FEP vs. FEUZ

Last updated Jun 24, 2026

FEP (First Trust Europe AlphaDEX Fund) and FEUZ (First Trust Eurozone AlphaDEX ETF) are both Europe Equities funds from First Trust - FEP tracks the Defined Europe Index while FEUZ tracks the NASDAQ AlphaDEX Eurozone Index. Both are passively managed. Over the past 10 years, FEP returned 11.19%/yr vs 11.16%/yr for FEUZ. Their correlation of 0.83 suggests significant overlap in exposure. Both charge a 0.80% expense ratio.

Performance

FEP vs. FEUZ - Performance Comparison

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

Returns By Period

In the year-to-date period, FEP achieves a 7.28% return, which is significantly lower than FEUZ's 9.90% return. Both investments have delivered pretty close results over the past 10 years, with FEP having a 11.19% annualized return and FEUZ not far behind at 11.16%.

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%

FEUZ

• 1D: -0.72%
• 1M: -0.37%
• YTD: 9.90%
• 6M: 10.07%
• 1Y: 29.77%
• 3Y*: 23.49%
• 5Y*: 10.32%
• 10Y*: 11.16%

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

FEP vs. FEUZ - 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%
FEUZ First Trust Eurozone AlphaDEX ETF	9.90%	56.34%	1.64%	17.24%	-19.83%	11.93%	5.04%	22.06%	-20.61%	36.70%

Correlation

The correlation between FEP and FEUZ is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.95
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (10Y) Calculated over the trailing 10-year period	0.85
Correlation (All Time) Calculated using the full available price history since Oct 27, 2014	0.83

The correlation between FEP and FEUZ shifts across timeframes, from 0.83 (all time) to 0.95 (1 year), reflecting how their relationship changes across market environments.

FEP vs. FEUZ - Sectors Allocation Comparison

Sectors	FEP	FEUZ
Industrials	26.0%	28.1%
Basic Materials	11.6%	7.7%
Consumer Cyclical	11.1%	9.7%
Energy	10.2%	10.0%
Financial Services	10.0%	10.6%
Consumer Defensive	7.8%	5.2%
Utilities	6.8%	7.9%
Real Estate	5.0%	5.7%
Healthcare	4.7%	5.0%
Communication Services	3.6%	3.6%
Technology	3.2%	6.6%

Return for Risk

FEP vs. FEUZ — Risk / Return Rank

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

FEP

FEP Risk / Return Rank: 49
FEP Sharpe Ratio Rank: 49
FEP Sortino Ratio Rank: 48
FEP Omega Ratio Rank: 47
FEP Calmar Ratio Rank: 49
FEP Martin Ratio Rank: 53

FEUZ

FEUZ Risk / Return Rank: 53
FEUZ Sharpe Ratio Rank: 54
FEUZ Sortino Ratio Rank: 52
FEUZ Omega Ratio Rank: 52
FEUZ Calmar Ratio Rank: 52
FEUZ Martin Ratio Rank: 56

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. FEUZ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Europe AlphaDEX Fund (FEP) and First Trust Eurozone AlphaDEX ETF (FEUZ). 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	FEUZ	Difference
Sharpe ratio: Return per unit of total volatility	1.59	1.71	-0.11
Sortino ratio: Return per unit of downside risk	2.22	2.35	-0.13
Omega ratio: Gain probability vs. loss probability	1.29	1.30	-0.02
Calmar ratio: Return relative to maximum drawdown	2.25	2.39	-0.14
Martin ratio: Return relative to average drawdown	8.64	9.02	-0.38

FEP vs. FEUZ - Sharpe Ratio Comparison

The current FEP Sharpe Ratio is 1.59, which is comparable to the FEUZ Sharpe Ratio of 1.71. The chart below compares the historical Sharpe Ratios of FEP and FEUZ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FEP vs. FEUZ - Drawdown Comparison

The maximum FEP drawdown since its inception was -46.05%, roughly equal to the maximum FEUZ drawdown of -48.08%. Use the drawdown chart below to compare losses from any high point for FEP and FEUZ.

Drawdown Indicators

	FEP	FEUZ	Difference
Max Drawdown Largest peak-to-trough decline	-46.05%	-48.08%	+2.03%
Max Drawdown (1Y) Largest decline over 1 year	-12.13%	-12.49%	+0.36%
Max Drawdown (3Y) Largest decline over 3 years	-15.83%	-18.02%	+2.19%
Max Drawdown (5Y) Largest decline over 5 years	-38.99%	-38.64%	-0.35%
Max Drawdown (10Y) Largest decline over 10 years	-46.05%	-48.08%	+2.03%
Current Drawdown Current decline from peak	-3.89%	-2.62%	-1.27%
Average Drawdown Average peak-to-trough decline	-11.99%	-10.45%	-1.54%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.16%	3.31%	-0.15%

Volatility

FEP vs. FEUZ - Volatility Comparison

First Trust Europe AlphaDEX Fund (FEP) has a higher volatility of 5.32% compared to First Trust Eurozone AlphaDEX ETF (FEUZ) at 4.88%. This indicates that FEP's price experiences larger fluctuations and is considered to be riskier than FEUZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FEP	FEUZ	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.32%	4.88%	+0.44%
Volatility (6M) Calculated over the trailing 6-month period	14.58%	14.86%	-0.28%
Volatility (1Y) Calculated over the trailing 1-year period	17.18%	17.54%	-0.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.72%	21.99%	-2.27%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.33%	21.51%	-1.18%

FEP vs. FEUZ - Expense Ratio Comparison

Both FEP and FEUZ have an expense ratio of 0.80%.

Dividends

FEP vs. FEUZ - Dividend Comparison

FEP's dividend yield for the trailing twelve months is around 3.05%, more than FEUZ's 2.40% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FEP First Trust Europe AlphaDEX Fund	3.05%	3.33%	4.94%	3.27%	3.00%	3.49%	2.32%	2.63%	2.62%	1.65%	2.14%	2.20%
FEUZ First Trust Eurozone AlphaDEX ETF	2.40%	2.81%	2.01%	2.95%	3.14%	2.52%	1.46%	1.93%	2.46%	1.29%	2.12%	1.09%

Frequently Asked Questions

Can I hold both FEP and FEUZ in my portfolio?

With a correlation of 0.95, FEP and FEUZ 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 FEUZ?

FEP has higher volatility (5.32%) compared to FEUZ (4.88%). In terms of maximum drawdown, FEP dropped -46.05% vs FEUZ's -48.08%.

Which ETF is better, FEP or FEUZ?

On 10-year performance, FEP leads with 11.19% vs 11.16% for FEUZ. Both ETFs have the same 0.80% expense ratio. On volatility, FEUZ has been the lower-risk option at 4.88%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FEP or FEUZ?

Over the 10-year period, FEP has performed better with a 11.19% return vs 11.16%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FEP or FEUZ?

FEP and FEUZ have the same expense ratio: 0.80% per year.

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

FEP has the higher dividend yield at 3.05%, compared with 2.40% for FEUZ.

What is the main difference between FEP and FEUZ?

FEP tracks Defined Europe Index, while FEUZ tracks NASDAQ AlphaDEX Eurozone Index.

Which has better risk-adjusted returns?

FEUZ currently has the higher Sharpe Ratio (1.71 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.