SMLV vs. FYC
Compare and contrast key facts about SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV) and First Trust Small Cap Growth AlphaDEX Fund (FYC).
SMLV and FYC are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SMLV is a passively managed fund by State Street that tracks the performance of the SSGA US Small Cap Low Volatility Index. It was launched on Feb 20, 2013. FYC is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX Small Cap Growth Index. It was launched on Apr 19, 2011. Both SMLV and FYC are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SMLV or FYC.
Performance
SMLV vs. FYC - Performance Comparison
Returns By Period
In the year-to-date period, SMLV achieves a 24.23% return, which is significantly lower than FYC's 30.93% return. Over the past 10 years, SMLV has underperformed FYC with an annualized return of 9.60%, while FYC has yielded a comparatively higher 11.15% annualized return.
SMLV
24.23%
9.44%
27.14%
38.99%
9.92%
9.60%
FYC
30.93%
9.43%
25.05%
44.56%
13.20%
11.15%
Key characteristics
| SMLV | FYC | |
|---|---|---|
| Sharpe Ratio | 1.88 | 2.22 |
| Sortino Ratio | 2.91 | 3.06 |
| Omega Ratio | 1.36 | 1.37 |
| Calmar Ratio | 3.18 | 1.62 |
| Martin Ratio | 9.71 | 15.12 |
| Ulcer Index | 4.07% | 3.04% |
| Daily Std Dev | 21.03% | 20.69% |
| Max Drawdown | -42.45% | -47.85% |
| Current Drawdown | -1.91% | -1.69% |
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SMLV vs. FYC - Expense Ratio Comparison
SMLV has a 0.12% expense ratio, which is lower than FYC's 0.71% expense ratio.
Correlation
The correlation between SMLV and FYC is 0.80, 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.
Risk-Adjusted Performance
SMLV vs. FYC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV) and First Trust Small Cap Growth AlphaDEX Fund (FYC). 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.
Dividends
SMLV vs. FYC - Dividend Comparison
SMLV's dividend yield for the trailing twelve months is around 2.35%, more than FYC's 0.70% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SMLV SPDR SSGA US Small Cap Low Volatility Index ETF | 2.35% | 2.68% | 2.40% | 2.12% | 2.47% | 2.62% | 3.15% | 7.92% | 3.04% | 2.63% | 2.76% | 3.68% |
FYC First Trust Small Cap Growth AlphaDEX Fund | 0.70% | 0.58% | 0.00% | 0.63% | 0.12% | 0.39% | 0.09% | 0.11% | 0.31% | 0.22% | 0.03% | 0.02% |
Drawdowns
SMLV vs. FYC - Drawdown Comparison
The maximum SMLV drawdown since its inception was -42.45%, smaller than the maximum FYC drawdown of -47.85%. Use the drawdown chart below to compare losses from any high point for SMLV and FYC. For additional features, visit the drawdowns tool.
Volatility
SMLV vs. FYC - Volatility Comparison
SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV) has a higher volatility of 10.54% compared to First Trust Small Cap Growth AlphaDEX Fund (FYC) at 7.72%. This indicates that SMLV's price experiences larger fluctuations and is considered to be riskier than FYC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.