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FYT vs. VBR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FYT and VBR is 0.70, 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

FYT vs. VBR - Performance Comparison

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

150.00%200.00%250.00%300.00%December2025FebruaryMarchAprilMay
175.04%
244.62%
FYT
VBR

Key characteristics

Sharpe Ratio

FYT:

-0.36

VBR:

0.06

Sortino Ratio

FYT:

-0.38

VBR:

0.24

Omega Ratio

FYT:

0.95

VBR:

1.03

Calmar Ratio

FYT:

-0.31

VBR:

0.06

Martin Ratio

FYT:

-0.84

VBR:

0.17

Ulcer Index

FYT:

10.59%

VBR:

7.80%

Daily Std Dev

FYT:

24.52%

VBR:

21.18%

Max Drawdown

FYT:

-50.48%

VBR:

-62.01%

Current Drawdown

FYT:

-21.95%

VBR:

-14.91%

Returns By Period

In the year-to-date period, FYT achieves a -14.62% return, which is significantly lower than VBR's -7.21% return. Over the past 10 years, FYT has underperformed VBR with an annualized return of 4.84%, while VBR has yielded a comparatively higher 7.56% annualized return.


FYT

YTD

-14.62%

1M

6.11%

6M

-19.55%

1Y

-9.48%

5Y*

13.21%

10Y*

4.84%

VBR

YTD

-7.21%

1M

9.45%

6M

-12.58%

1Y

0.26%

5Y*

15.18%

10Y*

7.56%

*Annualized

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FYT vs. VBR - Expense Ratio Comparison

FYT has a 0.72% expense ratio, which is higher than VBR's 0.07% expense ratio.


Risk-Adjusted Performance

FYT vs. VBR — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FYT
The Risk-Adjusted Performance Rank of FYT is 88
Overall Rank
The Sharpe Ratio Rank of FYT is 88
Sharpe Ratio Rank
The Sortino Ratio Rank of FYT is 88
Sortino Ratio Rank
The Omega Ratio Rank of FYT is 88
Omega Ratio Rank
The Calmar Ratio Rank of FYT is 66
Calmar Ratio Rank
The Martin Ratio Rank of FYT is 88
Martin Ratio Rank

VBR
The Risk-Adjusted Performance Rank of VBR is 2323
Overall Rank
The Sharpe Ratio Rank of VBR is 2323
Sharpe Ratio Rank
The Sortino Ratio Rank of VBR is 2323
Sortino Ratio Rank
The Omega Ratio Rank of VBR is 2323
Omega Ratio Rank
The Calmar Ratio Rank of VBR is 2323
Calmar Ratio Rank
The Martin Ratio Rank of VBR is 2222
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FYT vs. VBR - Risk-Adjusted Performance Comparison

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


The current FYT Sharpe Ratio is -0.36, which is lower than the VBR Sharpe Ratio of 0.06. The chart below compares the historical Sharpe Ratios of FYT and VBR, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.502.002.50December2025FebruaryMarchAprilMay
-0.39
0.01
FYT
VBR

Dividends

FYT vs. VBR - Dividend Comparison

FYT's dividend yield for the trailing twelve months is around 2.17%, less than VBR's 2.31% yield.


TTM20242023202220212020201920182017201620152014
FYT
First Trust Small Cap Value AlphaDEX Fund
2.17%2.07%1.50%1.36%1.19%0.96%1.44%1.78%1.16%1.16%0.96%0.85%
VBR
Vanguard Small-Cap Value ETF
2.31%1.98%2.12%2.03%1.75%1.68%2.06%2.35%1.79%1.77%1.99%1.77%

Drawdowns

FYT vs. VBR - Drawdown Comparison

The maximum FYT drawdown since its inception was -50.48%, smaller than the maximum VBR drawdown of -62.01%. Use the drawdown chart below to compare losses from any high point for FYT and VBR. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-21.95%
-14.91%
FYT
VBR

Volatility

FYT vs. VBR - Volatility Comparison

First Trust Small Cap Value AlphaDEX Fund (FYT) has a higher volatility of 11.91% compared to Vanguard Small-Cap Value ETF (VBR) at 10.99%. This indicates that FYT's price experiences larger fluctuations and is considered to be riskier than VBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
11.91%
10.99%
FYT
VBR