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EUFN vs. FGM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

EUFN vs. FGM

Last updated Jun 13, 2026

EUFN (iShares MSCI Europe Financials ETF) and FGM (First Trust Germany AlphaDEX Fund) are both exchange-traded funds - EUFN is a Financials Equities fund tracking the MSCI Europe Financials Index, while FGM is a Europe Equities fund tracking the NASDAQ AlphaDEX Germany Index. Both are passively managed. Over the past 10 years, EUFN returned 13.48%/yr vs 8.76%/yr for FGM. A 0.72 correlation means they provide meaningful diversification when combined. EUFN charges 0.48%/yr vs 0.80%/yr for FGM.

Performance

EUFN vs. FGM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Europe Financials ETF (EUFN) and First Trust Germany AlphaDEX Fund (FGM). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, EUFN achieves a 4.75% return, which is significantly higher than FGM's 3.19% return. Over the past 10 years, EUFN has outperformed FGM with an annualized return of 13.48%, while FGM has yielded a comparatively lower 8.76% annualized return.

EUFN

1D
1.20%
1M
3.32%
YTD
4.75%
6M
9.10%
1Y
26.28%
3Y*
32.04%
5Y*
18.43%
10Y*
13.48%

FGM

1D
1.21%
1M
-2.27%
YTD
3.19%
6M
4.60%
1Y
17.41%
3Y*
20.38%
5Y*
4.13%
10Y*
8.76%
*Multi-year figures are annualized to reflect compound growth (CAGR)

EUFN vs. FGM - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
EUFN
iShares MSCI Europe Financials ETF		4.75%65.73%17.20%26.15%-8.78%19.13%-8.55%20.73%-23.14%26.94%
FGM
First Trust Germany AlphaDEX Fund		3.19%63.60%1.36%13.28%-30.46%6.10%17.26%20.77%-25.14%44.28%

Correlation

The correlation between EUFN and FGM is 0.78, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.78

Correlation (3Y)
Calculated over the trailing 3-year period

0.79

Correlation (5Y)
Calculated over the trailing 5-year period

0.75

Correlation (10Y)
Calculated over the trailing 10-year period

0.72

Correlation (All Time)
Calculated using the full available price history since Feb 17, 2012

0.72

The correlation between EUFN and FGM has been stable across timeframes, ranging from 0.72 to 0.79 - a consistent structural relationship.

EUFN vs. FGM - Sectors Allocation Comparison

Sectors
EUFN
FGM

Financial Services

97.1%
8.2%

Technology

1.0%

-

Industrials

0.4%
40.5%

Consumer Cyclical

0.2%
16.6%

Basic Materials

-

9.0%

Communication Services

-

3.2%

Consumer Defensive

-

2.2%

Energy

-

-

Healthcare

-

6.4%

Real Estate

-

10.8%

Utilities

-

3.2%

Financial Services

EUFN
97.1%
FGM
8.2%

Technology

EUFN
1.0%
FGM

-

Industrials

EUFN
0.4%
FGM
40.5%

Consumer Cyclical

EUFN
0.2%
FGM
16.6%

Basic Materials

EUFN

-

FGM
9.0%

Communication Services

EUFN

-

FGM
3.2%

Consumer Defensive

EUFN

-

FGM
2.2%

Energy

EUFN

-

FGM

-

Healthcare

EUFN

-

FGM
6.4%

Real Estate

EUFN

-

FGM
10.8%

Utilities

EUFN

-

FGM
3.2%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

iShares MSCI Europe Financials ETF

First Trust Germany AlphaDEX Fund

Often compared with EUFN:
EUFN vs. XLFEUFN vs. FDDEUFN vs. SPYEUFN vs. GSIBEUFN vs. EURLEUFN vs. IEUREUFN vs. EIRL
Often compared with FGM:
FGM vs. EWGFGM vs. FEUZFGM vs. DAXFGM vs. FLGRFGM vs. EXS1.DEFGM vs. KBWPFGM vs. SHLD

Return for Risk

EUFN vs. FGM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
EUFN
EUFN Risk / Return Rank: 4242
Overall Rank
EUFN Sharpe Ratio Rank: 4242
Sharpe Ratio Rank
EUFN Sortino Ratio Rank: 4242
Sortino Ratio Rank
EUFN Omega Ratio Rank: 3939
Omega Ratio Rank
EUFN Calmar Ratio Rank: 4141
Calmar Ratio Rank
EUFN Martin Ratio Rank: 4444
Martin Ratio Rank
FGM
FGM Risk / Return Rank: 2525
Overall Rank
FGM Sharpe Ratio Rank: 2626
Sharpe Ratio Rank
FGM Sortino Ratio Rank: 2626
Sortino Ratio Rank
FGM Omega Ratio Rank: 2525
Omega Ratio Rank
FGM Calmar Ratio Rank: 2424
Calmar Ratio Rank
FGM Martin Ratio Rank: 2525
Martin Ratio Rank
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.

