FEP vs. ^GSPC
FEP (First Trust Europe AlphaDEX Fund) is Europe Equities fund tracking the Defined Europe Index, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, FEP returned 11.19%/yr vs 13.71%/yr for ^GSPC. A 0.67 correlation means they provide meaningful diversification when combined.
Performance
FEP vs. ^GSPC - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with FEP having a 7.28% return and ^GSPC slightly higher at 7.60%. Over the past 10 years, FEP has underperformed ^GSPC with an annualized return of 11.19%, while ^GSPC has yielded a comparatively higher 13.71% annualized return.
FEP
- 1D
- -1.39%
- 1M
- -2.05%
- YTD
- 7.28%
- 6M
- 7.31%
- 1Y
- 27.23%
- 3Y*
- 23.84%
- 5Y*
- 9.54%
- 10Y*
- 11.19%
^GSPC
- 1D
- -1.44%
- 1M
- -1.45%
- YTD
- 7.60%
- 6M
- 6.59%
- 1Y
- 22.24%
- 3Y*
- 19.20%
- 5Y*
- 11.54%
- 10Y*
- 13.71%
FEP vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FEP First Trust Europe AlphaDEX Fund | 7.28% | 55.72% | 3.38% | 16.85% | -22.97% | 17.03% | 4.12% | 24.83% | -19.00% | 36.27% |
^GSPC S&P 500 Index | 7.60% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between FEP and ^GSPC is 0.71, 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 | 0.71 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.62 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.67 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.69 |
Correlation (All Time) Calculated using the full available price history since Apr 26, 2011 | 0.67 |
The correlation between FEP and ^GSPC has been stable across timeframes, ranging from 0.62 to 0.71 - a consistent structural relationship.
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Return for Risk
FEP vs. ^GSPC — Risk / Return Rank
FEP
^GSPC
FEP vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Europe AlphaDEX Fund (FEP) and S&P 500 Index (^GSPC). 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.
| FEP | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.19 | ||
| Sortino ratioReturn per unit of downside risk | -0.22 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.32 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.25 | 2.46 | -0.20 |
| Martin ratioReturn relative to average drawdown | 8.64 | 10.92 | -2.27 |
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Drawdowns
FEP vs. ^GSPC - Drawdown Comparison
The maximum FEP drawdown since its inception was -46.05%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for FEP and ^GSPC.
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Drawdown Indicators
| FEP | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -46.05% | -56.78% | +10.73% |
Max Drawdown (1Y)Largest decline over 1 year | -12.13% | -9.10% | -3.03% |
Max Drawdown (3Y)Largest decline over 3 years | -15.83% | -18.90% | +3.07% |
Max Drawdown (5Y)Largest decline over 5 years | -38.99% | -25.43% | -13.56% |
Max Drawdown (10Y)Largest decline over 10 years | -46.05% | -33.92% | -12.13% |
Current DrawdownCurrent decline from peak | -3.89% | -3.21% | -0.68% |
Average DrawdownAverage peak-to-trough decline | -11.99% | -10.71% | -1.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.16% | 2.04% | +1.12% |
Volatility
FEP vs. ^GSPC - Volatility Comparison
First Trust Europe AlphaDEX Fund (FEP) has a higher volatility of 5.32% compared to S&P 500 Index (^GSPC) at 4.89%. This indicates that FEP's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FEP | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.32% | 4.89% | +0.43% |
Volatility (6M)Calculated over the trailing 6-month period | 14.58% | 9.93% | +4.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.18% | 12.57% | +4.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.72% | 17.00% | +2.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.33% | 18.08% | +2.25% |
Frequently Asked Questions
FEP and ^GSPC have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FEP has higher volatility (5.32%) compared to ^GSPC (4.89%). In terms of maximum drawdown, FEP dropped -46.05% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.78 vs 1.59), 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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