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FSMD vs. FYX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FSMD vs. FYX

Last updated Aug 2, 2026
Documentation

FSMD (Fidelity Small-Mid Multifactor ETF) and FYX (First Trust Small Cap Core AlphaDEX Fund) are both Small Cap Blend Equities funds - FSMD tracks the Fidelity Small-Mid Multifactor Index while FYX tracks the Nasdaq AlphaDEX Small Cap Core Index. Both are passively managed. Over the past 5 years, FSMD returned 9.94%/yr vs 10.51%/yr for FYX. Their correlation of 0.94 means they have usually moved in the same direction. FSMD charges 0.15%/yr vs 0.63%/yr for FYX.

Performance

FSMD vs. FYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Small-Mid Multifactor ETF (FSMD) and First Trust Small Cap Core AlphaDEX Fund (FYX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, FSMD achieves a 15.80% return, which is significantly lower than FYX's 25.97% return.

FSMD

1D
-0.12%
1M
-1.72%
6M
11.82%
YTD
15.80%
1Y
24.59%
3Y*
15.14%
5Y*
9.94%
10Y*
—
ALL TIME*
11.65%

FYX

1D
-0.58%
1M
-0.35%
6M
18.67%
YTD
25.97%
1Y
48.76%
3Y*
18.62%
5Y*
10.51%
10Y*
12.59%
ALL TIME*
9.33%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

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

FSMD

Fidelity Small-Mid Multifactor ETF
$4.61M$5.11M$5.82M

FYX

First Trust Small Cap Core AlphaDEX Fund
$4.00M$3.55M$3.84M

FSMD vs. FYX - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
FSMD
Fidelity Small-Mid Multifactor ETF		15.80%8.70%15.18%17.37%-11.15%26.40%8.94%8.81%
FYX
First Trust Small Cap Core AlphaDEX Fund		25.97%12.68%12.22%18.30%-18.41%27.43%19.48%3.90%

Correlation

The correlation between FSMD and FYX is 0.90, 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.

0.90

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

0.93

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

0.95

Correlation (All Time)
Calculated using the full available price history since Feb 28, 2019

0.94

The correlation between FSMD and FYX has been stable across timeframes, ranging from 0.90 to 0.95 - a consistent structural relationship.

FSMD vs. FYX - Sectors Allocation Comparison

Sectors
FSMD
FYX

Technology

20.9%
11.8%

Industrials

20.3%
16.4%

Financial Services

15.2%
17.4%

Healthcare

12.2%
15.0%

Consumer Cyclical

10.6%
11.7%

Real Estate

6.1%
8.6%

Energy

3.7%
5.1%

Basic Materials

3.5%
4.2%

Consumer Defensive

2.9%
5.0%

Communication Services

2.8%
3.2%

Utilities

1.9%
1.6%

Technology

FSMD
20.9%
FYX
11.8%

Industrials

FSMD
20.3%
FYX
16.4%

Financial Services

FSMD
15.2%
FYX
17.4%

Healthcare

FSMD
12.2%
FYX
15.0%

Consumer Cyclical

FSMD
10.6%
FYX
11.7%

Real Estate

FSMD
6.1%
FYX
8.6%

Energy

FSMD
3.7%
FYX
5.1%

Basic Materials

FSMD
3.5%
FYX
4.2%

Consumer Defensive

FSMD
2.9%
FYX
5.0%

Communication Services

FSMD
2.8%
FYX
3.2%

Utilities

FSMD
1.9%
FYX
1.6%

Compare stocks, funds, or ETFs

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

Fidelity Small-Mid Multifactor ETF

First Trust Small Cap Core AlphaDEX Fund

Often compared with FSMD:
FSMD vs. FXAIXFSMD vs. SMLFFSMD vs. IJRFSMD vs. RWJFSMD vs. BFGFXFSMD vs. FLRGFSMD vs. FSOPX
Often compared with FYX:
FYX vs. FYCFYX vs. SPMOFYX vs. SPSMFYX vs. IWYFYX vs. FNCMXFYX vs. IJRFYX vs. VTWO

Return for Risk

FSMD vs. FYX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
FSMD
FSMD Risk / Return Rank: 6868
Overall Rank
FSMD Sharpe Ratio Rank: 6262
Sharpe Ratio Rank
FSMD Sortino Ratio Rank: 6666
Sortino Ratio Rank
FSMD Omega Ratio Rank: 6060
Omega Ratio Rank
FSMD Calmar Ratio Rank: 7777
Calmar Ratio Rank
FSMD Martin Ratio Rank: 7474
Martin Ratio Rank
FYX
FYX Risk / Return Rank: 9494
Overall Rank
FYX Sharpe Ratio Rank: 9494
Sharpe Ratio Rank
FYX Sortino Ratio Rank: 9494
Sortino Ratio Rank
FYX Omega Ratio Rank: 9191
Omega Ratio Rank
FYX Calmar Ratio Rank: 9696
Calmar Ratio Rank
FYX Martin Ratio Rank: 9595
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.

