FNK vs. ^GSPC
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 9.93%/yr vs 13.71%/yr for ^GSPC. A 0.74 correlation means they provide meaningful diversification when combined.
Performance
FNK vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, FNK achieves a 9.10% return, which is significantly higher than ^GSPC's 7.60% return. Over the past 10 years, FNK has underperformed ^GSPC with an annualized return of 9.93%, while ^GSPC has yielded a comparatively higher 13.71% annualized return.
FNK
- 1D
- 0.42%
- 1M
- 1.97%
- YTD
- 9.10%
- 6M
- 8.06%
- 1Y
- 20.05%
- 3Y*
- 13.38%
- 5Y*
- 8.07%
- 10Y*
- 9.93%
^GSPC
- 1D
- -1.44%
- 1M
- -1.45%
- YTD
- 7.60%
- 6M
- 6.59%
- 1Y
- 22.24%
- 3Y*
- 19.20%
- 5Y*
- 11.54%
- 10Y*
- 13.71%
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 | 9.10% | 5.65% | 6.65% | 21.03% | -7.24% | 33.60% | 1.23% | 20.56% | -14.72% | 11.81% |
^GSPC S&P 500 Index | 7.60% | 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 0.54, 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 | 0.54 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.63 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.73 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.72 |
Correlation (All Time) Calculated using the full available price history since Apr 20, 2011 | 0.74 |
The correlation between FNK and ^GSPC shifts across timeframes, from 0.54 (1 year) to 0.74 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
FNK vs. ^GSPC — Risk / Return Rank
FNK
^GSPC
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.
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.
| FNK | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.46 | ||
| Sortino ratioReturn per unit of downside risk | -0.38 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.32 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.21 | 2.46 | -0.25 |
| Martin ratioReturn relative to average drawdown | 6.37 | 10.92 | -4.55 |
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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.
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Drawdown Indicators
| FNK | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | -1.61% | -3.21% | +1.60% |
Average DrawdownAverage peak-to-trough decline | -6.82% | -10.71% | +3.89% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.16% | 2.04% | +1.12% |
Volatility
FNK vs. ^GSPC - Volatility Comparison
The current volatility for First Trust Mid Cap Value AlphaDEX Fund (FNK) is 3.37%, while S&P 500 Index (^GSPC) has a volatility of 4.89%. This indicates that FNK experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FNK | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.37% | 4.89% | -1.52% |
Volatility (6M)Calculated over the trailing 6-month period | 9.68% | 9.93% | -0.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.27% | 12.57% | +2.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.00% | 17.00% | +4.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.83% | 18.08% | +5.75% |
Frequently Asked Questions
FNK and ^GSPC have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (4.89%) compared to FNK (3.37%). In terms of maximum drawdown, FNK dropped -50.70% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.78 vs 1.32), 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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