FEMS | ETF

FEMS

First Trust Emerging Markets Small Cap AlphaDEX Fund

segment: Equity: Emerging Markets - Small Cap Competing ETFs: DGS, EEMS, EWX Related ETF Channels: Equity, Emerging Markets, Smart-Beta ETFs, Multi-factor, Small Cap, Size and Style, Broad-based Find more ETFs with our ETF Screener and Database

*Unless otherwise stated, data provided by FactSet.

FEMS Fund Description

FEMS aims to outperform other index funds by selecting small-cap emerging markets securities using quantitative metrics.

FEMS Factset Analytics Insight

FEMS tries to outperform the competition by using a multi-factor selection methodology to choose the best-performing stocks. It makes sizable country bets, notably excluding South Korea. FEMS scores each potential holding by both value and growth characteristics, then ranks stocks by whichever trait scores highest. It takes the top 200 names, broken into equal-weighted quintiles, weighting higherscoring quintiles more heavily. The fund makes many sector bets, but those bets are liable to change with time, so its exposure bears watching.The fund's liquidity is middling; spreads can be wide, so traders looking to place larger orders should use care. Block liquidity is decent for an emerging-market fund, though creation-sized trades could impact underlying prices. The real issue facing FEMS is that it charges a high fee, and tracking statistics reveal that it typically costs even more to hold. (The fund's huge tracking variability in our analysis is an artifact of the issuer's decision to report fair-value NAVs, though median tracking difference should not be significantly affected). Overall, FEMS faces some high hurdles in its attempt to beat the market.

FEMS Summary Data Issuer Inception Date Legal Structure Expense Ratio Assets Under Management Average Daily $ Volume Average Spread (%)

FEMS Portfolio Data Weighted Average Market Cap Price / Earnings Ratio Price / Book Ratio Distribution Yield Next Ex-Dividend Date Number of Holdings

First Trust 02/15/12

Open-Ended Fund 0.80%

$140.66M

$1.15M

0.35%

$1.04B

6.17 0.79 5.71% 06/25/20 202

FEMS Index Data

Index Tracked

NASDAQ AlphaDEX Emerging Markets Small Cap Index

Index Weighting Methodology

Tiered

Index Selection Methodology

Multi-Factor

Segment Benchmark MSCI Emerging Markets Small Cap Index

1 Year

Jul

Aug

Sep

Oct

Nov

Dec

`20

Feb

Mar

Daily Price ($) 45.00 40.00 35.00 30.00 25.00

Apr

May

Jun

Volume

800k

PERFORMANCE [as of 06/11/20]

1 MONTH

FEMS

14.55%

ticker (NAV)

14.63%

NASDAQ AlphaDEX Emerging Markets17.15% Small Cap Index

MSCI Emerging Markets Small Cap 12.28% Index

3 MONTHS

3.69% 5.08% 7.12%

5.00%

YTD

-19.03% -17.33% -14.81%

-12.93%

1 YEAR

-1.40% -0.79% 3.08%

-7.56%

All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

FEMS Top 10 Countries

Taiwan, Province of China Hong Kong Turkey South Africa Brazil

22.74% 22.27% 15.82%

9.14% 6.58%

FEMS Top 10 Sectors

Financials Basic Materials Technology Industrials Consumer Cyclicals

19.89% 13.53% 13.37% 13.28% 12.97%

FEMS Top 10 Holdings

Supermax Corp. Bhd. Tianneng Power Internati... C&A Modas SA Light S.A. PGE Polska Grupa Energe...

1.94% 1.18% 1.15% 1.11% 1.11%

3 YEARS

-0.42% 0.03% 2.75%

-3.32%

5 YEARS

1.64% 1.98% --

-1.62%

10 YEARS

----

1.97%

Thailand Indonesia Mexico Poland Philippines

6.36% 4.52% 2.88% 2.58% 2.13%

Consumer Non-Cyclicals Energy Utilities Telecommunications Serv... Healthcare

12.38% 5.69% 5.56% 2.17% 1.16%

Jastrzebska Spolka Weglo...

1.07%

Nexteer Automotive Grou...

1.05%

Pegasus Hava Tasimacilig...

1.04%

Sasol Limited

0.97%

Migros Ticaret A.S.

0.97%

Total Top 10 Weighting 11.59%

FEMS Portfolio Management Expense Ratio

Median Tracking Difference (12 Mo)

Max. Upside Deviation (12 Mo)

Max. Downside Deviation (12 Mo)

0.80% -1.57% 0.62% -4.05%

FEMS Tax Exposures Max LT/ST Capital Gains Rate

Capital Gains Distributions (3 Year)

Tax on Distributions

Distributes K1

20.00% / 39.60% 0.29%

Qualified dividends No

FEMS Fund Structure Legal Structure OTC Derivative Use Securities Lending Active Securities Lending Split (Fund/Issuer) ETN Counterparty ETN Counterparty Risk Fund Closure Risk Portfolio Disclosure

Open-Ended Fund No Yes

100% / 0%

N/A N/A Low Daily

Daily Spread This chart is unavailable

FEMS Sector/Industry Breakdown

FEMS Top 10 Holdings

Financials

Basic Materials

Technology

Industrials

Consumer Cyclicals

FEMS 19.89% 13.53%

Segment Benchmark

16.70%

10.44%

13.37% 13.28% 12.97%

18.44% 13.68% 13.19%

Supermax Corp. Bhd.

