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FGM vs. IEUR
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FGM vs. IEUR

Last updated Aug 5, 2026
Documentation

FGM (First Trust Germany AlphaDEX Fund) and IEUR (iShares Core MSCI Europe ETF) are both Europe Equities funds - FGM tracks the NASDAQ AlphaDEX Germany Index while IEUR tracks the MSCI Europe Investable Market Index. Both are passively managed. Over the past 10 years, FGM returned 8.22%/yr vs 10.04%/yr for IEUR. Their correlation of 0.82 means they have usually moved in the same direction. FGM charges 0.80%/yr vs 0.09%/yr for IEUR.

Performance

FGM vs. IEUR - Performance Comparison

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

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Returns By Period

In the year-to-date period, FGM achieves a 4.28% return, which is significantly lower than IEUR's 11.85% return. Over the past 10 years, FGM has underperformed IEUR with an annualized return of 8.22%, while IEUR has yielded a comparatively higher 10.04% annualized return.

FGM

1D
0.67%
1M
-0.96%
6M
-4.27%
YTD
4.28%
1Y
17.05%
3Y*
20.57%
5Y*
4.93%
10Y*
8.22%
ALL TIME*
7.41%

IEUR

1D
1.01%
1M
2.53%
6M
6.50%
YTD
11.85%
1Y
23.81%
3Y*
17.70%
5Y*
9.07%
10Y*
10.04%
ALL TIME*
6.83%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

FGM

First Trust Germany AlphaDEX Fund
$71.07K$80.31K$242.50K

IEUR

iShares Core MSCI Europe ETF
$68.08M$56.67M$73.59M

FGM vs. IEUR - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FGM
First Trust Germany AlphaDEX Fund		4.28%63.60%1.36%13.28%-30.46%6.10%17.26%20.77%-25.14%44.28%
IEUR
iShares Core MSCI Europe ETF		11.85%35.67%1.40%19.71%-15.90%16.71%5.31%24.95%-14.86%26.70%

Correlation

The correlation between FGM and IEUR is 0.84, meaning they have usually moved in the same direction, including during past declines.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.84

Correlation (3Y)
Balances recent behavior with more history.

0.83

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.79

Correlation (10Y)
Provides a long-term view across more market conditions.

0.81

Correlation (All Time)
Calculated using the full available price history since Jun 12, 2014

0.82

The correlation between FGM and IEUR has been stable across timeframes, ranging from 0.79 to 0.84 - a consistent structural relationship.

FGM vs. IEUR - Sectors Allocation Comparison

Sectors
FGM
IEUR

Industrials

40.9%
19.2%

Consumer Cyclical

15.6%
6.7%

Real Estate

10.0%
1.5%

Financial Services

9.1%
24.0%

Basic Materials

8.4%
5.6%

Healthcare

7.8%
12.7%

Utilities

2.9%
4.3%

Communication Services

2.8%
3.3%

Consumer Defensive

2.6%
8.2%

Energy

-

4.9%

Technology

-

9.1%

Industrials

FGM
40.9%
IEUR
19.2%

Consumer Cyclical

FGM
15.6%
IEUR
6.7%

Real Estate

FGM
10.0%
IEUR
1.5%

Financial Services

FGM
9.1%
IEUR
24.0%

Basic Materials

FGM
8.4%
IEUR
5.6%

Healthcare

FGM
7.8%
IEUR
12.7%

Utilities

FGM
2.9%
IEUR
4.3%

Communication Services

FGM
2.8%
IEUR
3.3%

Consumer Defensive

FGM
2.6%
IEUR
8.2%

Energy

FGM

-

IEUR
4.9%

Technology

FGM

-

IEUR
9.1%

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 Core MSCI Europe ETF

Often compared with FGM:
FGM vs. EWGFGM vs. DAXFGM vs. FEUZFGM vs. FLGRFGM vs. KBWPFGM vs. EXS1.DEFGM vs. SHLD
Often compared with IEUR:
IEUR vs. VGKIEUR vs. IEVIEUR vs. FEZIEUR vs. IMEU.LIEUR vs. EZUIEUR vs. VOOIEUR vs. EFA

Return for Risk

FGM vs. IEUR — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
FGM
FGM Risk / Return Rank: 2929
Overall Rank
FGM Sharpe Ratio Rank: 3131
Sharpe Ratio Rank
FGM Sortino Ratio Rank: 3030
Sortino Ratio Rank
FGM Omega Ratio Rank: 3030
Omega Ratio Rank
FGM Calmar Ratio Rank: 2828
Calmar Ratio Rank
FGM Martin Ratio Rank: 2828
Martin Ratio Rank
IEUR
IEUR Risk / Return Rank: 5454
Overall Rank
IEUR Sharpe Ratio Rank: 5555
Sharpe Ratio Rank
IEUR Sortino Ratio Rank: 5757
Sortino Ratio Rank
IEUR Omega Ratio Rank: 5353
Omega Ratio Rank
IEUR Calmar Ratio Rank: 4949
Calmar Ratio Rank
IEUR Martin Ratio Rank: 5858
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

FGM vs. IEUR - Risk-Adjusted Trends Comparison

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

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.

