FYX vs. VTWO
Compare and contrast key facts about First Trust Small Cap Core AlphaDEX Fund (FYX) and Vanguard Russell 2000 ETF (VTWO).
FYX and VTWO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FYX is a passively managed fund by First Trust that tracks the performance of the Nasdaq AlphaDEX Small Cap Core Index. It was launched on May 8, 2007. VTWO is a passively managed fund by Vanguard that tracks the performance of the Russell 2000 Index. It was launched on Sep 20, 2010. Both FYX and VTWO are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
FYX vs. VTWO - Performance Comparison
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FYX vs. VTWO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FYX First Trust Small Cap Core AlphaDEX Fund | 5.67% | 12.68% | 12.22% | 18.30% | -18.41% | 27.43% | 19.48% | 21.32% | -10.64% | 14.34% |
VTWO Vanguard Russell 2000 ETF | 0.92% | 12.90% | 11.55% | 17.08% | -20.49% | 14.79% | 20.22% | 25.81% | -11.15% | 14.69% |
Returns By Period
In the year-to-date period, FYX achieves a 5.67% return, which is significantly higher than VTWO's 0.92% return. Over the past 10 years, FYX has outperformed VTWO with an annualized return of 11.34%, while VTWO has yielded a comparatively lower 9.90% annualized return.
FYX
- 1D
- 2.70%
- 1M
- -2.67%
- YTD
- 5.67%
- 6M
- 10.05%
- 1Y
- 33.57%
- 3Y*
- 15.33%
- 5Y*
- 6.59%
- 10Y*
- 11.34%
VTWO
- 1D
- 3.51%
- 1M
- -5.00%
- YTD
- 0.92%
- 6M
- 3.08%
- 1Y
- 25.83%
- 3Y*
- 13.14%
- 5Y*
- 3.50%
- 10Y*
- 9.90%
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FYX vs. VTWO - Expense Ratio Comparison
FYX has a 0.63% expense ratio, which is higher than VTWO's 0.10% expense ratio.
Return for Risk
FYX vs. VTWO — Risk / Return Rank
FYX
VTWO
FYX vs. VTWO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Small Cap Core AlphaDEX Fund (FYX) and Vanguard Russell 2000 ETF (VTWO). 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 | VTWO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.48 | 1.11 | +0.37 |
Sortino ratioReturn per unit of downside risk | 2.14 | 1.66 | +0.48 |
Omega ratioGain probability vs. loss probability | 1.28 | 1.21 | +0.07 |
Calmar ratioReturn relative to maximum drawdown | 2.35 | 1.82 | +0.54 |
Martin ratioReturn relative to average drawdown | 9.65 | 6.81 | +2.85 |
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
| FYX | VTWO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.48 | 1.11 | +0.37 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.30 | 0.16 | +0.14 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.47 | 0.43 | +0.04 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.34 | 0.48 | -0.14 |
Correlation
The correlation between FYX and VTWO is 0.97, 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
FYX vs. VTWO - Dividend Comparison
FYX's dividend yield for the trailing twelve months is around 0.78%, less than VTWO's 1.26% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FYX First Trust Small Cap Core AlphaDEX Fund | 0.78% | 0.64% | 1.62% | 1.22% | 0.95% | 0.99% | 0.65% | 1.12% | 1.08% | 0.60% | 0.94% | 0.88% |
VTWO Vanguard Russell 2000 ETF | 1.26% | 1.25% | 1.21% | 1.45% | 1.48% | 1.13% | 0.92% | 1.36% | 1.41% | 1.18% | 1.27% | 1.23% |
Drawdowns
FYX vs. VTWO - Drawdown Comparison
The maximum FYX drawdown since its inception was -61.80%, which is greater than VTWO's maximum drawdown of -41.19%. Use the drawdown chart below to compare losses from any high point for FYX and VTWO.
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Drawdown Indicators
| FYX | VTWO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.80% | -41.19% | -20.61% |
Max Drawdown (1Y)Largest decline over 1 year | -13.84% | -13.90% | +0.06% |
Max Drawdown (5Y)Largest decline over 5 years | -27.91% | -31.88% | +3.97% |
Max Drawdown (10Y)Largest decline over 10 years | -48.82% | -41.19% | -7.63% |
Current DrawdownCurrent decline from peak | -4.24% | -7.86% | +3.62% |
Average DrawdownAverage peak-to-trough decline | -10.98% | -8.47% | -2.51% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.38% | 3.71% | -0.33% |
Volatility
FYX vs. VTWO - Volatility Comparison
The current volatility for First Trust Small Cap Core AlphaDEX Fund (FYX) is 6.35%, while Vanguard Russell 2000 ETF (VTWO) has a volatility of 7.49%. This indicates that FYX experiences smaller price fluctuations and is considered to be less risky than VTWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FYX | VTWO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.35% | 7.49% | -1.14% |
Volatility (6M)Calculated over the trailing 6-month period | 13.40% | 14.43% | -1.03% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.79% | 23.29% | -0.50% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.04% | 22.50% | -0.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.21% | 23.04% | +1.17% |