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FNK vs. SVAL
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FNK vs. SVAL

Last updated Aug 2, 2026
Documentation

FNK (First Trust Mid Cap Value AlphaDEX Fund) and SVAL (iShares US Small Cap Value Factor ETF) are both Small Cap Value Equities funds - FNK tracks the NASDAQ AlphaDEX Mid Cap Value Index while SVAL tracks the Russell 2000 Focused Value Select Index. Both are passively managed. Over the past 5 years, FNK returned 9.09%/yr vs 9.86%/yr for SVAL. Their correlation of 0.93 means they have usually moved in the same direction. FNK charges 0.70%/yr vs 0.20%/yr for SVAL.

Performance

FNK vs. SVAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Mid Cap Value AlphaDEX Fund (FNK) and iShares US Small Cap Value Factor ETF (SVAL). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, FNK achieves a 14.72% return, which is significantly lower than SVAL's 25.30% 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%

SVAL

1D
0.26%
1M
2.62%
6M
17.08%
YTD
25.30%
1Y
43.73%
3Y*
16.07%
5Y*
9.86%
10Y*
—
ALL TIME*
17.62%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

FNK

First Trust Mid Cap Value AlphaDEX Fund
$141.83K$192.54K$284.84K

SVAL

iShares US Small Cap Value Factor ETF
$620.93K$633.76K$608.86K

FNK vs. SVAL - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
FNK
First Trust Mid Cap Value AlphaDEX Fund		14.72%5.65%6.65%21.03%-7.24%33.60%27.44%
SVAL
iShares US Small Cap Value Factor ETF		25.30%8.23%7.54%12.27%-10.15%33.18%29.82%

Correlation

The correlation between FNK and SVAL is 0.85, meaning they have usually moved in the same direction, including during past declines.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.85

Correlation (3Y)
Balances recent behavior with more history.

0.91

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.92

Correlation (All Time)
Calculated using the full available price history since Oct 29, 2020

0.93

The correlation between FNK and SVAL has been stable across timeframes, ranging from 0.85 to 0.93 - a consistent structural relationship.

FNK vs. SVAL - Sectors Allocation Comparison

Sectors
FNK
SVAL

Financial Services

26.5%
22.7%

Consumer Cyclical

16.8%
11.8%

Industrials

10.2%
12.9%

Energy

8.8%
10.0%

Real Estate

7.1%
4.7%

Technology

7.1%
10.4%

Basic Materials

6.2%
4.7%

Consumer Defensive

5.3%
4.3%

Utilities

4.9%
3.4%

Healthcare

4.4%
12.0%

Communication Services

1.3%
3.0%

Financial Services

FNK
26.5%
SVAL
22.7%

Consumer Cyclical

FNK
16.8%
SVAL
11.8%

Industrials

FNK
10.2%
SVAL
12.9%

Energy

FNK
8.8%
SVAL
10.0%

Real Estate

FNK
7.1%
SVAL
4.7%

Technology

FNK
7.1%
SVAL
10.4%

Basic Materials

FNK
6.2%
SVAL
4.7%

Consumer Defensive

FNK
5.3%
SVAL
4.3%

Utilities

FNK
4.9%
SVAL
3.4%

Healthcare

FNK
4.4%
SVAL
12.0%

Communication Services

FNK
1.3%
SVAL
3.0%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

First Trust Mid Cap Value AlphaDEX Fund

iShares US Small Cap Value Factor ETF

Often compared with FNK:
FNK vs. MDYVFNK vs. FNCMXFNK vs. GETGXFNK vs. FLQMFNK vs. VOEFNK vs. DISVXFNK vs. DISV
Often compared with SVAL:
SVAL vs. AVUVSVAL vs. XSVMSVAL vs. SPYVSVAL vs. IJSSVAL vs. SLYVSVAL vs. IWOSVAL vs. VDC

Return for Risk

FNK vs. SVAL — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
FNK
FNK Risk / Return Rank: 6868
Overall Rank
FNK Sharpe Ratio Rank: 6868
Sharpe Ratio Rank
FNK Sortino Ratio Rank: 7474
Sortino Ratio Rank
FNK Omega Ratio Rank: 6565
Omega Ratio Rank
FNK Calmar Ratio Rank: 7171
Calmar Ratio Rank
FNK Martin Ratio Rank: 6262
Martin Ratio Rank
SVAL
SVAL Risk / Return Rank: 9292
Overall Rank
SVAL Sharpe Ratio Rank: 9292
Sharpe Ratio Rank
SVAL Sortino Ratio Rank: 9393
Sortino Ratio Rank
SVAL Omega Ratio Rank: 9191
Omega Ratio Rank
SVAL Calmar Ratio Rank: 9393
Calmar Ratio Rank
SVAL Martin Ratio Rank: 9292
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

FNK vs. SVAL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Mid Cap Value AlphaDEX Fund (FNK) and iShares US Small Cap Value Factor ETF (SVAL). 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.