FGMIEURDifference
Sharpe ratioReturn per unit of total volatility
0.82
1.52

-0.70

Sortino ratioReturn per unit of downside risk
1.25
2.20

-0.95

Omega ratioGain probability vs. loss probability

1.15

1.27

-0.11

Calmar ratioReturn relative to maximum drawdown

0.96

1.99

-1.02

Martin ratioReturn relative to average drawdown

2.59

7.64

-5.05

FGM vs. IEUR - Sharpe Ratio Comparison

The current FGM Sharpe Ratio is 0.82, which is lower than the IEUR Sharpe Ratio of 1.52. The chart below compares the historical Sharpe Ratios of FGM and IEUR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

FGM vs. IEUR - Drawdown Comparison

The maximum FGM drawdown since its inception was -51.58%, which is greater than IEUR's maximum drawdown of -36.96%. Use the drawdown chart below to compare losses from any high point for FGM and IEUR.

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Drawdown Indicators

FGMIEURDifference

Max Drawdown

Largest peak-to-trough decline

-51.58%

-36.96%

-14.62%

Max Drawdown (1Y)

Largest decline over 1 year

-17.76%

-12.04%

-5.72%

Max Drawdown (3Y)

Largest decline over 3 years

-17.76%

-14.25%

-3.51%

Max Drawdown (5Y)

Largest decline over 5 years

-50.18%

-32.75%

-17.43%

Max Drawdown (10Y)

Largest decline over 10 years

-51.58%

-36.96%

-14.62%

Current Drawdown

Current decline from peak

-7.30%

0.00%

-7.30%

Average Drawdown

Average peak-to-trough decline

-14.66%

-8.13%

-6.53%

Ulcer Index

Depth and duration of drawdowns from previous peaks

6.59%

3.12%

+3.47%

Volatility

FGM vs. IEUR - Volatility Comparison

First Trust Germany AlphaDEX Fund (FGM) has a higher volatility of 5.40% compared to iShares Core MSCI Europe ETF (IEUR) at 4.16%. This indicates that FGM's price experiences larger fluctuations and is considered to be riskier than IEUR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FGMIEURDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.40%

4.16%

+1.24%

Volatility (6M)

Calculated over the trailing 6-month period

17.98%

13.69%

+4.29%

Volatility (1Y)

Calculated over the trailing 1-year period

20.98%

15.78%

+5.20%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

24.64%

17.81%

+6.83%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

22.91%

18.23%

+4.68%

FGM vs. IEUR - Expense Ratio Comparison

FGM has a 0.80% expense ratio, which is higher than IEUR's 0.09% expense ratio.

Dividends

FGM vs. IEUR - Dividend Comparison

FGM's dividend yield for the trailing twelve months is around 1.37%, less than IEUR's 3.07% yield.

PositionTTM20252024202320222021202020192018201720162015
FGM
First Trust Germany AlphaDEX Fund		1.37%0.66%2.56%2.82%5.44%1.43%1.33%2.30%2.18%2.11%1.33%1.13%
IEUR
iShares Core MSCI Europe ETF		3.07%2.97%3.54%3.17%3.05%2.88%2.13%3.26%3.76%2.64%3.19%2.79%

Frequently Asked Questions

FGM and IEUR have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

FGM has higher volatility (5.40%) compared to IEUR (4.16%). In terms of maximum drawdown, FGM dropped -51.58% vs IEUR's -36.96%.

On 10-year performance, IEUR leads with 10.04% vs 8.22% for FGM. On fees, IEUR is cheaper at 0.09% per year. On volatility, IEUR has been the lower-risk option at 4.16%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, IEUR has performed better with a 10.04% return vs 8.22%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

IEUR is cheaper with a 0.09% expense ratio, compared with 0.80% for FGM.

IEUR has the higher dividend yield at 3.07%, compared with 1.37% for FGM.

FGM tracks NASDAQ AlphaDEX Germany Index, while IEUR tracks MSCI Europe Investable Market Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.80% for FGM and 0.09% for IEUR.

IEUR currently has the higher Sharpe Ratio (1.52 vs 0.82), 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.

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