FYX vs. VTWO

Last updated Jun 24, 2026

FYX (First Trust Small Cap Core AlphaDEX Fund) and VTWO (Vanguard Russell 2000 ETF) are both Small Cap Blend Equities funds - FYX tracks the Nasdaq AlphaDEX Small Cap Core Index while VTWO tracks the Russell 2000 Index. Both are passively managed. Over the past 10 years, FYX returned 13.06%/yr vs 11.73%/yr for VTWO. With a 0.97 correlation, they move nearly in lockstep. FYX charges 0.63%/yr vs 0.06%/yr for VTWO.

Performance

FYX vs. VTWO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Small Cap Core AlphaDEX Fund (FYX) and Vanguard Russell 2000 ETF (VTWO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FYX achieves a 22.94% return, which is significantly higher than VTWO's 20.53% return. Over the past 10 years, FYX has outperformed VTWO with an annualized return of 13.06%, while VTWO has yielded a comparatively lower 11.73% annualized return.

FYX

• 1D: -0.01%
• 1M: 4.51%
• YTD: 22.94%
• 6M: 20.86%
• 1Y: 47.16%
• 3Y*: 22.06%
• 5Y*: 9.19%
• 10Y*: 13.06%

VTWO

• 1D: -0.94%
• 1M: 3.85%
• YTD: 20.53%
• 6M: 17.73%
• 1Y: 41.24%
• 3Y*: 19.49%
• 5Y*: 6.45%
• 10Y*: 11.73%

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

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	22.94%	12.68%	12.22%	18.30%	-18.41%	27.43%	19.48%	21.32%	-10.64%	14.34%
VTWO Vanguard Russell 2000 ETF	20.53%	12.90%	11.55%	17.08%	-20.49%	14.79%	20.22%	25.81%	-11.15%	14.69%

Correlation

The correlation between FYX and VTWO 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	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (10Y) Calculated over the trailing 10-year period	0.97
Correlation (All Time) Calculated using the full available price history since Sep 22, 2010	0.97

The correlation between FYX and VTWO has been stable across timeframes, ranging from 0.94 to 0.97 - a consistent structural relationship.

FYX vs. VTWO - Sectors Allocation Comparison

Sectors	FYX	VTWO
Financial Services	17.3%	15.5%
Industrials	16.6%	17.9%
Healthcare	14.0%	16.3%
Technology	11.7%	19.1%
Consumer Cyclical	11.7%	7.9%
Real Estate	8.6%	5.9%
Energy	5.7%	5.3%
Consumer Defensive	5.3%	2.2%
Basic Materials	4.5%	4.7%
Communication Services	3.1%	2.5%
Utilities	1.6%	2.8%

Return for Risk

FYX vs. VTWO — Risk / Return Rank

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

FYX

FYX Risk / Return Rank: 87
FYX Sharpe Ratio Rank: 85
FYX Sortino Ratio Rank: 87
FYX Omega Ratio Rank: 78
FYX Calmar Ratio Rank: 93
FYX Martin Ratio Rank: 91

VTWO

VTWO Risk / Return Rank: 68
VTWO Sharpe Ratio Rank: 67
VTWO Sortino Ratio Rank: 65
VTWO Omega Ratio Rank: 58
VTWO Calmar Ratio Rank: 76
VTWO Martin Ratio Rank: 73

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. 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.

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	VTWO	Difference
Sharpe ratio: Return per unit of total volatility	2.58	2.11	+0.47
Sortino ratio: Return per unit of downside risk	3.66	2.89	+0.77
Omega ratio: Gain probability vs. loss probability	1.43	1.34	+0.09
Calmar ratio: Return relative to maximum drawdown	6.27	3.77	+2.50
Martin ratio: Return relative to average drawdown	20.40	13.36	+7.04

FYX vs. VTWO - Sharpe Ratio Comparison

The current FYX Sharpe Ratio is 2.58, which is comparable to the VTWO Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of FYX and VTWO, 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. 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.

Drawdown Indicators

	FYX	VTWO	Difference
Max Drawdown Largest peak-to-trough decline	-61.80%	-41.19%	-20.61%
Max Drawdown (1Y) Largest decline over 1 year	-7.56%	-10.99%	+3.43%
Max Drawdown (3Y) Largest decline over 3 years	-27.91%	-27.57%	-0.34%
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 Drawdown Current decline from peak	-0.12%	-0.94%	+0.82%
Average Drawdown Average peak-to-trough decline	-10.86%	-8.36%	-2.50%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.32%	3.10%	-0.78%

Volatility

FYX vs. VTWO - Volatility Comparison

The current volatility for First Trust Small Cap Core AlphaDEX Fund (FYX) is 4.89%, while Vanguard Russell 2000 ETF (VTWO) has a volatility of 6.57%. 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.

Volatility by Period

	FYX	VTWO	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.89%	6.57%	-1.68%
Volatility (6M) Calculated over the trailing 6-month period	12.29%	14.28%	-1.99%
Volatility (1Y) Calculated over the trailing 1-year period	18.42%	19.68%	-1.26%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.96%	22.56%	-0.60%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.20%	23.11%	+1.09%

FYX vs. VTWO - Expense Ratio Comparison

FYX has a 0.63% expense ratio, which is higher than VTWO's 0.06% expense ratio.

Dividends

FYX vs. VTWO - Dividend Comparison

FYX's dividend yield for the trailing twelve months is around 0.67%, less than VTWO's 1.10% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FYX First Trust Small Cap Core AlphaDEX Fund	0.67%	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	1.10%	1.25%	1.21%	1.45%	1.48%	1.13%	0.92%	1.36%	1.41%	1.18%	1.27%	1.23%

Frequently Asked Questions

Can I hold both FYX and VTWO in my portfolio?

With a correlation of 0.94, FYX and VTWO 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 VTWO?

VTWO has higher volatility (6.57%) compared to FYX (4.89%). In terms of maximum drawdown, FYX dropped -61.80% vs VTWO's -41.19%.

Which ETF is better, FYX or VTWO?

On 10-year performance, FYX leads with 13.06% vs 11.73% for VTWO. On fees, VTWO is cheaper at 0.06% per year. On volatility, FYX has been the lower-risk option at 4.89%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FYX or VTWO?

Over the 10-year period, FYX has performed better with a 13.06% return vs 11.73%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FYX or VTWO?

VTWO is cheaper with a 0.06% expense ratio, compared with 0.63% for FYX.

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

VTWO has the higher dividend yield at 1.10%, compared with 0.67% for FYX.

What is the main difference between FYX and VTWO?

FYX tracks Nasdaq AlphaDEX Small Cap Core Index, while VTWO tracks Russell 2000 Index. They also come from different issuers: First Trust and Vanguard. Their fees differ too: 0.63% for FYX and 0.06% for VTWO.

Which has better risk-adjusted returns?

FYX currently has the higher Sharpe Ratio (2.58 vs 2.11), 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.