FYT vs. SQLV

Last updated Aug 2, 2026

FYT (First Trust Small Cap Value AlphaDEX Fund) and SQLV (Royce Quant Small-Cap Quality Value ETF) are both exchange-traded funds - FYT is a Small Cap Value Equities fund tracking the NASDAQ AlphaDEX Small Cap Value Index, while SQLV is a Quality Factor fund actively managed by Franklin Templeton. FYT is passively managed, while SQLV is actively managed. Over the past 5 years, FYT returned 9.12%/yr vs 8.18%/yr for SQLV. Their 0.76 correlation means they have sometimes moved together and sometimes differently. FYT charges 0.72%/yr vs 0.60%/yr for SQLV.

Performance

FYT vs. SQLV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Small Cap Value AlphaDEX Fund (FYT) and Royce Quant Small-Cap Quality Value ETF (SQLV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FYT achieves a 28.00% return, which is significantly higher than SQLV's 23.57% return.

FYT

• 1D: -0.24%
• 1M: 2.47%
• 6M: 19.17%
• YTD: 28.00%
• 1Y: 45.15%
• 3Y*: 14.49%
• 5Y*: 9.12%
• 10Y*: 10.88%
• ALL TIME*: 10.02%

SQLV

• 1D: -0.45%
• 1M: 1.00%
• 6M: 18.55%
• YTD: 23.57%
• 1Y: 37.64%
• 3Y*: 12.11%
• 5Y*: 8.18%
• 10Y*: —
• ALL TIME*: 9.92%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
FYT First Trust Small Cap Value AlphaDEX Fund	$944.63K	$705.42K	$773.70K
SQLV Royce Quant Small-Cap Quality Value ETF	$1.18M	$614.27K	$248.07K

FYT vs. SQLV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FYT First Trust Small Cap Value AlphaDEX Fund	28.00%	4.00%	3.24%	22.90%	-14.05%	29.33%	9.82%	25.80%	-14.73%	9.58%
SQLV Royce Quant Small-Cap Quality Value ETF	23.57%	2.50%	4.76%	21.21%	-12.86%	37.14%	7.13%	17.41%	-10.55%	8.84%

Correlation

The correlation between FYT and SQLV is 0.92, 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.	0.92
Correlation (3Y) Balances recent behavior with more history.	0.94
Correlation (5Y) Shows whether the relationship held over a longer period.	0.92
Correlation (All Time) Calculated using the full available price history since Jul 13, 2017	0.76

The correlation between FYT and SQLV shifts across timeframes, from 0.76 (all time) to 0.94 (3 years), reflecting how their relationship changes across market environments.

FYT vs. SQLV - Sectors Allocation Comparison

Sectors	FYT	SQLV
Financial Services	27.4%	19.0%
Consumer Cyclical	12.9%	13.8%
Industrials	12.2%	10.3%
Real Estate	10.3%	0.9%
Technology	8.0%	15.9%
Energy	7.2%	4.0%
Consumer Defensive	6.1%	7.4%
Healthcare	5.7%	18.7%
Basic Materials	4.6%	3.8%
Communication Services	3.0%	6.0%
Utilities	2.3%	0.2%

Return for Risk

FYT vs. SQLV — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

FYT

FYT Risk / Return Rank: 92
FYT Sharpe Ratio Rank: 92
FYT Sortino Ratio Rank: 93
FYT Omega Ratio Rank: 90
FYT Calmar Ratio Rank: 95
FYT Martin Ratio Rank: 91

SQLV

SQLV Risk / Return Rank: 86
SQLV Sharpe Ratio Rank: 86
SQLV Sortino Ratio Rank: 88
SQLV Omega Ratio Rank: 81
SQLV Calmar Ratio Rank: 90
SQLV Martin Ratio Rank: 86

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.

FYT vs. SQLV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Small Cap Value AlphaDEX Fund (FYT) and Royce Quant Small-Cap Quality Value ETF (SQLV). 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.

