FEP vs. EZU

Last updated Jun 4, 2026

FEP (First Trust Europe AlphaDEX Fund) and EZU (iShares MSCI Eurozone ETF) are both Europe Equities funds - FEP tracks the Defined Europe Index while EZU tracks the MSCI EMU. Both are passively managed. Over the past 10 years, FEP returned 10.27%/yr vs 9.83%/yr for EZU. Their correlation of 0.85 suggests significant overlap in exposure. FEP charges 0.80%/yr vs 0.51%/yr for EZU.

Performance

FEP vs. EZU - Performance Comparison

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

Returns By Period

In the year-to-date period, FEP achieves a 9.99% return, which is significantly higher than EZU's 6.94% return. Both investments have delivered pretty close results over the past 10 years, with FEP having a 10.27% annualized return and EZU not far behind at 9.83%.

FEP

• 1D: -0.92%
• 1M: 3.14%
• YTD: 9.99%
• 6M: 15.27%
• 1Y: 30.19%
• 3Y*: 24.76%
• 5Y*: 9.41%
• 10Y*: 10.27%

EZU

• 1D: -1.14%
• 1M: 5.27%
• YTD: 6.94%
• 6M: 9.19%
• 1Y: 19.47%
• 3Y*: 18.15%
• 5Y*: 8.96%
• 10Y*: 9.83%

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

FEP vs. EZU - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FEP First Trust Europe AlphaDEX Fund	9.99%	55.72%	3.38%	16.85%	-22.97%	17.03%	4.12%	24.83%	-19.00%	36.27%
EZU iShares MSCI Eurozone ETF	6.94%	40.00%	2.23%	23.44%	-17.25%	13.92%	7.62%	23.27%	-16.76%	27.89%

Correlation

The correlation between FEP and EZU is 0.92, 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	0.92
Correlation (3Y) Calculated over the trailing 3-year period	0.91
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (10Y) Calculated over the trailing 10-year period	0.92
Correlation (All Time) Calculated using the full available price history since Apr 27, 2011	0.85

The correlation between FEP and EZU has been stable across timeframes, ranging from 0.85 to 0.93 - a consistent structural relationship.

FEP vs. EZU - Sectors Allocation Comparison

Sectors	FEP	EZU
Industrials	25.4%	21.3%
Basic Materials	11.3%	4.1%
Energy	11.0%	4.2%
Consumer Cyclical	10.7%	8.3%
Financial Services	9.8%	24.2%
Consumer Defensive	8.1%	5.6%
Utilities	7.1%	6.8%
Real Estate	5.2%	1.0%
Healthcare	4.8%	5.8%
Communication Services	3.7%	4.1%
Technology	3.0%	14.6%

Return for Risk

FEP vs. EZU — Risk / Return Rank

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

FEP

FEP Risk / Return Rank: 52
FEP Sharpe Ratio Rank: 53
FEP Sortino Ratio Rank: 50
FEP Omega Ratio Rank: 52
FEP Calmar Ratio Rank: 51
FEP Martin Ratio Rank: 56

EZU

EZU Risk / Return Rank: 32
EZU Sharpe Ratio Rank: 31
EZU Sortino Ratio Rank: 31
EZU Omega Ratio Rank: 30
EZU Calmar Ratio Rank: 30
EZU Martin Ratio Rank: 35

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. EZU - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Europe AlphaDEX Fund (FEP) and iShares MSCI Eurozone ETF (EZU). 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	EZU	Difference
Sharpe ratio Return per unit of total volatility	1.81	1.16	+0.66
Sortino ratio Return per unit of downside risk	2.48	1.70	+0.78
Omega ratio Gain probability vs. loss probability	1.32	1.21	+0.11
Calmar ratio Return relative to maximum drawdown	2.50	1.50	+1.00
Martin ratio Return relative to average drawdown	9.71	5.42	+4.29
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. EZU - Sharpe Ratio Comparison

The current FEP Sharpe Ratio is 1.81, which is higher than the EZU Sharpe Ratio of 1.16. The chart below compares the historical Sharpe Ratios of FEP and EZU, 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	EZU	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.81	1.16	+0.66
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.48	0.45	+0.03
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.48	+0.02
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.21	+0.13

Drawdowns

FEP vs. EZU - Drawdown Comparison

The maximum FEP drawdown since its inception was -46.05%, smaller than the maximum EZU drawdown of -65.32%. Use the drawdown chart below to compare losses from any high point for FEP and EZU.

