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 10.03%/yr vs 13.26%/yr for ^GSPC. Their 0.74 correlation means they have sometimes moved together and sometimes differently.
Performance
FNK vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, FNK achieves a 14.72% return, which is significantly higher than ^GSPC's 9.41% return. Over the past 10 years, FNK has underperformed ^GSPC with an annualized return of 10.03%, while ^GSPC has yielded a comparatively higher 13.26% annualized return.
FNK
- 1D
- -0.21%
- 1M
- 2.77%
- 6M
- 9.21%
- YTD
- 14.72%
- 1Y
- 24.65%
- 3Y*
- 10.96%
- 5Y*
- 9.09%
- 10Y*
- 10.03%
- ALL TIME*
- 9.34%
^GSPC
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^GSPC S&P 500 Index | $37.98T | $37.61T | $41.48T |
| $141.83K | $192.54K | $284.84K |
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 | 14.72% | 5.65% | 6.65% | 21.03% | -7.24% | 33.60% | 1.23% | 20.56% | -14.72% | 11.81% |
^GSPC S&P 500 Index | 9.41% | 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 0.47, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.47 |
Correlation (3Y) Balances recent behavior with more history. | 0.61 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.72 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.71 |
Correlation (All Time) Calculated using the full available price history since Apr 20, 2011 | 0.74 |
Over the past year, the correlation between FNK and ^GSPC has dropped to 0.47 - well below their long-term average of 0.74, suggesting their price drivers have been diverging.
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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 | +0.13 | ||
| Sortino ratioReturn per unit of downside risk | +0.42 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.25 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.50 | 2.00 | +0.50 |
| Martin ratioReturn relative to average drawdown | 7.45 | 8.49 | -1.04 |
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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 | -1.34% | -1.58% | +0.24% |
Average DrawdownAverage peak-to-trough decline | -6.78% | -10.70% | +3.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.06% | 2.14% | +0.92% |
Volatility
FNK vs. ^GSPC - Volatility Comparison
First Trust Mid Cap Value AlphaDEX Fund (FNK) has a higher volatility of 3.86% compared to S&P 500 Index (^GSPC) at 3.51%. 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.
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Volatility by Period
| FNK | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.86% | 3.51% | +0.35% |
Volatility (6M)Calculated over the trailing 6-month period | 9.46% | 10.11% | -0.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.75% | 12.87% | +1.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.89% | 17.01% | +3.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.75% | 18.07% | +5.68% |
Frequently Asked Questions
FNK and ^GSPC have a correlation of 0.47, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FNK has higher volatility (3.86%) compared to ^GSPC (3.51%). In terms of maximum drawdown, FNK dropped -50.70% vs ^GSPC's -56.78%.
FNK currently has the higher Sharpe Ratio (1.55 vs 1.42), 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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