	FYT	SQLV	Difference
Sharpe ratio: Return per unit of total volatility	2.39	2.02	+0.37
Sortino ratio: Return per unit of downside risk	3.49	2.97	+0.52
Omega ratio: Gain probability vs. loss probability	1.42	1.34	+0.08
Calmar ratio: Return relative to maximum drawdown	5.12	3.95	+1.18
Martin ratio: Return relative to average drawdown	15.45	12.39	+3.06

FYT vs. SQLV - Sharpe Ratio Comparison

The current FYT Sharpe Ratio is 2.39, which is comparable to the SQLV Sharpe Ratio of 2.02. The chart below compares the historical Sharpe Ratios of FYT and SQLV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FYT vs. SQLV - Drawdown Comparison

The maximum FYT drawdown since its inception was -50.48%, roughly equal to the maximum SQLV drawdown of -48.34%. Use the drawdown chart below to compare losses from any high point for FYT and SQLV.

Drawdown Indicators

	FYT	SQLV	Difference
Max Drawdown Largest peak-to-trough decline	-50.48%	-48.34%	-2.14%
Max Drawdown (1Y) Largest decline over 1 year	-8.34%	-8.84%	+0.50%
Max Drawdown (3Y) Largest decline over 3 years	-28.90%	-26.86%	-2.04%
Max Drawdown (5Y) Largest decline over 5 years	-28.90%	-26.86%	-2.04%
Max Drawdown (10Y) Largest decline over 10 years	-50.48%	—	—
Current Drawdown Current decline from peak	-1.41%	-1.74%	+0.33%
Average Drawdown Average peak-to-trough decline	-8.46%	-8.80%	+0.34%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.76%	2.81%	-0.05%

Volatility

FYT vs. SQLV - Volatility Comparison

First Trust Small Cap Value AlphaDEX Fund (FYT) and Royce Quant Small-Cap Quality Value ETF (SQLV) have volatilities of 4.25% and 4.34%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FYT	SQLV	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.25%	4.34%	-0.09%
Volatility (6M) Calculated over the trailing 6-month period	11.19%	11.60%	-0.41%
Volatility (1Y) Calculated over the trailing 1-year period	17.95%	17.33%	+0.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.41%	20.87%	+1.54%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.89%	23.24%	+2.65%

FYT vs. SQLV - Expense Ratio Comparison

FYT has a 0.72% expense ratio, which is higher than SQLV's 0.60% expense ratio.

Dividends

FYT vs. SQLV - Dividend Comparison

FYT's dividend yield for the trailing twelve months is around 1.43%, more than SQLV's 0.95% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FYT First Trust Small Cap Value AlphaDEX Fund	1.43%	0.94%	2.07%	1.50%	1.36%	1.19%	0.96%	1.44%	1.78%	1.16%	1.16%	0.96%
SQLV Royce Quant Small-Cap Quality Value ETF	0.95%	1.15%	1.11%	1.09%	1.24%	1.12%	1.22%	1.20%	1.08%	0.40%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FYT and SQLV in my portfolio?

With a correlation of 0.92, FYT and SQLV 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.

Which is riskier, FYT or SQLV?

SQLV has higher volatility (4.34%) compared to FYT (4.25%). In terms of maximum drawdown, FYT dropped -50.48% vs SQLV's -48.34%.

Which ETF is better, FYT or SQLV?

On 5-year performance, FYT leads with 9.12% vs 8.18% for SQLV. On fees, SQLV is cheaper at 0.60% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FYT or SQLV?

Over the 5-year period, FYT has performed better with a 9.12% return vs 8.18%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FYT or SQLV?

SQLV is cheaper with a 0.60% expense ratio, compared with 0.72% for FYT.

Which ETF pays a higher dividend yield, FYT or SQLV?

FYT has the higher dividend yield at 1.43%, compared with 0.95% for SQLV.

What is the main difference between FYT and SQLV?

FYT is categorized as Small Cap Value Equities, while SQLV is Quality Factor. They also come from different issuers: First Trust and Franklin Templeton. Their fees differ too: 0.72% for FYT and 0.60% for SQLV.

Which has better risk-adjusted returns?

FYT currently has the higher Sharpe Ratio (2.39 vs 2.02), 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.