FYT vs. SQLV
Compare and contrast key facts about First Trust Small Cap Value AlphaDEX Fund (FYT) and Royce Quant Small-Cap Quality Value ETF (SQLV).
FYT and SQLV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FYT is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX Small Cap Value Index. It was launched on Apr 18, 2011. SQLV is an actively managed fund by Franklin Templeton. It was launched on Jul 12, 2017.
Performance
FYT vs. SQLV - Performance Comparison
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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 | 9.36% | 4.00% | 3.24% | 22.90% | -14.05% | 29.33% | 9.82% | 25.80% | -14.73% | 8.90% |
SQLV Royce Quant Small-Cap Quality Value ETF | 2.33% | 2.50% | 4.76% | 21.21% | -12.86% | 37.14% | 7.13% | 17.41% | -10.55% | 8.51% |
Returns By Period
In the year-to-date period, FYT achieves a 9.36% return, which is significantly higher than SQLV's 2.33% return.
FYT
- 1D
- 1.41%
- 1M
- -1.81%
- YTD
- 9.36%
- 6M
- 11.53%
- 1Y
- 25.81%
- 3Y*
- 12.33%
- 5Y*
- 5.54%
- 10Y*
- 9.69%
SQLV
- 1D
- 1.41%
- 1M
- -3.07%
- YTD
- 2.33%
- 6M
- 3.74%
- 1Y
- 17.85%
- 3Y*
- 8.87%
- 5Y*
- 5.25%
- 10Y*
- —
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FYT vs. SQLV - Expense Ratio Comparison
FYT has a 0.72% expense ratio, which is higher than SQLV's 0.60% expense ratio.
Return for Risk
FYT vs. SQLV — Risk / Return Rank
FYT
SQLV
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.
| FYT | SQLV | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.07 | 0.81 | +0.26 |
Sortino ratioReturn per unit of downside risk | 1.66 | 1.29 | +0.38 |
Omega ratioGain probability vs. loss probability | 1.22 | 1.16 | +0.05 |
Calmar ratioReturn relative to maximum drawdown | 1.73 | 1.37 | +0.36 |
Martin ratioReturn relative to average drawdown | 6.28 | 4.69 | +1.59 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FYT | SQLV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.07 | 0.81 | +0.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.25 | 0.25 | -0.01 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.37 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.38 | 0.34 | +0.04 |
Correlation
The correlation between FYT and SQLV is 0.76, 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.
Dividends
FYT vs. SQLV - Dividend Comparison
FYT's dividend yield for the trailing twelve months is around 1.18%, more than SQLV's 1.11% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FYT First Trust Small Cap Value AlphaDEX Fund | 1.18% | 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 | 1.11% | 1.15% | 1.11% | 1.09% | 1.24% | 1.12% | 1.22% | 1.20% | 1.08% | 0.40% | 0.00% | 0.00% |
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.
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Drawdown Indicators
| FYT | SQLV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -50.48% | -48.34% | -2.14% |
Max Drawdown (1Y)Largest decline over 1 year | -15.05% | -12.92% | -2.13% |
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 DrawdownCurrent decline from peak | -4.04% | -5.16% | +1.12% |
Average DrawdownAverage peak-to-trough decline | -8.62% | -9.10% | +0.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.14% | 3.79% | +0.35% |
Volatility
FYT vs. SQLV - Volatility Comparison
The current volatility for First Trust Small Cap Value AlphaDEX Fund (FYT) is 4.69%, while Royce Quant Small-Cap Quality Value ETF (SQLV) has a volatility of 5.25%. This indicates that FYT experiences smaller price fluctuations and is considered to be less risky than SQLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FYT | SQLV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.69% | 5.25% | -0.56% |
Volatility (6M)Calculated over the trailing 6-month period | 12.93% | 12.40% | +0.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.21% | 22.07% | +2.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.64% | 21.04% | +1.60% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.99% | 23.50% | +2.49% |