FGM vs. SPY

Last updated Jun 3, 2026

FGM (First Trust Germany AlphaDEX Fund) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - FGM is a Europe Equities fund tracking the NASDAQ AlphaDEX Germany Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, FGM returned 8.23%/yr vs 15.57%/yr for SPY. A 0.60 correlation means they provide meaningful diversification when combined. FGM charges 0.80%/yr vs 0.09%/yr for SPY.

Performance

FGM vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Germany AlphaDEX Fund (FGM) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FGM achieves a 5.41% return, which is significantly lower than SPY's 11.69% return. Over the past 10 years, FGM has underperformed SPY with an annualized return of 8.23%, while SPY has yielded a comparatively higher 15.57% annualized return.

FGM

• 1D: -0.34%
• 1M: 1.89%
• YTD: 5.41%
• 6M: 11.62%
• 1Y: 20.28%
• 3Y*: 22.55%
• 5Y*: 4.66%
• 10Y*: 8.23%

SPY

• 1D: 0.14%
• 1M: 5.40%
• YTD: 11.69%
• 6M: 12.09%
• 1Y: 29.62%
• 3Y*: 22.64%
• 5Y*: 14.20%
• 10Y*: 15.57%

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

FGM vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FGM First Trust Germany AlphaDEX Fund	5.41%	63.60%	1.36%	13.28%	-30.46%	6.10%	17.26%	20.77%	-25.14%	44.28%
SPY State Street SPDR S&P 500 ETF	11.69%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between FGM and SPY is 0.64, 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	0.64
Correlation (3Y) Calculated over the trailing 3-year period	0.57
Correlation (5Y) Calculated over the trailing 5-year period	0.56
Correlation (10Y) Calculated over the trailing 10-year period	0.59
Correlation (All Time) Calculated using the full available price history since Feb 21, 2012	0.60

The correlation between FGM and SPY has been stable across timeframes, ranging from 0.56 to 0.64 - a consistent structural relationship.

FGM vs. SPY - Sectors Allocation Comparison

Sectors	FGM	SPY
Industrials	40.5%	7.8%
Consumer Cyclical	16.6%	10.3%
Real Estate	10.8%	1.9%
Basic Materials	9.0%	1.8%
Financial Services	8.2%	11.8%
Healthcare	6.4%	8.4%
Communication Services	3.2%	11.3%
Utilities	3.2%	2.4%
Consumer Defensive	2.2%	4.8%
Energy	-	3.6%
Technology	-	35.9%

Return for Risk

FGM vs. SPY — Risk / Return Rank

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

FGM

FGM Risk / Return Rank: 27
FGM Sharpe Ratio Rank: 27
FGM Sortino Ratio Rank: 28
FGM Omega Ratio Rank: 27
FGM Calmar Ratio Rank: 24
FGM Martin Ratio Rank: 26

SPY

SPY Risk / Return Rank: 75
SPY Sharpe Ratio Rank: 77
SPY Sortino Ratio Rank: 75
SPY Omega Ratio Rank: 76
SPY Calmar Ratio Rank: 68
SPY Martin Ratio Rank: 80

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. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Germany AlphaDEX Fund (FGM) and State Street SPDR S&P 500 ETF (SPY). 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.

	FGM	SPY	Difference
Sharpe ratio Return per unit of total volatility	1.00	2.52	-1.53
Sortino ratio Return per unit of downside risk	1.48	3.42	-1.94
Omega ratio Gain probability vs. loss probability	1.18	1.46	-0.27
Calmar ratio Return relative to maximum drawdown	1.18	3.42	-2.24
Martin ratio Return relative to average drawdown	3.76	15.93	-12.17
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. SPY - Sharpe Ratio Comparison

The current FGM Sharpe Ratio is 1.00, which is lower than the SPY Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of FGM and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FGM	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.00	2.52	-1.53
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.19	0.84	-0.65
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.36	0.87	-0.51
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	0.59	-0.24

Drawdowns

FGM vs. SPY - Drawdown Comparison

The maximum FGM drawdown since its inception was -51.58%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FGM and SPY.

Drawdown Indicators

	FGM	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-51.58%	-55.19%	+3.61%
Max Drawdown (1Y) Largest decline over 1 year	-17.76%	-8.88%	-8.88%
Max Drawdown (3Y) Largest decline over 3 years	-17.93%	-18.76%	+0.83%
Max Drawdown (5Y) Largest decline over 5 years	-51.07%	-24.50%	-26.57%
Max Drawdown (10Y) Largest decline over 10 years	-51.58%	-33.72%	-17.86%
Current Drawdown Current decline from peak	-6.29%	0.00%	-6.29%
Average Drawdown Average peak-to-trough decline	-14.74%	-9.05%	-5.69%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.57%	1.91%	+3.66%

Volatility

FGM vs. SPY - Volatility Comparison

First Trust Germany AlphaDEX Fund (FGM) has a higher volatility of 7.39% compared to State Street SPDR S&P 500 ETF (SPY) at 2.75%. This indicates that FGM's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FGM	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.39%	2.75%	+4.64%
Volatility (6M) Calculated over the trailing 6-month period	17.07%	8.89%	+8.18%
Volatility (1Y) Calculated over the trailing 1-year period	20.48%	11.81%	+8.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.48%	17.05%	+7.43%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.11%	17.94%	+5.17%

FGM vs. SPY - Expense Ratio Comparison

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

Dividends

FGM vs. SPY - Dividend Comparison

FGM's dividend yield for the trailing twelve months is around 0.63%, less than SPY's 0.97% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FGM First Trust Germany AlphaDEX Fund	0.63%	0.66%	2.56%	2.82%	5.44%	1.43%	1.33%	2.30%	2.18%	2.11%	1.33%	1.13%
SPY State Street SPDR S&P 500 ETF	0.97%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both FGM and SPY in my portfolio?

FGM and SPY have a correlation of 0.64, 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 SPY?

FGM has higher volatility (7.39%) compared to SPY (2.75%). In terms of maximum drawdown, FGM dropped -51.58% vs SPY's -55.19%.

Which ETF is better, FGM or SPY?

On 10-year performance, SPY leads with 15.57% vs 8.23% for FGM. On fees, SPY is cheaper at 0.09% per year. On volatility, SPY has been the lower-risk option at 2.75%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FGM or SPY?

Over the 10-year period, SPY has performed better with a 15.57% return vs 8.23%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FGM or SPY?

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

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

SPY has the higher dividend yield at 0.97%, compared with 0.63% for FGM.

What is the main difference between FGM and SPY?

FGM is categorized as Europe Equities, while SPY is S&P 500. FGM tracks NASDAQ AlphaDEX Germany Index, while SPY tracks S&P 500 Index. They also come from different issuers: First Trust and State Street. Their fees differ too: 0.80% for FGM and 0.09% for SPY.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.52 vs 1.00), 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.