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EWO vs. FGM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

EWO vs. FGM

Last updated Jun 13, 2026

EWO (iShares MSCI Austria ETF) and FGM (First Trust Germany AlphaDEX Fund) are both Europe Equities funds - EWO tracks the MSCI Austria Investable Market Index while FGM tracks the NASDAQ AlphaDEX Germany Index. Both are passively managed. Over the past 10 years, EWO returned 15.10%/yr vs 8.76%/yr for FGM. A 0.71 correlation means they provide meaningful diversification when combined. EWO charges 0.49%/yr vs 0.80%/yr for FGM.

Performance

EWO vs. FGM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Austria ETF (EWO) 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, EWO achieves a 18.55% return, which is significantly higher than FGM's 3.19% return. Over the past 10 years, EWO has outperformed FGM with an annualized return of 15.10%, while FGM has yielded a comparatively lower 8.76% annualized return.

EWO

1D
1.37%
1M
6.33%
YTD
18.55%
6M
23.71%
1Y
46.00%
3Y*
33.19%
5Y*
15.56%
10Y*
15.10%

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)

EWO vs. FGM - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
EWO
iShares MSCI Austria ETF		18.55%74.21%4.05%20.63%-21.95%31.50%-3.67%17.05%-22.88%52.47%
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 EWO and FGM is 0.77, 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

0.77

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

0.75

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

0.73

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

0.71

The correlation between EWO and FGM has been stable across timeframes, ranging from 0.71 to 0.77 - a consistent structural relationship.

EWO vs. FGM - Sectors Allocation Comparison

Sectors
EWO
FGM

Financial Services

46.5%
8.2%

Industrials

14.3%
40.5%

Basic Materials

10.5%
9.0%

Energy

9.5%

-

Utilities

6.4%
3.2%

Technology

5.6%

-

Real Estate

4.0%
10.8%

Consumer Cyclical

1.7%
16.6%

Communication Services

-

3.2%

Consumer Defensive

-

2.2%

Healthcare

-

6.4%

Financial Services

EWO
46.5%
FGM
8.2%

Industrials

EWO
14.3%
FGM
40.5%

Basic Materials

EWO
10.5%
FGM
9.0%

Energy

EWO
9.5%
FGM

-

Utilities

EWO
6.4%
FGM
3.2%

Technology

EWO
5.6%
FGM

-

Real Estate

EWO
4.0%
FGM
10.8%

Consumer Cyclical

EWO
1.7%
FGM
16.6%

Communication Services

EWO

-

FGM
3.2%

Consumer Defensive

EWO

-

FGM
2.2%

Healthcare

EWO

-

FGM
6.4%

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 Austria ETF

First Trust Germany AlphaDEX Fund

Often compared with EWO:
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Often compared with FGM:
FGM vs. EWGFGM vs. FEUZFGM vs. DAXFGM vs. FLGRFGM vs. EXS1.DEFGM vs. KBWPFGM vs. SHLD

Return for Risk

EWO vs. FGM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
EWO
EWO Risk / Return Rank: 7979
Overall Rank
EWO Sharpe Ratio Rank: 8686
Sharpe Ratio Rank
EWO Sortino Ratio Rank: 8585
Sortino Ratio Rank
EWO Omega Ratio Rank: 7979
Omega Ratio Rank
EWO Calmar Ratio Rank: 7474
Calmar Ratio Rank
EWO Martin Ratio Rank: 6969
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.

EWO vs. FGM - Risk-Adjusted Trends Comparison

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

EWOFGMDifference
Sharpe ratioReturn per unit of total volatility
2.41
0.84

+1.58

Sortino ratioReturn per unit of downside risk
3.35
1.28

+2.07

Omega ratioGain probability vs. loss probability

1.41

1.16

+0.25

Calmar ratioReturn relative to maximum drawdown

3.28

0.98

+2.30

Martin ratioReturn relative to average drawdown

11.10

3.01

+8.09

EWO vs. FGM - Sharpe Ratio Comparison

The current EWO Sharpe Ratio is 2.41, which is higher than the FGM Sharpe Ratio of 0.84. The chart below compares the historical Sharpe Ratios of EWO 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

EWO vs. FGM - Drawdown Comparison

The maximum EWO drawdown since its inception was -75.69%, which is greater than FGM's maximum drawdown of -51.58%. Use the drawdown chart below to compare losses from any high point for EWO and FGM.

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Drawdown Indicators

EWOFGMDifference

Max Drawdown

Largest peak-to-trough decline

-75.69%

-51.58%

-24.11%

Max Drawdown (1Y)

Largest decline over 1 year

-14.08%

-17.76%

+3.68%

Max Drawdown (3Y)

Largest decline over 3 years

-16.75%

-17.93%

+1.18%

Max Drawdown (5Y)

Largest decline over 5 years

-41.82%

-50.45%

+8.63%

Max Drawdown (10Y)

Largest decline over 10 years

-58.10%

-51.58%

-6.52%

Current Drawdown

Current decline from peak

0.00%

-8.26%

+8.26%

Average Drawdown

Average peak-to-trough decline

-28.10%

-14.72%

-13.38%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.16%

5.81%

-1.65%

Volatility

EWO vs. FGM - Volatility Comparison

iShares MSCI Austria ETF (EWO) has a higher volatility of 7.31% compared to First Trust Germany AlphaDEX Fund (FGM) at 6.75%. This indicates that EWO's price experiences larger fluctuations and is considered to be riskier than FGM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

EWOFGMDifference

Volatility (1M)

Calculated over the trailing 1-month period

7.31%

6.75%

+0.56%

Volatility (6M)

Calculated over the trailing 6-month period

15.88%

17.55%

-1.67%

Volatility (1Y)

Calculated over the trailing 1-year period

19.19%

20.94%

-1.75%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.95%

24.54%

-2.59%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

22.88%

23.11%

-0.23%

EWO vs. FGM - Expense Ratio Comparison

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

Dividends

EWO vs. FGM - Dividend Comparison

EWO's dividend yield for the trailing twelve months is around 2.01%, more than FGM's 0.64% yield.

PositionTTM20252024202320222021202020192018201720162015
EWO
iShares MSCI Austria ETF		2.01%2.38%7.40%5.66%4.75%2.42%0.98%3.11%4.04%2.03%1.99%1.51%
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

EWO and FGM have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

EWO has higher volatility (7.31%) compared to FGM (6.75%). In terms of maximum drawdown, EWO dropped -75.69% vs FGM's -51.58%.

On 10-year performance, EWO leads with 15.10% vs 8.76% for FGM. On fees, EWO is cheaper at 0.49% 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, EWO has performed better with a 15.10% return vs 8.76%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

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

EWO has the higher dividend yield at 2.01%, compared with 0.64% for FGM.

EWO tracks MSCI Austria Investable Market 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 EWO and 0.80% for FGM.

EWO currently has the higher Sharpe Ratio (2.41 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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