PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
FGM vs. EWG
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FGM vs. EWG

Last updated Jun 4, 2026

FGM (First Trust Germany AlphaDEX Fund) and EWG (iShares MSCI Germany ETF) are both Europe Equities funds - FGM tracks the NASDAQ AlphaDEX Germany Index while EWG tracks the MSCI Germany Index. Both are passively managed. Over the past 10 years, FGM returned 8.09%/yr vs 7.59%/yr for EWG. Their correlation of 0.84 suggests significant overlap in exposure. FGM charges 0.80%/yr vs 0.49%/yr for EWG.

Performance

FGM vs. EWG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Germany AlphaDEX Fund (FGM) and iShares MSCI Germany ETF (EWG). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, FGM achieves a 4.13% return, which is significantly higher than EWG's 0.64% return. Over the past 10 years, FGM has outperformed EWG with an annualized return of 8.09%, while EWG has yielded a comparatively lower 7.59% annualized return.

FGM

1D
-1.22%
1M
2.88%
YTD
4.13%
6M
9.75%
1Y
19.41%
3Y*
22.05%
5Y*
4.19%
10Y*
8.09%

EWG

1D
-1.84%
1M
3.11%
YTD
0.64%
6M
4.44%
1Y
3.23%
3Y*
16.95%
5Y*
5.94%
10Y*
7.59%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FGM vs. EWG - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FGM
First Trust Germany AlphaDEX Fund		4.13%63.60%1.36%13.28%-30.46%6.10%17.26%20.77%-25.14%44.28%
EWG
iShares MSCI Germany ETF		0.64%35.79%9.79%23.35%-22.27%5.84%10.09%19.15%-21.40%27.42%

Correlation

The correlation between FGM and EWG is 0.85, 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

0.85

Correlation (3Y)
Calculated over the trailing 3-year period

0.86

Correlation (5Y)
Calculated over the trailing 5-year period

0.82

Correlation (10Y)
Calculated over the trailing 10-year period

0.85

Correlation (All Time)
Calculated using the full available price history since Feb 21, 2012

0.84

The correlation between FGM and EWG has been stable across timeframes, ranging from 0.82 to 0.86 - a consistent structural relationship.

FGM vs. EWG - Sectors Allocation Comparison

Sectors
FGM
EWG

Industrials

40.5%
30.3%

Consumer Cyclical

16.6%
8.2%

Real Estate

10.8%
1.3%

Basic Materials

9.0%
5.8%

Financial Services

8.2%
21.6%

Healthcare

6.4%
6.1%

Communication Services

3.2%
6.6%

Utilities

3.2%
4.9%

Consumer Defensive

2.2%
1.4%

Energy

-

-

Technology

-

13.8%

Industrials

FGM
40.5%
EWG
30.3%

Consumer Cyclical

FGM
16.6%
EWG
8.2%

Real Estate

FGM
10.8%
EWG
1.3%

Basic Materials

FGM
9.0%
EWG
5.8%

Financial Services

FGM
8.2%
EWG
21.6%

Healthcare

FGM
6.4%
EWG
6.1%

Communication Services

FGM
3.2%
EWG
6.6%

Utilities

FGM
3.2%
EWG
4.9%

Consumer Defensive

FGM
2.2%
EWG
1.4%

Energy

FGM

-

EWG

-

Technology

FGM

-

EWG
13.8%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

First Trust Germany AlphaDEX Fund

iShares MSCI Germany ETF

Often compared with FGM:
FGM vs. DAXFGM vs. FEUZFGM vs. FLGRFGM vs. EXS1.DEFGM vs. KBWPFGM vs. SHLDFGM vs. SPY
Often compared with EWG:
EWG vs. EWQEWG vs. EWPEWG vs. SPYEWG vs. IEUREWG vs. FLGREWG vs. EFAEWG vs. VOO

Return for Risk

FGM vs. EWG — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FGM
FGM Risk / Return Rank: 2525
Overall Rank
FGM Sharpe Ratio Rank: 2626
Sharpe Ratio Rank
FGM Sortino Ratio Rank: 2626
Sortino Ratio Rank
FGM Omega Ratio Rank: 2626
Omega Ratio Rank
FGM Calmar Ratio Rank: 2323
Calmar Ratio Rank
FGM Martin Ratio Rank: 2626
Martin Ratio Rank
EWG
EWG Risk / Return Rank: 1111
Overall Rank
EWG Sharpe Ratio Rank: 1111
Sharpe Ratio Rank
EWG Sortino Ratio Rank: 1111
Sortino Ratio Rank
EWG Omega Ratio Rank: 1111
Omega Ratio Rank
EWG Calmar Ratio Rank: 1111
Calmar Ratio Rank
EWG Martin Ratio Rank: 1212
Martin Ratio Rank
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.

