FGM vs. HEZU

Last updated Jun 26, 2026

FGM (First Trust Germany AlphaDEX Fund) and HEZU (iShares Currency Hedged MSCI Eurozone ETF) are both Europe Equities funds - FGM tracks the NASDAQ AlphaDEX Germany Index while HEZU tracks the MSCI EMU 100% USD Hedged Index. Both are passively managed. Over the past 10 years, FGM returned 9.24%/yr vs 13.39%/yr for HEZU. A 0.73 correlation means they provide meaningful diversification when combined. FGM charges 0.80%/yr vs 0.52%/yr for HEZU.

Performance

FGM vs. HEZU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Germany AlphaDEX Fund (FGM) 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, FGM achieves a 3.68% return, which is significantly lower than HEZU's 13.40% return. Over the past 10 years, FGM has underperformed HEZU with an annualized return of 9.24%, while HEZU has yielded a comparatively higher 13.39% annualized return.

FGM

• 1D: 1.96%
• 1M: -2.58%
• YTD: 3.68%
• 6M: 4.40%
• 1Y: 18.51%
• 3Y*: 21.16%
• 5Y*: 4.72%
• 10Y*: 9.24%

HEZU

• 1D: 1.06%
• 1M: 3.04%
• YTD: 13.40%
• 6M: 13.42%
• 1Y: 26.69%
• 3Y*: 19.44%
• 5Y*: 12.98%
• 10Y*: 13.39%

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

FGM vs. HEZU - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FGM First Trust Germany AlphaDEX Fund	3.68%	63.60%	1.36%	13.28%	-30.46%	6.10%	17.26%	20.77%	-25.14%	44.28%
HEZU iShares Currency Hedged MSCI Eurozone ETF	13.40%	25.93%	10.63%	22.98%	-9.54%	23.51%	0.52%	29.48%	-10.23%	14.26%

Correlation

The correlation between FGM and HEZU is 0.76, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.76
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.73
Correlation (10Y) Calculated over the trailing 10-year period	0.74
Correlation (All Time) Calculated using the full available price history since Aug 7, 2014	0.73

The correlation between FGM and HEZU has been stable across timeframes, ranging from 0.73 to 0.76 - a consistent structural relationship.

FGM vs. HEZU - Sectors Allocation Comparison

Sectors	FGM	HEZU
Industrials	40.5%	21.0%
Consumer Cyclical	18.0%	8.4%
Real Estate	10.1%	0.9%
Basic Materials	8.5%	4.1%
Financial Services	8.3%	23.8%
Healthcare	6.3%	5.6%
Communication Services	3.2%	4.3%
Utilities	2.8%	6.4%
Consumer Defensive	2.3%	5.5%
Energy	-	3.9%
Technology	-	16.1%

Return for Risk

FGM vs. HEZU — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FGM

FGM Risk / Return Rank: 25
FGM Sharpe Ratio Rank: 26
FGM Sortino Ratio Rank: 26
FGM Omega Ratio Rank: 26
FGM Calmar Ratio Rank: 24
FGM Martin Ratio Rank: 25

HEZU

HEZU Risk / Return Rank: 60
HEZU Sharpe Ratio Rank: 59
HEZU Sortino Ratio Rank: 61
HEZU Omega Ratio Rank: 59
HEZU Calmar Ratio Rank: 57
HEZU Martin Ratio Rank: 61

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. HEZU - Risk-Adjusted Trends Comparison

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

	FGM	HEZU	Difference
Sharpe ratio: Return per unit of total volatility	0.89	1.73	-0.84
Sortino ratio: Return per unit of downside risk	1.35	2.49	-1.14
Omega ratio: Gain probability vs. loss probability	1.17	1.32	-0.15
Calmar ratio: Return relative to maximum drawdown	1.05	2.45	-1.40
Martin ratio: Return relative to average drawdown	3.11	9.61	-6.50

FGM vs. HEZU - Sharpe Ratio Comparison

The current FGM Sharpe Ratio is 0.89, which is lower than the HEZU Sharpe Ratio of 1.73. The chart below compares the historical Sharpe Ratios of FGM 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

FGM vs. HEZU - Drawdown Comparison

The maximum FGM drawdown since its inception was -51.58%, which is greater than HEZU's maximum drawdown of -38.80%. Use the drawdown chart below to compare losses from any high point for FGM and HEZU.

Drawdown Indicators

	FGM	HEZU	Difference
Max Drawdown Largest peak-to-trough decline	-51.58%	-38.80%	-12.78%
Max Drawdown (1Y) Largest decline over 1 year	-17.76%	-10.95%	-6.81%
Max Drawdown (3Y) Largest decline over 3 years	-17.93%	-14.83%	-3.10%
Max Drawdown (5Y) Largest decline over 5 years	-50.18%	-22.79%	-27.39%
Max Drawdown (10Y) Largest decline over 10 years	-51.58%	-38.80%	-12.78%
Current Drawdown Current decline from peak	-7.83%	-1.13%	-6.70%
Average Drawdown Average peak-to-trough decline	-14.71%	-5.81%	-8.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.97%	2.78%	+3.19%

Volatility

FGM vs. HEZU - Volatility Comparison

First Trust Germany AlphaDEX Fund (FGM) has a higher volatility of 5.88% compared to iShares Currency Hedged MSCI Eurozone ETF (HEZU) at 5.41%. This indicates that FGM's price experiences larger fluctuations and is considered to be riskier than HEZU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FGM	HEZU	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.88%	5.41%	+0.47%
Volatility (6M) Calculated over the trailing 6-month period	17.69%	13.26%	+4.43%
Volatility (1Y) Calculated over the trailing 1-year period	20.93%	15.55%	+5.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.56%	16.60%	+7.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.92%	18.17%	+4.75%

FGM vs. HEZU - Expense Ratio Comparison

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

Dividends

FGM vs. HEZU - Dividend Comparison

FGM's dividend yield for the trailing twelve months is around 1.97%, less than HEZU's 2.58% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FGM First Trust Germany AlphaDEX Fund	1.97%	0.66%	2.56%	2.82%	5.44%	1.43%	1.33%	2.30%	2.18%	2.11%	1.33%	1.13%
HEZU iShares Currency Hedged MSCI Eurozone ETF	2.58%	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 FGM and HEZU in my portfolio?

FGM and HEZU have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FGM or HEZU?

FGM has higher volatility (5.88%) compared to HEZU (5.41%). In terms of maximum drawdown, FGM dropped -51.58% vs HEZU's -38.80%.

Which ETF is better, FGM or HEZU?

On 10-year performance, HEZU leads with 13.39% vs 9.24% for FGM. On fees, HEZU is cheaper at 0.52% per year. On volatility, HEZU has been the lower-risk option at 5.41%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FGM or HEZU?

Over the 10-year period, HEZU has performed better with a 13.39% return vs 9.24%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FGM or HEZU?

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

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

HEZU has the higher dividend yield at 2.58%, compared with 1.97% for FGM.

What is the main difference between FGM and HEZU?

FGM tracks NASDAQ AlphaDEX Germany 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 FGM and 0.52% for HEZU.

Which has better risk-adjusted returns?

HEZU currently has the higher Sharpe Ratio (1.73 vs 0.89), 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.