yr for ^GSPC. A 0.74 correlation means they provide meaningful diversification when combined.

Performance

FNK vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Mid Cap Value AlphaDEX Fund (FNK) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FNK achieves a 7.22% return, which is significantly lower than ^GSPC's 10.35% return. Over the past 10 years, FNK has underperformed ^GSPC with an annualized return of 9.29%, while ^GSPC has yielded a comparatively higher 13.66% annualized return.

FNK

• 1D: -0.38%
• 1M: 0.68%
• YTD: 7.22%
• 6M: 7.56%
• 1Y: 19.55%
• 3Y*: 13.11%
• 5Y*: 6.97%
• 10Y*: 9.29%

^GSPC

• 1D: -0.74%
• 1M: 4.90%
• YTD: 10.35%
• 6M: 10.28%
• 1Y: 26.52%
• 3Y*: 20.83%
• 5Y*: 12.30%
• 10Y*: 13.66%

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

FNK vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FNK First Trust Mid Cap Value AlphaDEX Fund	7.22%	5.65%	6.65%	21.03%	-7.24%	33.60%	1.23%	20.56%	-14.72%	11.81%
^GSPC S&P 500 Index	10.35%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%

Correlation

The correlation between FNK and ^GSPC is 0.57, 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	0.57
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.74
Correlation (10Y) Calculated over the trailing 10-year period	0.72
Correlation (All Time) Calculated using the full available price history since Apr 21, 2011	0.74

The correlation between FNK and ^GSPC shifts across timeframes, from 0.57 (1 year) to 0.74 (all time), reflecting how their relationship changes across market environments.

Return for Risk

FNK vs. ^GSPC — Risk / Return Rank

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

FNK

FNK Risk / Return Rank: 38
FNK Sharpe Ratio Rank: 35
FNK Sortino Ratio Rank: 39
FNK Omega Ratio Rank: 35
FNK Calmar Ratio Rank: 43
FNK Martin Ratio Rank: 39

^GSPC

^GSPC Risk / Return Rank: 73
^GSPC Sharpe Ratio Rank: 71
^GSPC Sortino Ratio Rank: 71
^GSPC Omega Ratio Rank: 72
^GSPC Calmar Ratio Rank: 67
^GSPC Martin Ratio Rank: 81

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.

FNK vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Mid Cap Value AlphaDEX Fund (FNK) and S&P 500 Index (^GSPC). 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.

	FNK	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	1.29	2.24	-0.96
Sortino ratio Return per unit of downside risk	2.02	3.07	-1.05
Omega ratio Gain probability vs. loss probability	1.23	1.41	-0.17
Calmar ratio Return relative to maximum drawdown	2.15	2.93	-0.78
Martin ratio Return relative to average drawdown	6.23	13.52	-7.29
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FNK vs. ^GSPC - Sharpe Ratio Comparison

The current FNK Sharpe Ratio is 1.29, which is lower than the ^GSPC Sharpe Ratio of 2.24. The chart below compares the historical Sharpe Ratios of FNK and ^GSPC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FNK	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.29	2.24	-0.96
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.33	0.73	-0.40
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.39	0.76	-0.37
Sharpe Ratio (All Time) Calculated using the full available price history	0.40	0.47	-0.07

Drawdowns

FNK vs. ^GSPC - Drawdown Comparison

The maximum FNK drawdown since its inception was -50.70%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for FNK and ^GSPC.

Drawdown Indicators

	FNK	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-50.70%	-56.78%	+6.08%
Max Drawdown (1Y) Largest decline over 1 year	-9.13%	-9.10%	-0.03%
Max Drawdown (3Y) Largest decline over 3 years	-25.16%	-18.90%	-6.26%
Max Drawdown (5Y) Largest decline over 5 years	-25.16%	-25.43%	+0.27%
Max Drawdown (10Y) Largest decline over 10 years	-50.70%	-33.92%	-16.78%
Current Drawdown Current decline from peak	-2.16%	-0.74%	-1.42%
Average Drawdown Average peak-to-trough decline	-6.84%	-10.72%	+3.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.15%	1.97%	+1.18%

Volatility

FNK vs. ^GSPC - Volatility Comparison

First Trust Mid Cap Value AlphaDEX Fund (FNK) has a higher volatility of 3.53% compared to S&P 500 Index (^GSPC) at 2.93%. This indicates that FNK's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FNK	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.53%	2.93%	+0.60%
Volatility (6M) Calculated over the trailing 6-month period	9.69%	8.99%	+0.70%
Volatility (1Y) Calculated over the trailing 1-year period	15.36%	11.89%	+3.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.04%	16.90%	+4.14%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.86%	18.06%	+5.80%

Frequently Asked Questions

Can I hold both FNK and ^GSPC in my portfolio?

FNK and ^GSPC have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FNK or ^GSPC?

FNK has higher volatility (3.53%) compared to ^GSPC (2.93%). In terms of maximum drawdown, FNK dropped -50.70% vs ^GSPC's -56.78%.

Which has better risk-adjusted returns?

^GSPC currently has the higher Sharpe Ratio (2.24 vs 1.29), 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.