PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
EWG vs. FGM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

EWG vs. FGM

Last updated Jun 4, 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 7.59%/yr vs 8.09%/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.

Loading charts...

Returns By Period

In the year-to-date period, EWG achieves a 0.64% return, which is significantly lower than FGM's 4.13% return. Over the past 10 years, EWG has underperformed FGM with an annualized return of 7.59%, while FGM has yielded a comparatively higher 8.09% annualized return.

EWG

1D
-1.84%
1M
3.11%
YTD
0.64%
6M
4.44%
1Y
3.23%
3Y*
16.95%
5Y*
5.94%
10Y*
7.59%

FGM

1D
-1.22%
1M
2.88%
YTD
4.13%
6M
9.75%
1Y
19.41%
3Y*
22.05%
5Y*
4.19%
10Y*
8.09%
*Multi-year figures are annualized to reflect compound growth (CAGR)

EWG vs. FGM - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
EWG
iShares MSCI Germany ETF		0.64%35.79%9.79%23.35%-22.27%5.84%10.09%19.15%-21.40%27.42%
FGM
First Trust Germany AlphaDEX Fund		4.13%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 21, 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

30.3%
40.5%

Financial Services

21.6%
8.2%

Technology

13.8%

-

Consumer Cyclical

8.2%
16.6%

Communication Services

6.6%
3.2%

Healthcare

6.1%
6.4%

Basic Materials

5.8%
9.0%

Utilities

4.9%
3.2%

Consumer Defensive

1.4%
2.2%

Real Estate

1.3%
10.8%

Energy

-

-

Industrials

EWG
30.3%
FGM
40.5%

Financial Services

EWG
21.6%
FGM
8.2%

Technology

EWG
13.8%
FGM

-

Consumer Cyclical

EWG
8.2%
FGM
16.6%

Communication Services

EWG
6.6%
FGM
3.2%

Healthcare

EWG
6.1%
FGM
6.4%

Basic Materials

EWG
5.8%
FGM
9.0%

Utilities

EWG
4.9%
FGM
3.2%

Consumer Defensive

EWG
1.4%
FGM
2.2%

Real Estate

EWG
1.3%
FGM
10.8%

Energy

EWG

-

FGM

-

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 Germany ETF

First Trust Germany AlphaDEX Fund

Often compared with EWG:
EWG vs. EWQEWG vs. EWPEWG vs. SPYEWG vs. IEUREWG vs. FLGREWG vs. EFAEWG vs. VOO
Often compared with FGM:
FGM vs. DAXFGM vs. FEUZFGM vs. FLGRFGM vs. EXS1.DEFGM vs. KBWPFGM vs. SHLDFGM vs. SPY

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: 1111
Overall Rank
EWG Sharpe Ratio Rank: 1111
Sharpe Ratio Rank
EWG Sortino Ratio Rank: 1111
Sortino Ratio Rank
EWG Omega Ratio Rank: 1111
Omega Ratio Rank
EWG Calmar Ratio Rank: 1111
Calmar Ratio Rank
EWG Martin Ratio Rank: 1212
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: 2626
Omega Ratio Rank
FGM Calmar Ratio Rank: 2323
Calmar Ratio Rank
FGM Martin Ratio Rank: 2626
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.

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.

EWGFGMDifference
Sharpe ratioReturn per unit of total volatility
0.19
0.95

-0.76

Sortino ratioReturn per unit of downside risk
0.38
1.42

-1.04

Omega ratioGain probability vs. loss probability

1.05

1.18

-0.13

Calmar ratioReturn relative to maximum drawdown

0.22

1.10

-0.87

Martin ratioReturn relative to average drawdown

0.66

3.48

-2.82

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EWG vs. FGM - Sharpe Ratio Comparison

The current EWG Sharpe Ratio is 0.19, which is lower than the FGM Sharpe Ratio of 0.95. 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.

Loading charts...

Sharpe Ratios by Period

EWGFGMDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.19

0.95

-0.76

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.29

0.17

+0.12

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.36

0.35

+0.01

Sharpe Ratio (All Time)

Calculated using the full available price history

0.25

0.34

-0.10

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.

Loading charts...

Drawdown Indicators

EWGFGMDifference

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%

-17.93%

+2.12%

Max Drawdown (5Y)

Largest decline over 5 years

-43.44%

-51.07%

+7.63%

Max Drawdown (10Y)

Largest decline over 10 years

-46.80%

-51.58%

+4.78%

Current Drawdown

Current decline from peak

-4.02%

-7.43%

+3.41%

Average Drawdown

Average peak-to-trough decline

-19.20%

-14.74%

-4.46%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.89%

5.59%

-0.70%

Volatility

EWG vs. FGM - Volatility Comparison

The current volatility for iShares MSCI Germany ETF (EWG) is 6.49%, while First Trust Germany AlphaDEX Fund (FGM) has a volatility of 7.14%. 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.

Loading charts...

Volatility by Period

EWGFGMDifference

Volatility (1M)

Calculated over the trailing 1-month period

6.49%

7.14%

-0.65%

Volatility (6M)

Calculated over the trailing 6-month period

14.18%

17.09%

-2.91%

Volatility (1Y)

Calculated over the trailing 1-year period

17.28%

20.51%

-3.23%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.48%

24.48%

-4.00%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

21.11%

23.11%

-2.00%

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 1.59%, more than FGM's 0.64% yield.

PositionTTM20252024202320222021202020192018201720162015
EWG
iShares MSCI Germany ETF		1.59%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		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

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.

FGM has higher volatility (7.14%) compared to EWG (6.49%). In terms of maximum drawdown, EWG dropped -67.57% vs FGM's -51.58%.

On 10-year performance, FGM leads with 8.09% vs 7.59% for EWG. On fees, EWG is cheaper at 0.49% per year. On volatility, EWG has been the lower-risk option at 6.49%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, FGM has performed better with a 8.09% return vs 7.59%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

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

EWG has the higher dividend yield at 1.59%, compared with 0.64% for 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.

FGM currently has the higher Sharpe Ratio (0.95 vs 0.19), 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.

Portfolio Optimizer

Find the right allocation for EWG and FGM

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer