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

Correlation

The correlation between FYT and XSMO 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.


-0.50.00.51.0
Correlation: 0.8

Performance

FYT vs. XSMO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Small Cap Value AlphaDEX Fund (FYT) and Invesco S&P SmallCap Momentum ETF (XSMO). The values are adjusted to include any dividend payments, if applicable.

150.00%200.00%250.00%300.00%350.00%NovemberDecember2025FebruaryMarchApril
164.35%
254.57%
FYT
XSMO

Key characteristics

Sharpe Ratio

FYT:

-0.37

XSMO:

0.17

Sortino Ratio

FYT:

-0.38

XSMO:

0.44

Omega Ratio

FYT:

0.95

XSMO:

1.05

Calmar Ratio

FYT:

-0.31

XSMO:

0.17

Martin Ratio

FYT:

-0.96

XSMO:

0.55

Ulcer Index

FYT:

9.25%

XSMO:

7.88%

Daily Std Dev

FYT:

24.39%

XSMO:

25.00%

Max Drawdown

FYT:

-50.48%

XSMO:

-58.07%

Current Drawdown

FYT:

-24.98%

XSMO:

-19.50%

Returns By Period

In the year-to-date period, FYT achieves a -17.94% return, which is significantly lower than XSMO's -10.46% return. Over the past 10 years, FYT has underperformed XSMO with an annualized return of 4.33%, while XSMO has yielded a comparatively higher 9.43% annualized return.


FYT

YTD

-17.94%

1M

-10.51%

6M

-18.63%

1Y

-10.27%

5Y*

16.42%

10Y*

4.33%

XSMO

YTD

-10.46%

1M

-4.96%

6M

-12.00%

1Y

5.51%

5Y*

15.16%

10Y*

9.43%

*Annualized

Compare stocks, funds, or ETFs

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


FYT vs. XSMO - Expense Ratio Comparison

FYT has a 0.72% expense ratio, which is higher than XSMO's 0.39% expense ratio.


FYT
First Trust Small Cap Value AlphaDEX Fund
Expense ratio chart for FYT: current value is 0.72%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FYT: 0.72%
Expense ratio chart for XSMO: current value is 0.39%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
XSMO: 0.39%

Risk-Adjusted Performance

FYT vs. XSMO — 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 99
Overall Rank
The Sharpe Ratio Rank of FYT is 1010
Sharpe Ratio Rank
The Sortino Ratio Rank of FYT is 99
Sortino Ratio Rank
The Omega Ratio Rank of FYT is 1010
Omega Ratio Rank
The Calmar Ratio Rank of FYT is 99
Calmar Ratio Rank
The Martin Ratio Rank of FYT is 1010
Martin Ratio Rank

XSMO
The Risk-Adjusted Performance Rank of XSMO is 4545
Overall Rank
The Sharpe Ratio Rank of XSMO is 4343
Sharpe Ratio Rank
The Sortino Ratio Rank of XSMO is 4747
Sortino Ratio Rank
The Omega Ratio Rank of XSMO is 4444
Omega Ratio Rank
The Calmar Ratio Rank of XSMO is 4646
Calmar Ratio Rank
The Martin Ratio Rank of XSMO is 4242
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. XSMO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Small Cap Value AlphaDEX Fund (FYT) and Invesco S&P SmallCap Momentum ETF (XSMO). 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.


Sharpe ratio
The chart of Sharpe ratio for FYT, currently valued at -0.37, compared to the broader market-1.000.001.002.003.004.00
FYT: -0.37
XSMO: 0.17
The chart of Sortino ratio for FYT, currently valued at -0.38, compared to the broader market-2.000.002.004.006.008.00
FYT: -0.38
XSMO: 0.44
The chart of Omega ratio for FYT, currently valued at 0.95, compared to the broader market0.501.001.502.002.50
FYT: 0.95
XSMO: 1.05
The chart of Calmar ratio for FYT, currently valued at -0.31, compared to the broader market0.002.004.006.008.0010.0012.00
FYT: -0.31
XSMO: 0.17
The chart of Martin ratio for FYT, currently valued at -0.96, compared to the broader market0.0020.0040.0060.00
FYT: -0.96
XSMO: 0.55

The current FYT Sharpe Ratio is -0.37, which is lower than the XSMO Sharpe Ratio of 0.17. The chart below compares the historical Sharpe Ratios of FYT and XSMO, 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-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.37
0.17
FYT
XSMO

Dividends

FYT vs. XSMO - Dividend Comparison

FYT's dividend yield for the trailing twelve months is around 2.26%, more than XSMO's 0.93% yield.


TTM20242023202220212020201920182017201620152014
FYT
First Trust Small Cap Value AlphaDEX Fund
2.26%2.07%1.50%1.36%1.19%0.96%1.44%1.78%1.16%1.16%0.96%0.85%
XSMO
Invesco S&P SmallCap Momentum ETF
0.93%0.63%0.96%1.19%0.30%0.82%0.69%0.65%0.28%0.30%0.35%1.31%

Drawdowns

FYT vs. XSMO - Drawdown Comparison

The maximum FYT drawdown since its inception was -50.48%, smaller than the maximum XSMO drawdown of -58.07%. Use the drawdown chart below to compare losses from any high point for FYT and XSMO. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-24.98%
-19.50%
FYT
XSMO

Volatility

FYT vs. XSMO - Volatility Comparison

First Trust Small Cap Value AlphaDEX Fund (FYT) and Invesco S&P SmallCap Momentum ETF (XSMO) have volatilities of 14.34% and 14.06%, 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.


4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
14.34%
14.06%
FYT
XSMO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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