FYX vs. SMLF

Last updated Jun 3, 2026

FYX (First Trust Small Cap Core AlphaDEX Fund) and SMLF (iShares MSCI USA Small-Cap Multifactor ETF) are both Small Cap Blend Equities funds - FYX tracks the Nasdaq AlphaDEX Small Cap Core Index while SMLF tracks the MSCI USA Small Cap Diversified Multi-Factor. Both are passively managed. Over the past 10 years, FYX returned 12.42%/yr vs 12.44%/yr for SMLF. Their correlation of 0.90 suggests significant overlap in exposure. FYX charges 0.63%/yr vs 0.30%/yr for SMLF.

Performance

FYX vs. SMLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Small Cap Core AlphaDEX Fund (FYX) and iShares MSCI USA Small-Cap Multifactor ETF (SMLF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FYX achieves a 19.73% return, which is significantly higher than SMLF's 15.29% return. Both investments have delivered pretty close results over the past 10 years, with FYX having a 12.42% annualized return and SMLF not far ahead at 12.44%.

FYX

• 1D: 0.65%
• 1M: 1.45%
• YTD: 19.73%
• 6M: 21.82%
• 1Y: 47.95%
• 3Y*: 20.55%
• 5Y*: 8.58%
• 10Y*: 12.42%

SMLF

• 1D: 0.48%
• 1M: 4.34%
• YTD: 15.29%
• 6M: 16.02%
• 1Y: 33.93%
• 3Y*: 20.13%
• 5Y*: 11.16%
• 10Y*: 12.44%

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

FYX vs. SMLF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FYX First Trust Small Cap Core AlphaDEX Fund	19.73%	12.68%	12.22%	18.30%	-18.41%	27.43%	19.48%	21.32%	-10.64%	14.34%
SMLF iShares MSCI USA Small-Cap Multifactor ETF	15.29%	12.30%	16.33%	19.99%	-12.19%	26.53%	8.38%	21.56%	-8.42%	12.70%

Correlation

The correlation between FYX and SMLF is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (10Y) Calculated over the trailing 10-year period	0.95
Correlation (All Time) Calculated using the full available price history since May 1, 2015	0.90

The correlation between FYX and SMLF has been stable across timeframes, ranging from 0.90 to 0.96 - a consistent structural relationship.

FYX vs. SMLF - Sectors Allocation Comparison

Sectors	FYX	SMLF
Financial Services	17.5%	15.0%
Industrials	15.9%	19.8%
Healthcare	14.3%	12.7%
Consumer Cyclical	11.7%	11.8%
Technology	10.9%	16.6%
Real Estate	8.4%	5.7%
Energy	6.4%	4.8%
Consumer Defensive	5.7%	3.7%
Basic Materials	4.5%	4.6%
Communication Services	3.1%	3.2%
Utilities	1.6%	2.2%

Return for Risk

FYX vs. SMLF — Risk / Return Rank

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

FYX

FYX Risk / Return Rank: 83
FYX Sharpe Ratio Rank: 80
FYX Sortino Ratio Rank: 82
FYX Omega Ratio Rank: 73
FYX Calmar Ratio Rank: 92
FYX Martin Ratio Rank: 89

SMLF

SMLF Risk / Return Rank: 63
SMLF Sharpe Ratio Rank: 58
SMLF Sortino Ratio Rank: 58
SMLF Omega Ratio Rank: 54
SMLF Calmar Ratio Rank: 76
SMLF Martin Ratio Rank: 70

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. SMLF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Small Cap Core AlphaDEX Fund (FYX) and iShares MSCI USA Small-Cap Multifactor ETF (SMLF). 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.

