FEP vs. FSZ
FEP (First Trust Europe AlphaDEX Fund) and FSZ (First Trust Switzerland AlphaDEX Fund) are both Europe Equities funds from First Trust - FEP tracks the Defined Europe Index while FSZ tracks the NASDAQ AlphaDEX Switzerland Index. Both are passively managed. Over the past 10 years, FEP returned 11.34%/yr vs 10.26%/yr for FSZ. A 0.73 correlation means they provide meaningful diversification when combined. Both charge a 0.80% expense ratio.
Performance
FEP vs. FSZ - Performance Comparison
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Returns By Period
In the year-to-date period, FEP achieves a 8.79% return, which is significantly higher than FSZ's 2.58% return. Over the past 10 years, FEP has outperformed FSZ with an annualized return of 11.34%, while FSZ has yielded a comparatively lower 10.26% annualized return.
FEP
- 1D
- 0.59%
- 1M
- -0.66%
- YTD
- 8.79%
- 6M
- 9.16%
- 1Y
- 30.45%
- 3Y*
- 24.42%
- 5Y*
- 10.01%
- 10Y*
- 11.34%
FSZ
- 1D
- -0.54%
- 1M
- 0.11%
- YTD
- 2.58%
- 6M
- 2.21%
- 1Y
- 13.06%
- 3Y*
- 13.19%
- 5Y*
- 6.33%
- 10Y*
- 10.26%
FEP vs. FSZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FEP First Trust Europe AlphaDEX Fund | 8.79% | 55.72% | 3.38% | 16.85% | -22.97% | 17.03% | 4.12% | 24.83% | -19.00% | 36.27% |
FSZ First Trust Switzerland AlphaDEX Fund | 2.58% | 30.10% | -1.85% | 21.30% | -20.12% | 20.18% | 13.83% | 25.88% | -15.22% | 31.30% |
Correlation
The correlation between FEP and FSZ is 0.76, 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 | 0.76 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.72 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.73 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.76 |
Correlation (All Time) Calculated using the full available price history since Feb 16, 2012 | 0.73 |
The correlation between FEP and FSZ has been stable across timeframes, ranging from 0.72 to 0.76 - a consistent structural relationship.
FEP vs. FSZ - Sectors Allocation Comparison
Sectors
FEP
FSZ
Industrials
Basic Materials
Consumer Cyclical
Energy
-
Financial Services
Consumer Defensive
Utilities
Real Estate
Healthcare
Communication Services
Technology
Industrials
FEP
FSZ
Basic Materials
FEP
FSZ
Consumer Cyclical
FEP
FSZ
Energy
FEP
FSZ
-
Financial Services
FEP
FSZ
Consumer Defensive
FEP
FSZ
Utilities
FEP
FSZ
Real Estate
FEP
FSZ
Healthcare
FEP
FSZ
Communication Services
FEP
FSZ
Technology
FEP
FSZ
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Return for Risk
FEP vs. FSZ — Risk / Return Rank
FEP
FSZ
FEP vs. FSZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Europe AlphaDEX Fund (FEP) and First Trust Switzerland AlphaDEX Fund (FSZ). 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 | FSZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.87 | ||
| Sortino ratioReturn per unit of downside risk | +1.05 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.16 | +0.15 |
| Calmar ratioReturn relative to maximum drawdown | 2.52 | 1.26 | +1.26 |
| Martin ratioReturn relative to average drawdown | 9.69 | 3.09 | +6.60 |
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Drawdowns
FEP vs. FSZ - Drawdown Comparison
The maximum FEP drawdown since its inception was -46.05%, which is greater than FSZ's maximum drawdown of -33.97%. Use the drawdown chart below to compare losses from any high point for FEP and FSZ.
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Drawdown Indicators
| FEP | FSZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -46.05% | -33.97% | -12.08% |
Max Drawdown (1Y)Largest decline over 1 year | -12.13% | -10.39% | -1.74% |
Max Drawdown (3Y)Largest decline over 3 years | -15.83% | -13.93% | -1.90% |
Max Drawdown (5Y)Largest decline over 5 years | -38.99% | -33.96% | -5.03% |
Max Drawdown (10Y)Largest decline over 10 years | -46.05% | -33.97% | -12.08% |
Current DrawdownCurrent decline from peak | -2.54% | -4.61% | +2.07% |
Average DrawdownAverage peak-to-trough decline | -11.99% | -6.99% | -5.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.15% | 4.23% | -1.08% |
Volatility
FEP vs. FSZ - Volatility Comparison
First Trust Europe AlphaDEX Fund (FEP) has a higher volatility of 5.21% compared to First Trust Switzerland AlphaDEX Fund (FSZ) at 4.07%. This indicates that FEP's price experiences larger fluctuations and is considered to be riskier than FSZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FEP | FSZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.21% | 4.07% | +1.14% |
Volatility (6M)Calculated over the trailing 6-month period | 14.52% | 11.11% | +3.41% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.15% | 14.37% | +2.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.72% | 19.36% | +0.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.68% | 18.91% | +1.77% |
FEP vs. FSZ - Expense Ratio Comparison
Both FEP and FSZ have an expense ratio of 0.80%.
Dividends
FEP vs. FSZ - Dividend Comparison
FEP's dividend yield for the trailing twelve months is around 3.01%, more than FSZ's 2.38% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FEP First Trust Europe AlphaDEX Fund | 3.01% | 3.33% | 4.94% | 3.27% | 3.00% | 3.49% | 2.32% | 2.63% | 2.62% | 1.65% | 2.14% | 2.20% |
FSZ First Trust Switzerland AlphaDEX Fund | 2.38% | 1.80% | 1.80% | 2.11% | 3.50% | 1.62% | 1.53% | 2.01% | 2.29% | 1.49% | 1.93% | 1.08% |
Frequently Asked Questions
FEP and FSZ have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FEP has higher volatility (5.21%) compared to FSZ (4.07%). In terms of maximum drawdown, FEP dropped -46.05% vs FSZ's -33.97%.
On 10-year performance, FEP leads with 11.34% vs 10.26% for FSZ. Both ETFs have the same 0.80% expense ratio. On volatility, FSZ has been the lower-risk option at 4.07%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FEP has performed better with a 11.34% return vs 10.26%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FEP and FSZ have the same expense ratio: 0.80% per year.
FEP has the higher dividend yield at 3.01%, compared with 2.38% for FSZ.
FEP tracks Defined Europe Index, while FSZ tracks NASDAQ AlphaDEX Switzerland Index.
FEP currently has the higher Sharpe Ratio (1.79 vs 0.91), 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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