FGM vs. EWG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Germany AlphaDEX Fund (FGM) and iShares MSCI Germany ETF (EWG). 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.

FGMEWGDifference
Sharpe ratioReturn per unit of total volatility
0.95
0.19

+0.76

Sortino ratioReturn per unit of downside risk
1.42
0.38

+1.04

Omega ratioGain probability vs. loss probability

1.18

1.05

+0.13

Calmar ratioReturn relative to maximum drawdown

1.10

0.22

+0.87

Martin ratioReturn relative to average drawdown

3.48

0.66

+2.82

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FGM vs. EWG - Sharpe Ratio Comparison

The current FGM Sharpe Ratio is 0.95, which is higher than the EWG Sharpe Ratio of 0.19. The chart below compares the historical Sharpe Ratios of FGM and EWG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Sharpe Ratios by Period

FGMEWGDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.95

0.19

+0.76

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.17

0.29

-0.12

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.35

0.36

-0.01

Sharpe Ratio (All Time)

Calculated using the full available price history

0.34

0.25

+0.10

Drawdowns

FGM vs. EWG - Drawdown Comparison

The maximum FGM drawdown since its inception was -51.58%, smaller than the maximum EWG drawdown of -67.57%. Use the drawdown chart below to compare losses from any high point for FGM and EWG.

Loading charts...

Drawdown Indicators

FGMEWGDifference

Max Drawdown

Largest peak-to-trough decline

-51.58%

-67.57%

+15.99%

Max Drawdown (1Y)

Largest decline over 1 year

-17.76%

-14.54%

-3.22%

Max Drawdown (3Y)

Largest decline over 3 years

-17.93%

-15.81%

-2.12%

Max Drawdown (5Y)

Largest decline over 5 years

-51.07%

-43.44%

-7.63%

Max Drawdown (10Y)

Largest decline over 10 years

-51.58%

-46.80%

-4.78%

Current Drawdown

Current decline from peak

-7.43%

-4.02%

-3.41%

Average Drawdown

Average peak-to-trough decline

-14.74%

-19.20%

+4.46%

Ulcer Index

Depth and duration of drawdowns from previous peaks

5.59%

4.89%

+0.70%

Volatility

FGM vs. EWG - Volatility Comparison

First Trust Germany AlphaDEX Fund (FGM) has a higher volatility of 7.14% compared to iShares MSCI Germany ETF (EWG) at 6.49%. This indicates that FGM's price experiences larger fluctuations and is considered to be riskier than EWG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

FGMEWGDifference

Volatility (1M)

Calculated over the trailing 1-month period

7.14%

6.49%

+0.65%

Volatility (6M)

Calculated over the trailing 6-month period

17.09%

14.18%

+2.91%

Volatility (1Y)

Calculated over the trailing 1-year period

20.51%

17.28%

+3.23%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

24.48%

20.48%

+4.00%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.11%

21.11%

+2.00%

FGM vs. EWG - Expense Ratio Comparison

FGM has a 0.80% expense ratio, which is higher than EWG's 0.49% expense ratio.

Dividends

FGM vs. EWG - Dividend Comparison

FGM's dividend yield for the trailing twelve months is around 0.64%, less than EWG's 1.59% yield.

PositionTTM20252024202320222021202020192018201720162015
EWG
iShares MSCI Germany ETF		1.59%1.60%2.38%2.56%3.24%2.70%1.67%2.51%2.93%2.06%2.35%1.93%
FGM
First Trust Germany AlphaDEX Fund		0.64%0.66%2.56%2.82%5.44%1.43%1.33%2.30%2.18%2.11%1.33%1.13%

Frequently Asked Questions

FGM and EWG have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

FGM has higher volatility (7.14%) compared to EWG (6.49%). In terms of maximum drawdown, FGM dropped -51.58% vs EWG's -67.57%.

On 10-year performance, FGM leads with 8.09% vs 7.59% for EWG. On fees, EWG is cheaper at 0.49% per year. On volatility, EWG has been the lower-risk option at 6.49%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, FGM has performed better with a 8.09% return vs 7.59%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

EWG is cheaper with a 0.49% expense ratio, compared with 0.80% for FGM.

EWG has the higher dividend yield at 1.59%, compared with 0.64% for FGM.

FGM tracks NASDAQ AlphaDEX Germany Index, while EWG tracks MSCI Germany Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.80% for FGM and 0.49% for EWG.

FGM currently has the higher Sharpe Ratio (0.95 vs 0.19), 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.

Portfolio Optimizer

Find the right allocation for FGM and EWG

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer