FEP vs. HEZU

Last updated Jun 24, 2026

FEP (First Trust Europe AlphaDEX Fund) and HEZU (iShares Currency Hedged MSCI Eurozone ETF) are both Europe Equities funds - FEP tracks the Defined Europe Index while HEZU tracks the MSCI EMU 100% USD Hedged Index. Both are passively managed. Over the past 10 years, FEP returned 11.19%/yr vs 13.14%/yr for HEZU. A 0.79 correlation means they provide meaningful diversification when combined. FEP charges 0.80%/yr vs 0.52%/yr for HEZU.

Performance

FEP vs. HEZU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Europe AlphaDEX Fund (FEP) and iShares Currency Hedged MSCI Eurozone ETF (HEZU). 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 HEZU's 12.57% return. Over the past 10 years, FEP has underperformed HEZU with an annualized return of 11.19%, while HEZU has yielded a comparatively higher 13.14% 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%

HEZU

• 1D: -1.85%
• 1M: 3.67%
• YTD: 12.57%
• 6M: 12.77%
• 1Y: 25.57%
• 3Y*: 19.18%
• 5Y*: 12.84%
• 10Y*: 13.14%

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

FEP vs. HEZU - 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%
HEZU iShares Currency Hedged MSCI Eurozone ETF	12.57%	25.93%	10.63%	22.98%	-9.54%	23.51%	0.52%	29.48%	-10.23%	14.26%

Correlation

The correlation between FEP and HEZU is 0.82, 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	0.82
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (10Y) Calculated over the trailing 10-year period	0.81
Correlation (All Time) Calculated using the full available price history since Aug 7, 2014	0.79

The correlation between FEP and HEZU has been stable across timeframes, ranging from 0.79 to 0.82 - a consistent structural relationship.

FEP vs. HEZU - Sectors Allocation Comparison

Sectors	FEP	HEZU
Industrials	26.0%	21.0%
Basic Materials	11.6%	4.1%
Consumer Cyclical	11.1%	8.4%
Energy	10.2%	3.9%
Financial Services	10.0%	23.8%
Consumer Defensive	7.8%	5.5%
Utilities	6.8%	6.4%
Real Estate	5.0%	0.9%
Healthcare	4.7%	5.6%
Communication Services	3.6%	4.3%
Technology	3.2%	16.1%

Return for Risk

FEP vs. HEZU — 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

HEZU

HEZU Risk / Return Rank: 52
HEZU Sharpe Ratio Rank: 51
HEZU Sortino Ratio Rank: 52
HEZU Omega Ratio Rank: 50
HEZU Calmar Ratio Rank: 50
HEZU 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. HEZU - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Europe AlphaDEX Fund (FEP) and iShares Currency Hedged MSCI Eurozone ETF (HEZU). 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	HEZU	Difference
Sharpe ratio: Return per unit of total volatility	1.59	1.65	-0.06
Sortino ratio: Return per unit of downside risk	2.22	2.38	-0.16
Omega ratio: Gain probability vs. loss probability	1.29	1.30	-0.02
Calmar ratio: Return relative to maximum drawdown	2.25	2.34	-0.09
Martin ratio: Return relative to average drawdown	8.64	9.21	-0.57

FEP vs. HEZU - Sharpe Ratio Comparison

The current FEP Sharpe Ratio is 1.59, which is comparable to the HEZU Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of FEP and HEZU, 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. HEZU - Drawdown Comparison

The maximum FEP drawdown since its inception was -46.05%, which is greater than HEZU's maximum drawdown of -38.80%. Use the drawdown chart below to compare losses from any high point for FEP and HEZU.

Drawdown Indicators

	FEP	HEZU	Difference
Max Drawdown Largest peak-to-trough decline	-46.05%	-38.80%	-7.25%
Max Drawdown (1Y) Largest decline over 1 year	-12.13%	-10.95%	-1.18%
Max Drawdown (3Y) Largest decline over 3 years	-15.83%	-14.83%	-1.00%
Max Drawdown (5Y) Largest decline over 5 years	-38.99%	-22.79%	-16.20%
Max Drawdown (10Y) Largest decline over 10 years	-46.05%	-38.80%	-7.25%
Current Drawdown Current decline from peak	-3.89%	-1.85%	-2.04%
Average Drawdown Average peak-to-trough decline	-11.99%	-5.81%	-6.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.16%	2.78%	+0.38%

Volatility

FEP vs. HEZU - Volatility Comparison

First Trust Europe AlphaDEX Fund (FEP) and iShares Currency Hedged MSCI Eurozone ETF (HEZU) have volatilities of 5.32% and 5.46%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FEP	HEZU	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.32%	5.46%	-0.14%
Volatility (6M) Calculated over the trailing 6-month period	14.58%	13.22%	+1.36%
Volatility (1Y) Calculated over the trailing 1-year period	17.18%	15.56%	+1.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.72%	16.60%	+3.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.33%	18.18%	+2.15%

FEP vs. HEZU - Expense Ratio Comparison

FEP has a 0.80% expense ratio, which is higher than HEZU's 0.52% expense ratio.

Dividends

FEP vs. HEZU - Dividend Comparison

FEP's dividend yield for the trailing twelve months is around 3.05%, more than HEZU's 2.60% 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%
HEZU iShares Currency Hedged MSCI Eurozone ETF	2.60%	2.92%	2.77%	2.52%	23.26%	2.25%	2.32%	5.40%	3.48%	1.92%	3.11%	2.68%

Frequently Asked Questions

Can I hold both FEP and HEZU in my portfolio?

FEP and HEZU have a correlation of 0.82, 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 HEZU?

HEZU has higher volatility (5.46%) compared to FEP (5.32%). In terms of maximum drawdown, FEP dropped -46.05% vs HEZU's -38.80%.

Which ETF is better, FEP or HEZU?

On 10-year performance, HEZU leads with 13.14% vs 11.19% for FEP. On fees, HEZU is cheaper at 0.52% per year. On volatility, FEP has been the lower-risk option at 5.32%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FEP or HEZU?

Over the 10-year period, HEZU has performed better with a 13.14% return vs 11.19%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FEP or HEZU?

HEZU is cheaper with a 0.52% expense ratio, compared with 0.80% for FEP.

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

FEP has the higher dividend yield at 3.05%, compared with 2.60% for HEZU.

What is the main difference between FEP and HEZU?

FEP tracks Defined Europe Index, while HEZU tracks MSCI EMU 100% USD Hedged Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.80% for FEP and 0.52% for HEZU.

Which has better risk-adjusted returns?

HEZU currently has the higher Sharpe Ratio (1.65 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.