FYX vs. HSMV

Last updated Jun 26, 2026

FYX (First Trust Small Cap Core AlphaDEX Fund) and HSMV (First Trust Horizon Managed Volatility Small/Mid ETF) are both Small Cap Blend Equities funds from First Trust. FYX is passively managed, while HSMV is actively managed. Over the past 5 years, FYX returned 9.53%/yr vs 4.72%/yr for HSMV. Their correlation of 0.87 suggests significant overlap in exposure. FYX charges 0.63%/yr vs 0.80%/yr for HSMV.

Performance

FYX vs. HSMV - Performance Comparison

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

Returns By Period

In the year-to-date period, FYX achieves a 25.10% return, which is significantly higher than HSMV's 7.77% return.

FYX

• 1D: 0.79%
• 1M: 4.88%
• YTD: 25.10%
• 6M: 22.59%
• 1Y: 49.42%
• 3Y*: 22.57%
• 5Y*: 9.53%
• 10Y*: 13.63%

HSMV

• 1D: 0.33%
• 1M: 1.89%
• YTD: 7.77%
• 6M: 6.59%
• 1Y: 9.46%
• 3Y*: 10.04%
• 5Y*: 4.72%
• 10Y*: —

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

FYX vs. HSMV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
FYX First Trust Small Cap Core AlphaDEX Fund	25.10%	12.68%	12.22%	18.30%	-18.41%	27.43%	91.08%
HSMV First Trust Horizon Managed Volatility Small/Mid ETF	7.77%	1.57%	13.17%	5.01%	-9.44%	23.72%	34.70%

Correlation

The correlation between FYX and HSMV is 0.66, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.66
Correlation (3Y) Calculated over the trailing 3-year period	0.81
Correlation (5Y) Calculated over the trailing 5-year period	0.86
Correlation (All Time) Calculated using the full available price history since Apr 7, 2020	0.87

Over the past year, the correlation between FYX and HSMV has dropped to 0.66 - well below their long-term average of 0.87, suggesting their price drivers have been diverging.

FYX vs. HSMV - Sectors Allocation Comparison

Sectors	FYX	HSMV
Financial Services	17.3%	16.7%
Industrials	16.6%	14.6%
Healthcare	14.0%	4.7%
Technology	11.7%	1.9%
Consumer Cyclical	11.7%	7.9%
Real Estate	8.6%	24.3%
Energy	5.7%	2.8%
Consumer Defensive	5.3%	7.2%
Basic Materials	4.5%	5.8%
Communication Services	3.1%	2.4%
Utilities	1.6%	11.7%

Return for Risk

FYX vs. HSMV — Risk / Return Rank

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

FYX

FYX Risk / Return Rank: 91
FYX Sharpe Ratio Rank: 91
FYX Sortino Ratio Rank: 92
FYX Omega Ratio Rank: 85
FYX Calmar Ratio Rank: 95
FYX Martin Ratio Rank: 93

HSMV

HSMV Risk / Return Rank: 26
HSMV Sharpe Ratio Rank: 26
HSMV Sortino Ratio Rank: 27
HSMV Omega Ratio Rank: 23
HSMV Calmar Ratio Rank: 26
HSMV Martin Ratio Rank: 28

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FYX vs. HSMV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Small Cap Core AlphaDEX Fund (FYX) and First Trust Horizon Managed Volatility Small/Mid ETF (HSMV). 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.

	FYX	HSMV	Difference
Sharpe ratio: Return per unit of total volatility	2.71	0.90	+1.81
Sortino ratio: Return per unit of downside risk	3.82	1.41	+2.41
Omega ratio: Gain probability vs. loss probability	1.45	1.16	+0.29
Calmar ratio: Return relative to maximum drawdown	6.57	1.21	+5.36
Martin ratio: Return relative to average drawdown	21.39	3.60	+17.79

FYX vs. HSMV - Sharpe Ratio Comparison

The current FYX Sharpe Ratio is 2.71, which is higher than the HSMV Sharpe Ratio of 0.90. The chart below compares the historical Sharpe Ratios of FYX and HSMV, 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

FYX vs. HSMV - Drawdown Comparison

The maximum FYX drawdown since its inception was -61.80%, which is greater than HSMV's maximum drawdown of -19.16%. Use the drawdown chart below to compare losses from any high point for FYX and HSMV.

Drawdown Indicators

	FYX	HSMV	Difference
Max Drawdown Largest peak-to-trough decline	-61.80%	-19.16%	-42.64%
Max Drawdown (1Y) Largest decline over 1 year	-7.56%	-7.83%	+0.27%
Max Drawdown (3Y) Largest decline over 3 years	-27.91%	-15.45%	-12.46%
Max Drawdown (5Y) Largest decline over 5 years	-27.91%	-19.16%	-8.75%
Max Drawdown (10Y) Largest decline over 10 years	-48.82%	—	—
Current Drawdown Current decline from peak	0.00%	-0.04%	+0.04%
Average Drawdown Average peak-to-trough decline	-10.85%	-5.58%	-5.27%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.32%	2.63%	-0.31%

Volatility

FYX vs. HSMV - Volatility Comparison

First Trust Small Cap Core AlphaDEX Fund (FYX) has a higher volatility of 4.82% compared to First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) at 3.67%. This indicates that FYX's price experiences larger fluctuations and is considered to be riskier than HSMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FYX	HSMV	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.82%	3.67%	+1.15%
Volatility (6M) Calculated over the trailing 6-month period	12.31%	7.67%	+4.64%
Volatility (1Y) Calculated over the trailing 1-year period	18.36%	10.58%	+7.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.96%	15.00%	+6.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.19%	16.02%	+8.17%

FYX vs. HSMV - Expense Ratio Comparison

FYX has a 0.63% expense ratio, which is lower than HSMV's 0.80% expense ratio.

Dividends

FYX vs. HSMV - Dividend Comparison

FYX's dividend yield for the trailing twelve months is around 0.97%, less than HSMV's 2.32% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FYX First Trust Small Cap Core AlphaDEX Fund	0.97%	0.64%	1.62%	1.22%	0.95%	0.99%	0.65%	1.12%	1.08%	0.60%	0.94%	0.88%
HSMV First Trust Horizon Managed Volatility Small/Mid ETF	2.32%	2.01%	1.43%	1.43%	1.26%	0.76%	0.80%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FYX and HSMV in my portfolio?

FYX and HSMV have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FYX or HSMV?

FYX has higher volatility (4.82%) compared to HSMV (3.67%). In terms of maximum drawdown, FYX dropped -61.80% vs HSMV's -19.16%.

Which ETF is better, FYX or HSMV?

On 5-year performance, FYX leads with 9.53% vs 4.72% for HSMV. On fees, FYX is cheaper at 0.63% per year. On volatility, HSMV has been the lower-risk option at 3.67%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FYX or HSMV?

Over the 5-year period, FYX has performed better with a 9.53% return vs 4.72%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FYX or HSMV?

FYX is cheaper with a 0.63% expense ratio, compared with 0.80% for HSMV.

Which ETF pays a higher dividend yield, FYX or HSMV?

HSMV has the higher dividend yield at 2.32%, compared with 0.97% for FYX.

What is the main difference between FYX and HSMV?

Their fees differ too: 0.63% for FYX and 0.80% for HSMV.

Which has better risk-adjusted returns?

FYX currently has the higher Sharpe Ratio (2.71 vs 0.90), 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.