Tianneng Power International Limited

C&A Modas SA

Light S.A.

PGE Polska Grupa Energetyczna S.A.

Jastrzebska Spolka Weglowa S.A.

FEMS Factset Analytics Block Liquidity

As of 06/12/20

5

This measurement shows how easy it is

4

to trade a $1 million USD block of FEMS. FEMS is rated a 2 out of 5.

3

2

1

FEMS Tradability Avg. Daily Share Volume

Average Daily $ Volume

Median Daily Share Volume

Median Daily Volume ($)

Average Spread (%)

Average Spread ($)

Median Premium / Discount (12 Mo)

Max. Premium / Discount (12 Mo)

Impediment to Creations

Market Hours Overlap

Creation Unit Size (Shares)

Creation Unit/Day (45 Day Average)

Creation Unit Cost (%)

Underlying Volume / Unit

Open Interest on ETF Options

Net Asset Value (Yesterday)

Implied Liquidity

40,693 $1.15M 26,926 $736.01K

0.35% $0.10 -0.61% 1.16% / -3.84% None 12.00% 50,000

0.54 0.54% 1.51%

0 $32.25

2

FEMS Performance Statistics

1.94% 1.18%

1.15% 1.11% 1.11%

1.07%

Goodness of Fit (R2)

0.91

Beta

1.04

Up Beta

1.00

Down Beta

1.05

Downside Standard Deviation

0.51%

Segment Benchmark MSCI Emerging Markets Small Cap Index

FEMS Benchmark Comparison Holdings

Consumer NonCyclicals

Energy

Utilities

Telecommunications Services

Healthcare

12.38%

5.69% 5.56% 2.17% 1.16%

8.15%

2.72% 4.60% 1.75% 9.96%

Nexteer Automotive Group Limited

Pegasus Hava Tasimaciligi A.S.

Sasol Limited

Migros Ticaret A.S.

Total Top 10 Weighting

FEMS Countries

Taiwan, Province of China Hong Kong Turkey South Africa Brazil Thailand Indonesia Mexico Poland Philippines

FEMS 22.74%

22.27% 15.82%

9.14% 6.58% 6.36% 4.52% 2.88% 2.58% 2.13%

FEMS Regions

Asia-Pacific Europe Latin America Middle East & Africa North America

FEMS 61.16% 19.55%

9.85% 9.45%

--

FEMS Economic Development

Emerging Countries Developed Countries

FEMS 54.98% 45.02%

1.05%

1.04%

0.97% 0.97% 11.59%

FEMS Number of Holdings

Benchmark Constituents

Shared Holdings

Shared Holdings Weight

202 1638

141 11.89%

Segment Benchmark

24.69%

10.41% 1.29% 3.10% 6.79% 3.84% 1.42% 2.13% 1.04% 0.77%

FEMS Benchmark Comparison Summary

FEMS

Segment Benchmark

Number of Holdings

202

1638

Weighted Average Market Cap

$1.04B

$1.10B

Price / Earnings Ratio

6.17

16.48

Price / Book Ratio

0.79

1.10

Dividend Yield

5.45%

3.24%

Concentration

Low

Low

Segment Benchmark

76.77% 4.35%

10.40% 7.95% 0.52%

Segment Benchmark

45.78%

54.22%

The data and information contained herein is not intended to be investment or tax advice. A reference to a particular investment or security, a credit rating, or any observation concerning a security or investment provided in the Service is not a recommendation to buy, sell, or hold such investment or security or to make any other investment decisions. You should not use such information for purposes of any actual transaction without consulting an investment or tax professional. DOES NOT TAKE RESPONSIBILITY FOR YOUR INVESTMENT OR OTHER ACTIONS NOR SHALL HAVE ANY LIABILITY, CONTINGENT OR OTHERWISE, FOR THE ACCURACY, COMPLETENESS, TIMELINESS, OR CORRECT SEQUENCING OF ANY INFORMATION PROVIDED BY OR FOR ANY DECISION MADE OR ACTION TAKEN BY YOU IN RELIANCE UPON SUCH INFORMATION OR . [ DOES NOT PROVIDE ANY RESEARCH OPINIONS.] MAKES NO REPRESENTATIONS ABOUT THE SUITABILITY OF THE INFORMATION, PRODUCTS OR SERVICES CONTAINED HEREIN. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

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