XJR vs. FYX

Last updated Jun 4, 2026

XJR (iShares ESG Screened S&P Small-Cap ETF) and FYX (First Trust Small Cap Core AlphaDEX Fund) are both Small Cap Blend Equities funds - XJR tracks the S&P SmallCap 600 Sustainability Screened Index while FYX tracks the Nasdaq AlphaDEX Small Cap Core Index. Both are passively managed. Over the past 5 years, XJR returned 5.38%/yr vs 8.23%/yr for FYX. With a 0.97 correlation, they move nearly in lockstep. XJR charges 0.12%/yr vs 0.63%/yr for FYX.

Performance

XJR vs. FYX - Performance Comparison

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

Returns By Period

In the year-to-date period, XJR achieves a 14.91% return, which is significantly lower than FYX's 18.13% return.

XJR

• 1D: -0.96%
• 1M: 2.16%
• YTD: 14.91%
• 6M: 13.91%
• 1Y: 28.36%
• 3Y*: 14.13%
• 5Y*: 5.38%
• 10Y*: —

FYX

• 1D: -1.34%
• 1M: 1.06%
• YTD: 18.13%
• 6M: 18.02%
• 1Y: 43.61%
• 3Y*: 20.01%
• 5Y*: 8.23%
• 10Y*: 12.27%

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

XJR vs. FYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
XJR iShares ESG Screened S&P Small-Cap ETF	14.91%	4.73%	9.59%	16.39%	-17.30%	24.96%	35.61%
FYX First Trust Small Cap Core AlphaDEX Fund	18.13%	12.68%	12.22%	18.30%	-18.41%	27.43%	39.06%

Correlation

The correlation between XJR and FYX is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.96
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (All Time) Calculated using the full available price history since Sep 25, 2020	0.97

The correlation between XJR and FYX has been stable across timeframes, ranging from 0.96 to 0.97 - a consistent structural relationship.

XJR vs. FYX - Sectors Allocation Comparison

Sectors	XJR	FYX
Financial Services	18.2%	17.5%
Technology	16.8%	10.9%
Industrials	15.5%	15.9%
Consumer Cyclical	13.5%	11.7%
Healthcare	10.7%	14.3%
Real Estate	7.6%	8.4%
Energy	4.7%	6.4%
Basic Materials	4.5%	4.5%
Consumer Defensive	2.7%	5.7%
Communication Services	2.5%	3.1%
Utilities	2.0%	1.6%

Return for Risk

XJR vs. FYX — Risk / Return Rank

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

XJR

XJR Risk / Return Rank: 51
XJR Sharpe Ratio Rank: 46
XJR Sortino Ratio Rank: 48
XJR Omega Ratio Rank: 43
XJR Calmar Ratio Rank: 60
XJR Martin Ratio Rank: 56

FYX

FYX Risk / Return Rank: 79
FYX Sharpe Ratio Rank: 73
FYX Sortino Ratio Rank: 76
FYX Omega Ratio Rank: 66
FYX Calmar Ratio Rank: 91
FYX Martin Ratio Rank: 87

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.

XJR vs. FYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Screened S&P Small-Cap ETF (XJR) and First Trust Small Cap Core AlphaDEX Fund (FYX). 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.

	XJR	FYX	Difference
Sharpe ratio Return per unit of total volatility	1.60	2.41	-0.80
Sortino ratio Return per unit of downside risk	2.36	3.43	-1.07
Omega ratio Gain probability vs. loss probability	1.28	1.40	-0.12
Calmar ratio Return relative to maximum drawdown	3.02	5.80	-2.78
Martin ratio Return relative to average drawdown	9.70	18.69	-8.98
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

XJR vs. FYX - Sharpe Ratio Comparison

The current XJR Sharpe Ratio is 1.60, which is lower than the FYX Sharpe Ratio of 2.41. The chart below compares the historical Sharpe Ratios of XJR and FYX, 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

	XJR	FYX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.60	2.41	-0.80
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.25	0.38	-0.12
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.51	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.67	0.36	+0.31

Drawdowns

XJR vs. FYX - Drawdown Comparison

The maximum XJR drawdown since its inception was -27.14%, smaller than the maximum FYX drawdown of -61.80%. Use the drawdown chart below to compare losses from any high point for XJR and FYX.

Drawdown Indicators

	XJR	FYX	Difference
Max Drawdown Largest peak-to-trough decline	-27.14%	-61.80%	+34.66%
Max Drawdown (1Y) Largest decline over 1 year	-9.43%	-7.56%	-1.87%
Max Drawdown (3Y) Largest decline over 3 years	-27.14%	-27.91%	+0.77%
Max Drawdown (5Y) Largest decline over 5 years	-27.14%	-27.91%	+0.77%
Max Drawdown (10Y) Largest decline over 10 years	—	-48.82%	—
Current Drawdown Current decline from peak	-0.96%	-1.48%	+0.52%
Average Drawdown Average peak-to-trough decline	-9.48%	-10.89%	+1.41%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.93%	2.34%	+0.59%

Volatility

XJR vs. FYX - Volatility Comparison

iShares ESG Screened S&P Small-Cap ETF (XJR) and First Trust Small Cap Core AlphaDEX Fund (FYX) have volatilities of 4.77% and 4.71%, 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

	XJR	FYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.77%	4.71%	+0.06%
Volatility (6M) Calculated over the trailing 6-month period	12.22%	12.03%	+0.19%
Volatility (1Y) Calculated over the trailing 1-year period	17.85%	18.28%	-0.43%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.43%	21.96%	-0.53%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.73%	24.21%	-2.48%

XJR vs. FYX - Expense Ratio Comparison

XJR has a 0.12% expense ratio, which is lower than FYX's 0.63% expense ratio.

Dividends

XJR vs. FYX - Dividend Comparison

XJR's dividend yield for the trailing twelve months is around 0.99%, more than FYX's 0.69% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FYX First Trust Small Cap Core AlphaDEX Fund	0.69%	0.64%	1.62%	1.22%	0.95%	0.99%	0.65%	1.12%	1.08%	0.60%	0.94%	0.88%
XJR iShares ESG Screened S&P Small-Cap ETF	0.99%	1.14%	1.96%	0.92%	1.29%	2.00%	0.58%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both XJR and FYX in my portfolio?

With a correlation of 0.96, XJR and FYX 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, XJR or FYX?

XJR has higher volatility (4.77%) compared to FYX (4.71%). In terms of maximum drawdown, XJR dropped -27.14% vs FYX's -61.80%.

Which ETF is better, XJR or FYX?

On 5-year performance, FYX leads with 8.23% vs 5.38% for XJR. On fees, XJR is cheaper at 0.12% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, XJR or FYX?

Over the 5-year period, FYX has performed better with a 8.23% return vs 5.38%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, XJR or FYX?

XJR is cheaper with a 0.12% expense ratio, compared with 0.63% for FYX.

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

XJR has the higher dividend yield at 0.99%, compared with 0.69% for FYX.

What is the main difference between XJR and FYX?

XJR tracks S&P SmallCap 600 Sustainability Screened Index, while FYX tracks Nasdaq AlphaDEX Small Cap Core Index. They also come from different issuers: iShares and First Trust. Their fees differ too: 0.12% for XJR and 0.63% for FYX.

Which has better risk-adjusted returns?

FYX currently has the higher Sharpe Ratio (2.41 vs 1.60), 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.