First Trust Emerging Markets Small Cap AlphaDEX® Fund

10-Year Study

FEMS.US · · US · ETF

Executive Summary: First Trust Emerging Markets Small Cap AlphaDEX® Fund has compounded at 10.0% annually over the last 10 years, with a maximum drawdown of 41.3% and an annualized volatility of 15.7%.

1Y CAGR
+31.2%
3Y CAGR
+15.9%
5Y CAGR
+5.5%
10Y CAGR
+10.0%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
41.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.37
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.51
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
19.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2017 · +49.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -22.6%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
90%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20267.25.9-4.75.4————————14.0%
2025-0.9-0.90.50.04.95.61.46.42.1-4.31.4-0.316.5%
2024-1.22.9-0.50.83.81.5-0.2-2.54.8-4.8-0.3-2.21.9%
20232.9-4.5-2.5-2.1-3.04.88.6-0.6-0.3-7.44.74.23.6%
20220.4-2.23.3-5.61.3-8.5-1.63.4-7.74.415.51.51.9%
2021-0.35.81.74.81.51.6-5.21.9-4.6-2.7-3.93.73.8%
2020-7.0-6.5-26.710.78.39.96.61.8-3.8-3.316.59.37.9%
201910.5-0.70.6-0.1-6.66.92.1-4.21.44.31.611.328.9%
20188.1-4.91.2-6.1-2.0-6.43.5-5.7-2.1-10.15.4-4.7-22.6%
20178.86.74.00.2-1.23.26.67.8-0.62.1-3.77.749.0%
2016———1.0-3.25.38.50.62.2-0.9-7.00.15.8%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 15.7%. The dominant macroeconomic risk driver is VWO.US, accounting for 45.2% of variance. Idiosyncratic stock-specific factors contribute 17.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110096.1327123345
2016-05-019773.509864461772
2016-06-0110291.485687372442
2016-07-0111168.19299806374
2016-08-0111230.5196504265
2016-09-0111472.447537809407
2016-10-0111370.977026531998
2016-11-0110576.743942644825
2016-12-0110584.279658799518
2017-01-0111511.382071275313
2017-02-0112281.490397195037
2017-03-0112775.550787587
2017-04-0112807.158930346955
2017-05-0112649.170547909362
2017-06-0113055.10492438118
2017-07-0113911.769323355486
2017-08-0114991.4176566016
2017-09-0114907.792139829398
2017-10-0115217.489141242346
2017-11-0114648.542571563137
2017-12-0115772.567899942436
2018-01-0117057.25051023078
2018-02-0116216.547176723008
2018-03-0116409.440577738238
2018-04-0115415.563347113923
2018-05-0115104.976712543827
2018-06-0114142.393636506356
2018-07-0114630.69757705793
2018-08-0113798.367261499816
2018-09-0113514.155633471139
2018-10-0112144.015908734104
2018-11-0112799.152231932596
2018-12-0112203.045685279185
2019-01-0113484.379088387668
2019-02-0113393.374849547332
2019-03-0113476.791040870792
2019-04-0113465.382803914385
2019-05-0112574.546025433043
2019-06-0113438.170495577997
2019-07-0113718.038620545292
2019-08-0113146.789470929927
2019-09-0113329.739913129939
2019-10-0113904.913914909204
2019-11-0114129.886440944058
2019-12-0115728.295567533622
2020-01-0114629.860275262963
2020-02-0113672.51033544403
2020-03-0110018.629964937987
2020-04-0111086.242084881467
2020-05-0112002.616568109268
2020-06-0113194.463341880788
2020-07-0114060.966036945942
2020-08-0114318.64566434664
2020-09-0113776.806740279448
2020-10-0113321.000575644983
2020-11-0115524.04626092417
2020-12-0116964.10068554084
2021-01-0116907.11183212099
2021-02-0117884.766340467842
2021-03-0118187.136951174834
2021-04-0119060.12873515097
2021-05-0119353.498351562088
2021-06-0119669.632110523835
2021-07-0118654.71767230101
2021-08-0119016.170390915275
2021-09-0118138.102464807158
2021-10-0117656.758595426236
2021-11-0116972.473703490497
