A smart beta exchange traded fund, the First Trust Mid Cap Core AlphaDEX ETF (FNX) debuted on 05/08/2007, and offers broad exposure to the Style Box - Mid Cap Blend category of the market.What Are Smart Beta ETFs?Market cap weighted indexes were created to reflect the market, or a specific segment of the market, and the ETF industry has traditionally been dominated by products based on this strategy.A good option for investors who believe in market efficiency, market cap weighted indexes offer a low-cost, convenient, and transparent way of replicating market returns.But, there are some investors who would rather invest in smart beta funds; these funds track non-cap weighted strategies, and are a strong option for those who prefer choosing great stocks in order to beat the market.By attempting to pick stocks that have a better chance of risk-return performance, non-cap weighted indexes are based on certain fundamental characteristics, or a combination of such.This area offers many different investment choices, such as simplest equal-weighting, fundamental weighting and volatility/momentum based weighting methodologies; however, not all of these strategies can deliver superior results.Fund Sponsor & IndexFNX is managed by First Trust Advisors, and this fund has amassed over $1.06 billion, which makes it one of the average sized ETFs in the Style Box - Mid Cap Blend. Before fees and expenses, FNX seeks to match the performance of the Nasdaq AlphaDEX Mid Cap Core Index.The NASDAQ AlphaDEX Mid Cap Core Index is an enhanced index which employs the AlphaDEX stock selection methodology to select stocks from the NASDAQ US 600 Mid Cap Index.Cost & Other ExpensesExpense ratios are an important factor in the return of an ETF and in the long-term, cheaper funds can significantly outperform their more expensive cousins, other things remaining the same.With one of the more expensive products in the space, this ETF has annual operating expenses of 0.59%.The fund has a 12-month trailing dividend yield of 0.94%.Sector Exposure and Top HoldingsIt is important to delve into an ETF's holdings before investing despite the many upsides to these kinds of funds like diversified exposure, which minimizes single stock risk. And, most ETFs are very transparent products that disclose their holdings on a daily basis.Representing 19.50% of the portfolio, the fund has heaviest allocation to the Financials sector; Industrials and Consumer Discretionary round out the top three.When you look at individual holdings, Avis Budget Group, Inc. (CAR) accounts for about 0.48% of the fund's total assets, followed by Apa Corporation (APA) and Ovintiv Inc. (OVV).Its top 10 holdings account for approximately 4.21% of FNX's total assets under management.Performance and RiskThe ETF return is roughly 26.55% so far this year and is up about 24.11% in the last one year (as of 12/28/2021). In the past 52-week period, it has traded between $81.91 and $107.11.The ETF has a beta of 1.27 and standard deviation of 27.89% for the trailing three-year period, making it a medium risk choice in the space. With about 452 holdings, it effectively diversifies company-specific risk.AlternativesFirst Trust Mid Cap Core AlphaDEX ETF is a reasonable option for investors seeking to outperform the Style Box - Mid Cap Blend segment of the market. However, there are other ETFs in the space which investors could consider.Vanguard MidCap ETF (VO) tracks CRSP US Mid Cap Index and the iShares Core S&P MidCap ETF (IJH) tracks S&P MidCap 400 Index. Vanguard MidCap ETF has $56.76 billion in assets, iShares Core S&P MidCap ETF has $67.94 billion. VO has an expense ratio of 0.04% and IJH charges 0.05%.Investors looking for cheaper and lower-risk options should consider traditional market cap weighted ETFs that aim to match the returns of the Style Box - Mid Cap Blend.Bottom LineTo learn more about this product and other ETFs, screen for products that match your investment objectives and read articles on latest developments in the ETF investing universe, please visit Zacks ETF Center. 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(CAR): Free Stock Analysis Report APA Corporation (APA): Free Stock Analysis Report iShares Core S&P MidCap ETF (IJH): ETF Research Reports Vanguard MidCap ETF (VO): ETF Research Reports Ovintiv Inc. (OVV): Free Stock Analysis Report To read this article on Zacks.com click here.