Drawdown Indicators

	FEP	EZU	Difference
Max Drawdown Largest peak-to-trough decline	-46.05%	-65.32%	+19.27%
Max Drawdown (1Y) Largest decline over 1 year	-12.13%	-13.06%	+0.93%
Max Drawdown (3Y) Largest decline over 3 years	-15.83%	-15.02%	-0.81%
Max Drawdown (5Y) Largest decline over 5 years	-38.99%	-36.11%	-2.88%
Max Drawdown (10Y) Largest decline over 10 years	-46.05%	-41.37%	-4.68%
Current Drawdown Current decline from peak	-1.47%	-1.14%	-0.33%
Average Drawdown Average peak-to-trough decline	-12.02%	-19.24%	+7.22%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.12%	3.60%	-0.48%

Volatility

FEP vs. EZU - Volatility Comparison

The current volatility for First Trust Europe AlphaDEX Fund (FEP) is 5.75%, while iShares MSCI Eurozone ETF (EZU) has a volatility of 6.43%. This indicates that FEP experiences smaller price fluctuations and is considered to be less risky than EZU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FEP	EZU	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.75%	6.43%	-0.68%
Volatility (6M) Calculated over the trailing 6-month period	13.95%	14.12%	-0.17%
Volatility (1Y) Calculated over the trailing 1-year period	16.73%	16.91%	-0.18%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.67%	19.85%	-0.18%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.73%	20.49%	+0.24%

FEP vs. EZU - Expense Ratio Comparison

FEP has a 0.80% expense ratio, which is higher than EZU's 0.51% expense ratio.

Dividends

FEP vs. EZU - Dividend Comparison

FEP's dividend yield for the trailing twelve months is around 2.97%, more than EZU's 2.67% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EZU iShares MSCI Eurozone ETF	2.67%	2.85%	2.90%	2.56%	2.79%	2.46%	2.13%	2.84%	3.47%	1.91%	3.07%	2.18%
FEP First Trust Europe AlphaDEX Fund	2.97%	3.33%	4.94%	3.27%	3.00%	3.49%	2.32%	2.63%	2.62%	1.65%	2.14%	2.20%

Frequently Asked Questions

Can I hold both FEP and EZU in my portfolio?

With a correlation of 0.92, FEP and EZU move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, FEP or EZU?

EZU has higher volatility (6.43%) compared to FEP (5.75%). In terms of maximum drawdown, FEP dropped -46.05% vs EZU's -65.32%.

Which ETF is better, FEP or EZU?

On 10-year performance, FEP leads with 10.27% vs 9.83% for EZU. On fees, EZU is cheaper at 0.51% per year. On volatility, FEP has been the lower-risk option at 5.75%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FEP or EZU?

Over the 10-year period, FEP has performed better with a 10.27% return vs 9.83%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FEP or EZU?

EZU is cheaper with a 0.51% expense ratio, compared with 0.80% for FEP.

Which ETF pays a higher dividend yield, FEP or EZU?

FEP has the higher dividend yield at 2.97%, compared with 2.67% for EZU.

What is the main difference between FEP and EZU?

FEP tracks Defined Europe Index, while EZU tracks MSCI EMU. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.80% for FEP and 0.51% for EZU.

Which has better risk-adjusted returns?

FEP currently has the higher Sharpe Ratio (1.81 vs 1.16), 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.