EWG vs. FGM

Last updated Jul 14, 2026

EWG (iShares MSCI Germany ETF) and FGM (First Trust Germany AlphaDEX Fund) are both Europe Equities funds - EWG tracks the MSCI Germany Index while FGM tracks the NASDAQ AlphaDEX Germany Index. Both are passively managed. Over the past 10 years, EWG returned 7.74%/yr vs 8.15%/yr for FGM. Their correlation of 0.84 suggests significant overlap in exposure. EWG charges 0.49%/yr vs 0.80%/yr for FGM.

Performance

EWG vs. FGM - Performance Comparison

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

Returns By Period

In the year-to-date period, EWG achieves a -1.04% return, which is significantly lower than FGM's 1.46% return. Over the past 10 years, EWG has underperformed FGM with an annualized return of 7.74%, while FGM has yielded a comparatively higher 8.15% annualized return.

EWG

• 1D: -0.63%
• 1M: -0.60%
• 6M: -4.05%
• YTD: -1.04%
• 1Y: -0.93%
• 3Y*: 14.46%
• 5Y*: 5.96%
• 10Y*: 7.74%

FGM

• 1D: -0.73%
• 1M: -1.68%
• 6M: -3.41%
• YTD: 1.46%
• 1Y: 11.06%
• 3Y*: 18.18%
• 5Y*: 4.40%
• 10Y*: 8.15%

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

EWG vs. FGM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EWG iShares MSCI Germany ETF	-1.04%	35.79%	9.79%	23.35%	-22.27%	5.84%	10.09%	19.15%	-21.40%	27.42%
FGM First Trust Germany AlphaDEX Fund	1.46%	63.60%	1.36%	13.28%	-30.46%	6.10%	17.26%	20.77%	-25.14%	44.28%

Correlation

The correlation between EWG and FGM is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.85
Correlation (3Y) Calculated over the trailing 3-year period	0.86
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (10Y) Calculated over the trailing 10-year period	0.85
Correlation (All Time) Calculated using the full available price history since Feb 17, 2012	0.84

The correlation between EWG and FGM has been stable across timeframes, ranging from 0.82 to 0.86 - a consistent structural relationship.

EWG vs. FGM - Sectors Allocation Comparison

Sectors	EWG	FGM
Industrials	29.9%	40.5%
Financial Services	20.6%	8.3%
Technology	16.3%	-
Consumer Cyclical	8.7%	18.0%
Communication Services	6.5%	3.2%
Healthcare	6.0%	6.3%
Basic Materials	5.5%	8.5%
Utilities	4.3%	2.8%
Consumer Defensive	1.3%	2.3%
Real Estate	0.9%	10.1%
Energy	-	-

Return for Risk

EWG vs. FGM — Risk / Return Rank

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

EWG

EWG Risk / Return Rank: 8
EWG Sharpe Ratio Rank: 9
EWG Sortino Ratio Rank: 8
EWG Omega Ratio Rank: 8
EWG Calmar Ratio Rank: 9
EWG Martin Ratio Rank: 8

FGM

FGM Risk / Return Rank: 19
FGM Sharpe Ratio Rank: 19
FGM Sortino Ratio Rank: 19
FGM Omega Ratio Rank: 19
FGM Calmar Ratio Rank: 19
FGM Martin Ratio Rank: 20

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.

EWG vs. FGM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Germany ETF (EWG) 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.

	EWG	FGM	Difference
Sharpe ratio: Return per unit of total volatility	-0.05	0.52	-0.57
Sortino ratio: Return per unit of downside risk	0.05	0.87	-0.82
Omega ratio: Gain probability vs. loss probability	1.01	1.11	-0.10
Calmar ratio: Return relative to maximum drawdown	-0.06	0.63	-0.69
Martin ratio: Return relative to average drawdown	-0.18	1.78	-1.96

EWG vs. FGM - Sharpe Ratio Comparison

The current EWG Sharpe Ratio is -0.05, which is lower than the FGM Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of EWG 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.

Drawdowns

EWG vs. FGM - Drawdown Comparison

The maximum EWG drawdown since its inception was -67.57%, which is greater than FGM's maximum drawdown of -51.58%. Use the drawdown chart below to compare losses from any high point for EWG and FGM.

Drawdown Indicators

	EWG	FGM	Difference
Max Drawdown Largest peak-to-trough decline	-67.57%	-51.58%	-15.99%
Max Drawdown (1Y) Largest decline over 1 year	-14.54%	-17.76%	+3.22%
Max Drawdown (3Y) Largest decline over 3 years	-15.81%	-17.81%	+2.00%
Max Drawdown (5Y) Largest decline over 5 years	-42.59%	-50.18%	+7.59%
Max Drawdown (10Y) Largest decline over 10 years	-46.80%	-51.58%	+4.78%
Current Drawdown Current decline from peak	-5.62%	-9.80%	+4.18%
Average Drawdown Average peak-to-trough decline	-19.15%	-14.69%	-4.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.11%	6.23%	-1.12%

Volatility

EWG vs. FGM - Volatility Comparison

The current volatility for iShares MSCI Germany ETF (EWG) is 5.48%, while First Trust Germany AlphaDEX Fund (FGM) has a volatility of 7.16%. This indicates that EWG experiences smaller price fluctuations and is considered to be less risky than FGM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EWG	FGM	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.48%	7.16%	-1.68%
Volatility (6M) Calculated over the trailing 6-month period	15.18%	18.29%	-3.11%
Volatility (1Y) Calculated over the trailing 1-year period	17.78%	21.44%	-3.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.57%	24.63%	-4.06%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.80%	22.89%	-2.09%

EWG vs. FGM - Expense Ratio Comparison

EWG has a 0.49% expense ratio, which is lower than FGM's 0.80% expense ratio.

Dividends

EWG vs. FGM - Dividend Comparison

EWG's dividend yield for the trailing twelve months is around 2.02%, more than FGM's 1.41% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EWG iShares MSCI Germany ETF	2.02%	1.60%	2.38%	2.56%	3.24%	2.70%	1.67%	2.51%	2.93%	2.06%	2.35%	1.93%
FGM First Trust Germany AlphaDEX Fund	1.41%	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

Can I hold both EWG and FGM in my portfolio?

EWG and FGM have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EWG or FGM?

FGM has higher volatility (7.16%) compared to EWG (5.48%). In terms of maximum drawdown, EWG dropped -67.57% vs FGM's -51.58%.

Which ETF is better, EWG or FGM?

On 10-year performance, FGM leads with 8.15% vs 7.74% for EWG. On fees, EWG is cheaper at 0.49% per year. On volatility, EWG has been the lower-risk option at 5.48%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EWG or FGM?

Over the 10-year period, FGM has performed better with a 8.15% return vs 7.74%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EWG or FGM?

EWG is cheaper with a 0.49% expense ratio, compared with 0.80% for FGM.

Which ETF pays a higher dividend yield, EWG or FGM?

EWG has the higher dividend yield at 2.02%, compared with 1.41% for FGM.

What is the main difference between EWG and FGM?

EWG tracks MSCI Germany Index, while FGM tracks NASDAQ AlphaDEX Germany Index. They also come from different issuers: iShares and First Trust. Their fees differ too: 0.49% for EWG and 0.80% for FGM.

Which has better risk-adjusted returns?

FGM currently has the higher Sharpe Ratio (0.52 vs -0.05), 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.