FNKSVALDifference
Sharpe ratioReturn per unit of total volatility
1.55
2.41

-0.86

Sortino ratioReturn per unit of downside risk
2.40
3.51

-1.11

Omega ratioGain probability vs. loss probability

1.28

1.42

-0.15

Calmar ratioReturn relative to maximum drawdown

2.50

4.59

-2.09

Martin ratioReturn relative to average drawdown

7.45

15.49

-8.04

FNK vs. SVAL - Sharpe Ratio Comparison

The current FNK Sharpe Ratio is 1.55, which is lower than the SVAL Sharpe Ratio of 2.41. The chart below compares the historical Sharpe Ratios of FNK and SVAL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

FNK vs. SVAL - Drawdown Comparison

The maximum FNK drawdown since its inception was -50.70%, which is greater than SVAL's maximum drawdown of -27.44%. Use the drawdown chart below to compare losses from any high point for FNK and SVAL.

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Drawdown Indicators

FNKSVALDifference

Max Drawdown

Largest peak-to-trough decline

-50.70%

-27.44%

-23.26%

Max Drawdown (1Y)

Largest decline over 1 year

-9.13%

-8.94%

-0.19%

Max Drawdown (3Y)

Largest decline over 3 years

-25.16%

-27.44%

+2.28%

Max Drawdown (5Y)

Largest decline over 5 years

-25.16%

-27.44%

+2.28%

Max Drawdown (10Y)

Largest decline over 10 years

-50.70%

—

—

Current Drawdown

Current decline from peak

-1.34%

-0.79%

-0.55%

Average Drawdown

Average peak-to-trough decline

-6.78%

-8.29%

+1.51%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.06%

2.64%

+0.42%

Volatility

FNK vs. SVAL - Volatility Comparison

First Trust Mid Cap Value AlphaDEX Fund (FNK) has a higher volatility of 3.86% compared to iShares US Small Cap Value Factor ETF (SVAL) at 3.19%. This indicates that FNK's price experiences larger fluctuations and is considered to be riskier than SVAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FNKSVALDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.86%

3.19%

+0.67%

Volatility (6M)

Calculated over the trailing 6-month period

9.46%

10.99%

-1.53%

Volatility (1Y)

Calculated over the trailing 1-year period

14.75%

17.03%

-2.28%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.89%

22.01%

-1.12%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.75%

23.04%

+0.71%

FNK vs. SVAL - Expense Ratio Comparison

FNK has a 0.70% expense ratio, which is higher than SVAL's 0.20% expense ratio.

Dividends

FNK vs. SVAL - Dividend Comparison

FNK's dividend yield for the trailing twelve months is around 1.43%, less than SVAL's 2.04% yield.

PositionTTM20252024202320222021202020192018201720162015
FNK
First Trust Mid Cap Value AlphaDEX Fund		1.43%1.53%1.63%1.76%1.66%1.27%1.61%1.82%1.76%1.40%1.38%1.45%
SVAL
iShares US Small Cap Value Factor ETF		2.04%2.33%1.82%2.25%2.09%2.33%0.28%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

FNK and SVAL have a correlation of 0.85, 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 SVAL (3.19%). In terms of maximum drawdown, FNK dropped -50.70% vs SVAL's -27.44%.

On 5-year performance, SVAL leads with 9.86% vs 9.09% for FNK. On fees, SVAL is cheaper at 0.20% per year. On volatility, SVAL has been the lower-risk option at 3.19%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, SVAL has performed better with a 9.86% return vs 9.09%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SVAL is cheaper with a 0.20% expense ratio, compared with 0.70% for FNK.

SVAL has the higher dividend yield at 2.04%, compared with 1.43% for FNK.

FNK tracks NASDAQ AlphaDEX Mid Cap Value Index, while SVAL tracks Russell 2000 Focused Value Select Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.70% for FNK and 0.20% for SVAL.

SVAL currently has the higher Sharpe Ratio (2.41 vs 1.55), 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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