FSMD vs. FYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Small-Mid Multifactor ETF (FSMD) and First Trust Small Cap Core AlphaDEX Fund (FYX). 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.

FSMDFYXDifference
Sharpe ratioReturn per unit of total volatility
1.44
2.57

-1.13

Sortino ratioReturn per unit of downside risk
2.16
3.70

-1.53

Omega ratioGain probability vs. loss probability

1.26

1.43

-0.18

Calmar ratioReturn relative to maximum drawdown

2.71

6.10

-3.39

Martin ratioReturn relative to average drawdown

9.08

20.46

-11.38

FSMD vs. FYX - Sharpe Ratio Comparison

The current FSMD Sharpe Ratio is 1.44, which is lower than the FYX Sharpe Ratio of 2.57. The chart below compares the historical Sharpe Ratios of FSMD and FYX, 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

FSMD vs. FYX - Drawdown Comparison

The maximum FSMD drawdown since its inception was -40.67%, smaller than the maximum FYX drawdown of -61.80%. Use the drawdown chart below to compare losses from any high point for FSMD and FYX.

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Drawdown Indicators

FSMDFYXDifference

Max Drawdown

Largest peak-to-trough decline

-40.67%

-61.80%

+21.13%

Max Drawdown (1Y)

Largest decline over 1 year

-8.44%

-7.56%

-0.88%

Max Drawdown (3Y)

Largest decline over 3 years

-22.16%

-27.91%

+5.75%

Max Drawdown (5Y)

Largest decline over 5 years

-22.16%

-27.91%

+5.75%

Max Drawdown (10Y)

Largest decline over 10 years

—

-48.82%

—

Current Drawdown

Current decline from peak

-3.99%

-1.70%

-2.29%

Average Drawdown

Average peak-to-trough decline

-5.92%

-10.80%

+4.88%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.52%

2.25%

+0.27%

Volatility

FSMD vs. FYX - Volatility Comparison

Fidelity Small-Mid Multifactor ETF (FSMD) has a higher volatility of 4.05% compared to First Trust Small Cap Core AlphaDEX Fund (FYX) at 3.67%. This indicates that FSMD's price experiences larger fluctuations and is considered to be riskier than FYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FSMDFYXDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.05%

3.67%

+0.38%

Volatility (6M)

Calculated over the trailing 6-month period

12.33%

11.97%

+0.36%

Volatility (1Y)

Calculated over the trailing 1-year period

15.87%

17.93%

-2.06%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

18.54%

21.81%

-3.27%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

21.32%

24.15%

-2.83%

FSMD vs. FYX - Expense Ratio Comparison

FSMD has a 0.15% expense ratio, which is lower than FYX's 0.63% expense ratio.

Dividends

FSMD vs. FYX - Dividend Comparison

FSMD's dividend yield for the trailing twelve months is around 1.25%, more than FYX's 0.90% yield.

PositionTTM20252024202320222021202020192018201720162015
FSMD
Fidelity Small-Mid Multifactor ETF		1.25%1.33%1.29%1.37%1.54%1.18%1.32%1.37%0.00%0.00%0.00%0.00%
FYX
First Trust Small Cap Core AlphaDEX Fund		0.90%0.64%1.62%1.22%0.95%0.99%0.65%1.12%1.08%0.60%0.94%0.88%

Frequently Asked Questions

With a correlation of 0.90, FSMD and FYX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

FSMD has higher volatility (4.05%) compared to FYX (3.67%). In terms of maximum drawdown, FSMD dropped -40.67% vs FYX's -61.80%.

On 5-year performance, FYX leads with 10.51% vs 9.94% for FSMD. On fees, FSMD is cheaper at 0.15% per year. On volatility, FYX has been the lower-risk option at 3.67%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, FYX has performed better with a 10.51% return vs 9.94%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

FSMD is cheaper with a 0.15% expense ratio, compared with 0.63% for FYX.

FSMD has the higher dividend yield at 1.25%, compared with 0.90% for FYX.

FSMD tracks Fidelity Small-Mid Multifactor Index, while FYX tracks Nasdaq AlphaDEX Small Cap Core Index. They also come from different issuers: Fidelity and First Trust. Their fees differ too: 0.15% for FSMD and 0.63% for FYX.

FYX currently has the higher Sharpe Ratio (2.57 vs 1.44), 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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