FEP vs. ^GSPC

Last updated Jun 3, 2026

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 10.37%/yr vs 13.75%/yr for ^GSPC. A 0.67 correlation means they provide meaningful diversification when combined.

Performance

FEP vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Europe AlphaDEX Fund (FEP) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with FEP having a 11.01% return and ^GSPC slightly higher at 11.16%. Over the past 10 years, FEP has underperformed ^GSPC with an annualized return of 10.37%, while ^GSPC has yielded a comparatively higher 13.75% annualized return.

FEP

• 1D: 0.44%
• 1M: 2.53%
• YTD: 11.01%
• 6M: 16.91%
• 1Y: 30.38%
• 3Y*: 25.14%
• 5Y*: 9.81%
• 10Y*: 10.37%

^GSPC

• 1D: 0.13%
• 1M: 5.25%
• YTD: 11.16%
• 6M: 11.43%
• 1Y: 28.20%
• 3Y*: 21.12%
• 5Y*: 12.66%
• 10Y*: 13.75%

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

FEP vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FEP First Trust Europe AlphaDEX Fund	11.01%	55.72%	3.38%	16.85%	-22.97%	17.03%	4.12%	24.83%	-19.00%	36.27%
^GSPC S&P 500 Index	11.16%	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 0.70, 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	0.70
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 27, 2011	0.67

The correlation between FEP and ^GSPC has been stable across timeframes, ranging from 0.62 to 0.70 - a consistent structural relationship.

Return for Risk

FEP vs. ^GSPC — Risk / Return Rank

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

FEP

FEP Risk / Return Rank: 53
FEP Sharpe Ratio Rank: 52
FEP Sortino Ratio Rank: 51
FEP Omega Ratio Rank: 52
FEP Calmar Ratio Rank: 53
FEP Martin Ratio Rank: 58

^GSPC

^GSPC Risk / Return Rank: 79
^GSPC Sharpe Ratio Rank: 76
^GSPC Sortino Ratio Rank: 76
^GSPC Omega Ratio Rank: 77
^GSPC Calmar Ratio Rank: 79
^GSPC Martin Ratio Rank: 88

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.

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.

	FEP	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	1.83	2.39	-0.56
Sortino ratio Return per unit of downside risk	2.50	3.25	-0.76
Omega ratio Gain probability vs. loss probability	1.32	1.43	-0.11
Calmar ratio Return relative to maximum drawdown	2.68	3.16	-0.48
Martin ratio Return relative to average drawdown	10.42	14.61	-4.19
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FEP vs. ^GSPC - Sharpe Ratio Comparison

The current FEP Sharpe Ratio is 1.83, which is comparable to the ^GSPC Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of FEP and ^GSPC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FEP	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.83	2.39	-0.56
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.50	0.75	-0.25
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.76	-0.26
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.47	-0.14

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.

Drawdown Indicators

	FEP	^GSPC	Difference
Max Drawdown Largest 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 Drawdown Current decline from peak	-0.55%	0.00%	-0.55%
Average Drawdown Average peak-to-trough decline	-12.03%	-10.72%	-1.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.11%	1.97%	+1.14%

Volatility

FEP vs. ^GSPC - Volatility Comparison

First Trust Europe AlphaDEX Fund (FEP) has a higher volatility of 5.90% compared to S&P 500 Index (^GSPC) at 2.84%. 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.

Volatility by Period

	FEP	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.90%	2.84%	+3.06%
Volatility (6M) Calculated over the trailing 6-month period	13.92%	8.98%	+4.94%
Volatility (1Y) Calculated over the trailing 1-year period	16.77%	11.87%	+4.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.67%	16.90%	+2.77%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.73%	18.07%	+2.66%

Frequently Asked Questions

Can I hold both FEP and ^GSPC in my portfolio?

FEP and ^GSPC have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FEP or ^GSPC?

FEP has higher volatility (5.90%) compared to ^GSPC (2.84%). In terms of maximum drawdown, FEP dropped -46.05% vs ^GSPC's -56.78%.

Which has better risk-adjusted returns?

^GSPC currently has the higher Sharpe Ratio (2.39 vs 1.83), 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.