2021-12-0117601.60133968287
2022-01-0117670.15542414569
2022-02-0117279.658799518547
2022-03-0117851.797582291063
2022-04-0116855.617771730598
2022-05-0117070.804333036787
2022-06-0115614.99816840232
2022-07-0115358.78381914281
2022-08-0115878.538908367786
2022-09-0114651.42079648333
2022-10-0115294.41624365482
2022-11-0117659.793814432986
2022-12-0117927.73038882202
2023-01-0118443.403631796533
2023-02-0117614.68418022921
2023-03-0117177.66497461929
2023-04-0116817.57287142184
2023-05-0116314.406824009628
2023-06-0117090.480925218482
2023-07-0118557.433669998427
2023-08-0118453.974566957975
2023-09-0118392.85153592548
2023-10-0117025.066722486787
2023-11-0117818.933486838658
2023-12-0118564.446072531267
2024-01-0118332.61813805013
2024-02-0118863.886126955884
2024-03-0118774.975142602958
2024-04-0118920.456329478253
2024-05-0119647.966926579094
2024-06-0119951.541158616357
2024-07-0119917.107122298396
2024-08-0119428.018211314036
2024-09-0120364.12161808572
2024-10-0119392.537547752367
2024-11-0119335.496362970327
2024-12-0118912.50196242608
2025-01-0118739.023496781618
2025-02-0118578.313883510385
2025-03-0118680.04605159872
2025-04-0118680.04605159872
2025-05-0119589.66978910461
2025-06-0120678.423779370976
2025-07-0120966.141608666072
2025-08-0122297.660788110312
2025-09-0122769.89900047098
2025-10-0121785.9123972997
2025-11-0122093.41148150086
2025-12-0122031.503480035582
2026-01-0123622.376890470456
2026-02-0125019.62426081951
2026-03-0123836.935475430422
2026-04-0125126.90355329949
Annual Return Matrix
YearAnnual Return
20170.4901881288472474
2018-0.22631205250200737
20190.288882789851965
20200.07857209401368137
20210.037579395805248605
20220.018528373802211284
20230.03551568826058671
20240.018748520076222963
20250.16491744581473666
20260.14049881235154382
Total Factor Risk
0.15656632825850927
VTI.US Exposure
0.3226248736430683
VEA.US Exposure
0.15632757233267117
VWO.US Exposure
0.45201340668086964
QQQ.US Exposure
-0.12867065591682275
VTV.US Exposure
-0.11478780406386828
IJR.US Exposure
0.0019781040255743825
QUAL.US Exposure
-0.03781873122192704
SHV.US Exposure
0.07332648613290185
TLT.US Exposure
0.007442082730774381
LQD.US Exposure
-0.049673282808352585
HYG.US Exposure
0.029319126394116782
GLD.US Exposure
-0.026510296671298287
USO.US Exposure
-0.00022094724772036057
VNQ.US Exposure
0.016614606560698898
BTC-USD.CC Exposure
-0.008892669480520112
CPER.US Exposure
0.06929920195075945
VIX.INDX Exposure
0.0359290201811691
UUP.US Exposure
0.010220854987651044
TIP.US Exposure
0.014298061750711707
Idiosyncratic Exposure
0.17718099003954274
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
15.7%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$159
Avg Yield on Cost
1.59%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$158.561.59%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+4.3%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+11.2%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.69
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Emerging Markets Small Cap AlphaDEX® Fund a high-risk investment?

First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS.US) has an annualized volatility of 15.7% and experienced a maximum drawdown of 41.3% over the last 10 years. Its primary macro risk driver is VWO.US.

What is the 10-year return of FEMS.US?

Over the past 10 years, FEMS.US has generated a Compound Annual Growth Rate (CAGR) of 10.0%. It has had a positive return in 90% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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