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FNK vs. MDYV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FNKMDYV
YTD Return-1.58%-3.77%
1Y Return17.47%9.07%
3Y Return (Ann)5.58%3.00%
5Y Return (Ann)8.92%8.13%
10Y Return (Ann)6.92%8.29%
Sharpe Ratio0.870.51
Daily Std Dev19.64%17.42%
Max Drawdown-50.70%-60.70%
Current Drawdown-7.51%-7.45%

Correlation

-0.50.00.51.00.9

The correlation between FNK and MDYV is 0.90, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

FNK vs. MDYV - Performance Comparison

In the year-to-date period, FNK achieves a -1.58% return, which is significantly higher than MDYV's -3.77% return. Over the past 10 years, FNK has underperformed MDYV with an annualized return of 6.92%, while MDYV has yielded a comparatively higher 8.29% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%NovemberDecember2024FebruaryMarchApril
15.10%
12.17%
FNK
MDYV

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First Trust Mid Cap Value AlphaDEX Fund

SPDR S&P 400 Mid Cap Value ETF

FNK vs. MDYV - Expense Ratio Comparison

FNK has a 0.70% expense ratio, which is higher than MDYV's 0.15% expense ratio.

FNK
First Trust Mid Cap Value AlphaDEX Fund
0.50%1.00%1.50%2.00%0.70%
0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

FNK vs. MDYV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Mid Cap Value AlphaDEX Fund (FNK) and SPDR S&P 400 Mid Cap Value ETF (MDYV). 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
Sharpe ratio
The chart of Sharpe ratio for FNK, currently valued at 0.87, compared to the broader market-1.000.001.002.003.004.005.000.87
Sortino ratio
The chart of Sortino ratio for FNK, currently valued at 1.43, compared to the broader market-2.000.002.004.006.008.001.43
Omega ratio
The chart of Omega ratio for FNK, currently valued at 1.16, compared to the broader market1.001.502.002.501.16
Calmar ratio
The chart of Calmar ratio for FNK, currently valued at 0.96, compared to the broader market0.002.004.006.008.0010.0012.000.96
Martin ratio
The chart of Martin ratio for FNK, currently valued at 3.17, compared to the broader market0.0020.0040.0060.003.17
MDYV
Sharpe ratio
The chart of Sharpe ratio for MDYV, currently valued at 0.51, compared to the broader market-1.000.001.002.003.004.005.000.51
Sortino ratio
The chart of Sortino ratio for MDYV, currently valued at 0.86, compared to the broader market-2.000.002.004.006.008.000.86
Omega ratio
The chart of Omega ratio for MDYV, currently valued at 1.10, compared to the broader market1.001.502.002.501.10
Calmar ratio
The chart of Calmar ratio for MDYV, currently valued at 0.47, compared to the broader market0.002.004.006.008.0010.0012.000.47
Martin ratio
The chart of Martin ratio for MDYV, currently valued at 1.54, compared to the broader market0.0020.0040.0060.001.54

FNK vs. MDYV - Sharpe Ratio Comparison

The current FNK Sharpe Ratio is 0.87, which is higher than the MDYV Sharpe Ratio of 0.51. The chart below compares the 12-month rolling Sharpe Ratio of FNK and MDYV.


Rolling 12-month Sharpe Ratio0.000.501.001.50NovemberDecember2024FebruaryMarchApril
0.87
0.51
FNK
MDYV

Dividends

FNK vs. MDYV - Dividend Comparison

FNK's dividend yield for the trailing twelve months is around 1.71%, which matches MDYV's 1.72% yield.


TTM20232022202120202019201820172016201520142013
FNK
First Trust Mid Cap Value AlphaDEX Fund
1.71%1.76%1.66%1.27%1.61%1.82%1.76%1.40%1.38%1.45%1.08%0.77%
MDYV
SPDR S&P 400 Mid Cap Value ETF
1.72%1.59%1.90%1.74%1.69%1.84%2.28%2.48%1.83%4.24%4.05%1.40%

Drawdowns

FNK vs. MDYV - Drawdown Comparison

The maximum FNK drawdown since its inception was -50.70%, smaller than the maximum MDYV drawdown of -60.70%. Use the drawdown chart below to compare losses from any high point for FNK and MDYV. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-7.51%
-7.45%
FNK
MDYV

Volatility

FNK vs. MDYV - Volatility Comparison

First Trust Mid Cap Value AlphaDEX Fund (FNK) has a higher volatility of 5.32% compared to SPDR S&P 400 Mid Cap Value ETF (MDYV) at 4.98%. This indicates that FNK's price experiences larger fluctuations and is considered to be riskier than MDYV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%NovemberDecember2024FebruaryMarchApril
5.32%
4.98%
FNK
MDYV