	FYX	SMLF	Difference
Sharpe ratio Return per unit of total volatility	2.64	1.98	+0.66
Sortino ratio Return per unit of downside risk	3.73	2.76	+0.96
Omega ratio Gain probability vs. loss probability	1.44	1.34	+0.10
Calmar ratio Return relative to maximum drawdown	6.28	3.89	+2.40
Martin ratio Return relative to average drawdown	20.31	13.38	+6.93
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FYX vs. SMLF - Sharpe Ratio Comparison

The current FYX Sharpe Ratio is 2.64, which is higher than the SMLF Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of FYX and SMLF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FYX	SMLF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.64	1.98	+0.66
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.39	0.53	-0.14
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.51	0.57	-0.06
Sharpe Ratio (All Time) Calculated using the full available price history	0.36	0.54	-0.18

Drawdowns

FYX vs. SMLF - Drawdown Comparison

The maximum FYX drawdown since its inception was -61.80%, which is greater than SMLF's maximum drawdown of -41.89%. Use the drawdown chart below to compare losses from any high point for FYX and SMLF.

Drawdown Indicators

	FYX	SMLF	Difference
Max Drawdown Largest peak-to-trough decline	-61.80%	-41.89%	-19.91%
Max Drawdown (1Y) Largest decline over 1 year	-7.56%	-8.71%	+1.15%
Max Drawdown (3Y) Largest decline over 3 years	-27.91%	-26.28%	-1.63%
Max Drawdown (5Y) Largest decline over 5 years	-27.91%	-26.28%	-1.63%
Max Drawdown (10Y) Largest decline over 10 years	-48.82%	-41.89%	-6.93%
Current Drawdown Current decline from peak	-0.15%	0.00%	-0.15%
Average Drawdown Average peak-to-trough decline	-10.89%	-6.60%	-4.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.34%	2.53%	-0.19%

Volatility

FYX vs. SMLF - Volatility Comparison

First Trust Small Cap Core AlphaDEX Fund (FYX) and iShares MSCI USA Small-Cap Multifactor ETF (SMLF) have volatilities of 4.60% and 4.76%, 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

	FYX	SMLF	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.60%	4.76%	-0.16%
Volatility (6M) Calculated over the trailing 6-month period	11.96%	12.30%	-0.34%
Volatility (1Y) Calculated over the trailing 1-year period	18.22%	17.19%	+1.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.95%	21.09%	+0.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.21%	21.79%	+2.42%

FYX vs. SMLF - Expense Ratio Comparison

FYX has a 0.63% expense ratio, which is higher than SMLF's 0.30% expense ratio.

Dividends

FYX vs. SMLF - Dividend Comparison

FYX's dividend yield for the trailing twelve months is around 0.68%, less than SMLF's 1.03% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FYX First Trust Small Cap Core AlphaDEX Fund	0.68%	0.64%	1.62%	1.22%	0.95%	0.99%	0.65%	1.12%	1.08%	0.60%	0.94%	0.88%
SMLF iShares MSCI USA Small-Cap Multifactor ETF	1.03%	1.14%	1.33%	1.13%	1.23%	1.07%	1.33%	1.39%	1.17%	0.93%	0.78%	0.79%

Frequently Asked Questions

Can I hold both FYX and SMLF in my portfolio?

With a correlation of 0.94, FYX and SMLF 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, FYX or SMLF?

SMLF has higher volatility (4.76%) compared to FYX (4.60%). In terms of maximum drawdown, FYX dropped -61.80% vs SMLF's -41.89%.

Which ETF is better, FYX or SMLF?

On 10-year performance, SMLF leads with 12.44% vs 12.42% for FYX. On fees, SMLF is cheaper at 0.30% per year. On volatility, FYX has been the lower-risk option at 4.60%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FYX or SMLF?

Over the 10-year period, SMLF has performed better with a 12.44% return vs 12.42%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FYX or SMLF?

SMLF is cheaper with a 0.30% expense ratio, compared with 0.63% for FYX.

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

SMLF has the higher dividend yield at 1.03%, compared with 0.68% for FYX.

What is the main difference between FYX and SMLF?

FYX tracks Nasdaq AlphaDEX Small Cap Core Index, while SMLF tracks MSCI USA Small Cap Diversified Multi-Factor. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.63% for FYX and 0.30% for SMLF.

Which has better risk-adjusted returns?

FYX currently has the higher Sharpe Ratio (2.64 vs 1.98), 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.