FEP vs. IEUR
Compare and contrast key facts about First Trust Europe AlphaDEX Fund (FEP) and iShares Core MSCI Europe ETF (IEUR).
FEP and IEUR are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FEP is a passively managed fund by First Trust that tracks the performance of the Defined Europe Index. It was launched on Apr 26, 2011. IEUR is a passively managed fund by iShares that tracks the performance of the MSCI Europe Investable Market Index. It was launched on Jun 10, 2014. Both FEP and IEUR are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FEP or IEUR.
Key characteristics
| FEP | IEUR | |
|---|---|---|
| YTD Return | 4.68% | 3.10% |
| 1Y Return | 16.10% | 14.54% |
| 3Y Return (Ann) | -2.34% | 0.92% |
| 5Y Return (Ann) | 3.83% | 6.10% |
| 10Y Return (Ann) | 4.87% | 5.26% |
| Sharpe Ratio | 1.11 | 1.10 |
| Sortino Ratio | 1.55 | 1.59 |
| Omega Ratio | 1.19 | 1.19 |
| Calmar Ratio | 0.81 | 1.35 |
| Martin Ratio | 5.84 | 5.63 |
| Ulcer Index | 2.90% | 2.64% |
| Daily Std Dev | 15.25% | 13.48% |
| Max Drawdown | -46.05% | -36.96% |
| Current Drawdown | -8.20% | -9.62% |
Correlation
The correlation between FEP and IEUR is 0.94, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
FEP vs. IEUR - Performance Comparison
In the year-to-date period, FEP achieves a 4.68% return, which is significantly higher than IEUR's 3.10% return. Over the past 10 years, FEP has underperformed IEUR with an annualized return of 4.87%, while IEUR has yielded a comparatively higher 5.26% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FEP vs. IEUR - Expense Ratio Comparison
FEP has a 0.80% expense ratio, which is higher than IEUR's 0.09% expense ratio.
Risk-Adjusted Performance
FEP vs. IEUR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Europe AlphaDEX Fund (FEP) and iShares Core MSCI Europe ETF (IEUR). 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.
Dividends
FEP vs. IEUR - Dividend Comparison
FEP's dividend yield for the trailing twelve months is around 4.66%, more than IEUR's 3.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FEP First Trust Europe AlphaDEX Fund | 4.66% | 3.27% | 3.00% | 3.49% | 2.32% | 2.63% | 2.62% | 1.65% | 2.14% | 2.20% | 2.47% | 1.55% |
IEUR iShares Core MSCI Europe ETF | 3.17% | 3.17% | 3.05% | 2.87% | 2.13% | 3.26% | 3.76% | 2.64% | 3.19% | 2.79% | 0.64% | 0.00% |
Drawdowns
FEP vs. IEUR - Drawdown Comparison
The maximum FEP drawdown since its inception was -46.05%, which is greater than IEUR's maximum drawdown of -36.96%. Use the drawdown chart below to compare losses from any high point for FEP and IEUR. For additional features, visit the drawdowns tool.
Volatility
FEP vs. IEUR - Volatility Comparison
First Trust Europe AlphaDEX Fund (FEP) and iShares Core MSCI Europe ETF (IEUR) have volatilities of 4.68% and 4.64%, 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.