FEP vs. VGK
Compare and contrast key facts about First Trust Europe AlphaDEX Fund (FEP) and Vanguard FTSE Europe ETF (VGK).
FEP and VGK 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. VGK is a passively managed fund by Vanguard that tracks the performance of the FTSE Developed Europe Index. It was launched on Mar 4, 2005. Both FEP and VGK 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 VGK.
Key characteristics
| FEP | VGK | |
|---|---|---|
| YTD Return | 4.34% | 2.78% |
| 1Y Return | 12.37% | 10.87% |
| 3Y Return (Ann) | -2.45% | 0.97% |
| 5Y Return (Ann) | 3.60% | 5.99% |
| 10Y Return (Ann) | 4.84% | 5.17% |
| Sharpe Ratio | 1.03 | 1.05 |
| Sortino Ratio | 1.45 | 1.52 |
| Omega Ratio | 1.18 | 1.18 |
| Calmar Ratio | 0.83 | 1.46 |
| Martin Ratio | 5.34 | 5.30 |
| Ulcer Index | 2.94% | 2.67% |
| Daily Std Dev | 15.24% | 13.51% |
| Max Drawdown | -46.05% | -63.61% |
| Current Drawdown | -8.50% | -9.70% |
Correlation
The correlation between FEP and VGK is 0.86, 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. VGK - Performance Comparison
In the year-to-date period, FEP achieves a 4.34% return, which is significantly higher than VGK's 2.78% return. Over the past 10 years, FEP has underperformed VGK with an annualized return of 4.84%, while VGK has yielded a comparatively higher 5.17% 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. VGK - Expense Ratio Comparison
FEP has a 0.80% expense ratio, which is higher than VGK's 0.08% expense ratio.
Risk-Adjusted Performance
FEP vs. VGK - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Europe AlphaDEX Fund (FEP) and Vanguard FTSE Europe ETF (VGK). 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. VGK - Dividend Comparison
FEP's dividend yield for the trailing twelve months is around 4.67%, more than VGK's 3.13% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FEP First Trust Europe AlphaDEX Fund | 4.67% | 3.27% | 3.00% | 3.49% | 2.32% | 2.63% | 2.62% | 1.65% | 2.14% | 2.20% | 2.47% | 1.55% |
VGK Vanguard FTSE Europe ETF | 3.13% | 3.15% | 3.25% | 3.05% | 2.11% | 3.27% | 3.95% | 2.70% | 3.52% | 3.25% | 4.62% | 2.77% |
Drawdowns
FEP vs. VGK - Drawdown Comparison
The maximum FEP drawdown since its inception was -46.05%, smaller than the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for FEP and VGK. For additional features, visit the drawdowns tool.
Volatility
FEP vs. VGK - Volatility Comparison
First Trust Europe AlphaDEX Fund (FEP) has a higher volatility of 4.67% compared to Vanguard FTSE Europe ETF (VGK) at 4.38%. This indicates that FEP's price experiences larger fluctuations and is considered to be riskier than VGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.