EUFN vs. FGM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Europe Financials ETF (EUFN) and First Trust Germany AlphaDEX Fund (FGM). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

EUFNFGMDifference
Sharpe ratioReturn per unit of total volatility
1.31
0.84

+0.47

Sortino ratioReturn per unit of downside risk
1.92
1.28

+0.64

Omega ratioGain probability vs. loss probability

1.23

1.16

+0.07

Calmar ratioReturn relative to maximum drawdown

1.79

0.98

+0.80

Martin ratioReturn relative to average drawdown

6.24

3.01

+3.23

EUFN vs. FGM - Sharpe Ratio Comparison

The current EUFN Sharpe Ratio is 1.31, which is higher than the FGM Sharpe Ratio of 0.84. The chart below compares the historical Sharpe Ratios of EUFN and FGM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

EUFN vs. FGM - Drawdown Comparison

The maximum EUFN drawdown since its inception was -53.25%, roughly equal to the maximum FGM drawdown of -51.58%. Use the drawdown chart below to compare losses from any high point for EUFN and FGM.

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Drawdown Indicators

EUFNFGMDifference

Max Drawdown

Largest peak-to-trough decline

-53.25%

-51.58%

-1.67%

Max Drawdown (1Y)

Largest decline over 1 year

-14.77%

-17.76%

+2.99%

Max Drawdown (3Y)

Largest decline over 3 years

-15.95%

-17.93%

+1.98%

Max Drawdown (5Y)

Largest decline over 5 years

-35.15%

-50.45%

+15.30%

Max Drawdown (10Y)

Largest decline over 10 years

-53.25%

-51.58%

-1.67%

Current Drawdown

Current decline from peak

-0.10%

-8.26%

+8.16%

Average Drawdown

Average peak-to-trough decline

-14.53%

-14.72%

+0.19%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.23%

5.81%

-1.58%

Volatility

EUFN vs. FGM - Volatility Comparison

iShares MSCI Europe Financials ETF (EUFN) and First Trust Germany AlphaDEX Fund (FGM) have volatilities of 6.96% and 6.75%, 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.

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Volatility by Period

EUFNFGMDifference

Volatility (1M)

Calculated over the trailing 1-month period

6.96%

6.75%

+0.21%

Volatility (6M)

Calculated over the trailing 6-month period

17.05%

17.55%

-0.50%

Volatility (1Y)

Calculated over the trailing 1-year period

20.17%

20.94%

-0.77%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.88%

24.54%

-2.66%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

24.53%

23.11%

+1.42%

EUFN vs. FGM - Expense Ratio Comparison

EUFN has a 0.48% expense ratio, which is lower than FGM's 0.80% expense ratio.

Dividends

EUFN vs. FGM - Dividend Comparison

EUFN's dividend yield for the trailing twelve months is around 3.41%, more than FGM's 0.64% yield.

PositionTTM20252024202320222021202020192018201720162015
EUFN
iShares MSCI Europe Financials ETF		3.41%3.57%5.36%5.00%4.24%4.15%1.38%4.55%6.48%3.04%4.03%3.65%
FGM
First Trust Germany AlphaDEX Fund		0.64%0.66%2.56%2.82%5.44%1.43%1.33%2.30%2.18%2.11%1.33%1.13%

Frequently Asked Questions

EUFN and FGM have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

EUFN has higher volatility (6.96%) compared to FGM (6.75%). In terms of maximum drawdown, EUFN dropped -53.25% vs FGM's -51.58%.

On 10-year performance, EUFN leads with 13.48% vs 8.76% for FGM. On fees, EUFN is cheaper at 0.48% per year. On volatility, FGM has been the lower-risk option at 6.75%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, EUFN has performed better with a 13.48% return vs 8.76%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

EUFN is cheaper with a 0.48% expense ratio, compared with 0.80% for FGM.

EUFN has the higher dividend yield at 3.41%, compared with 0.64% for FGM.

EUFN is categorized as Financials Equities, while FGM is Europe Equities. EUFN tracks MSCI Europe Financials Index, while FGM tracks NASDAQ AlphaDEX Germany Index. They also come from different issuers: iShares and First Trust. Their fees differ too: 0.48% for EUFN and 0.80% for FGM.

EUFN currently has the higher Sharpe Ratio (1.31 vs 0.84), 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.

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