FGM vs. EWG
Compare and contrast key facts about First Trust Germany AlphaDEX Fund (FGM) and iShares MSCI Germany ETF (EWG).
FGM and EWG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FGM is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX Germany Index. It was launched on Feb 14, 2012. EWG is a passively managed fund by iShares that tracks the performance of the MSCI Germany Index. It was launched on Mar 12, 1996. Both FGM and EWG 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: FGM or EWG.
Performance
FGM vs. EWG - Performance Comparison
Returns By Period
In the year-to-date period, FGM achieves a 0.79% return, which is significantly lower than EWG's 8.96% return. Over the past 10 years, FGM has underperformed EWG with an annualized return of 2.97%, while EWG has yielded a comparatively higher 3.83% annualized return.
FGM
0.79%
-2.43%
-4.32%
8.08%
0.32%
2.97%
EWG
8.96%
-5.34%
-0.21%
15.59%
4.37%
3.83%
Key characteristics
| FGM | EWG | |
|---|---|---|
| Sharpe Ratio | 0.72 | 1.21 |
| Sortino Ratio | 1.10 | 1.71 |
| Omega Ratio | 1.13 | 1.21 |
| Calmar Ratio | 0.33 | 0.99 |
| Martin Ratio | 2.77 | 6.16 |
| Ulcer Index | 4.40% | 2.86% |
| Daily Std Dev | 16.71% | 14.59% |
| Max Drawdown | -51.58% | -67.58% |
| Current Drawdown | -28.89% | -6.93% |
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FGM vs. EWG - Expense Ratio Comparison
FGM has a 0.80% expense ratio, which is higher than EWG's 0.49% expense ratio.
Correlation
The correlation between FGM and EWG is 0.83, 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.
Risk-Adjusted Performance
FGM vs. EWG - Risk-Adjusted Performance 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.
Dividends
FGM vs. EWG - Dividend Comparison
FGM's dividend yield for the trailing twelve months is around 3.53%, more than EWG's 2.41% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FGM First Trust Germany AlphaDEX Fund | 3.53% | 2.82% | 5.44% | 1.43% | 1.33% | 2.30% | 2.18% | 2.11% | 1.33% | 1.13% | 1.92% | 1.56% |
EWG iShares MSCI Germany ETF | 2.41% | 2.56% | 3.24% | 2.70% | 2.10% | 2.51% | 2.93% | 2.06% | 2.35% | 1.93% | 2.30% | 1.37% |
Drawdowns
FGM vs. EWG - Drawdown Comparison
The maximum FGM drawdown since its inception was -51.58%, smaller than the maximum EWG drawdown of -67.58%. Use the drawdown chart below to compare losses from any high point for FGM and EWG. For additional features, visit the drawdowns tool.
Volatility
FGM vs. EWG - Volatility Comparison
The current volatility for First Trust Germany AlphaDEX Fund (FGM) is 5.40%, while iShares MSCI Germany ETF (EWG) has a volatility of 5.71%. This indicates that FGM experiences smaller price fluctuations and is considered to be less risky than EWG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.