FGM vs. VFIAX

Last updated Aug 5, 2026

FGM (First Trust Germany AlphaDEX Fund) and VFIAX (Vanguard 500 Index Fund Admiral Shares) are both funds - FGM is a Europe Equities fund tracking the NASDAQ AlphaDEX Germany Index, while VFIAX is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, FGM returned 8.22%/yr vs 15.14%/yr for VFIAX. Their 0.60 correlation means they have sometimes moved together and sometimes differently. FGM charges 0.80%/yr vs 0.04%/yr for VFIAX.

Performance

FGM vs. VFIAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Germany AlphaDEX Fund (FGM) and Vanguard 500 Index Fund Admiral Shares (VFIAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FGM achieves a 4.28% return, which is significantly lower than VFIAX's 11.74% return. Over the past 10 years, FGM has underperformed VFIAX with an annualized return of 8.22%, while VFIAX has yielded a comparatively higher 15.14% 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%

VFIAX

• 1D: 1.49%
• 1M: 1.63%
• 6M: 10.48%
• YTD: 11.74%
• 1Y: 21.46%
• 3Y*: 20.84%
• 5Y*: 13.10%
• 10Y*: 15.14%
• ALL TIME*: 8.90%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
FGM First Trust Germany AlphaDEX Fund	$71.07K	$80.31K	$242.50K
VFIAX Vanguard 500 Index Fund Admiral Shares	$0.00	$0.00	$0.00

FGM vs. VFIAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
VFIAX Vanguard 500 Index Fund Admiral Shares	11.74%	17.83%	24.97%	26.24%	-18.16%	28.65%	18.32%	31.46%	-4.45%	21.78%

Correlation

The correlation between FGM and VFIAX is 0.67, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.67
Correlation (3Y) Balances recent behavior with more history.	0.57
Correlation (5Y) Shows whether the relationship held over a longer period.	0.56
Correlation (10Y) Provides a long-term view across more market conditions.	0.59
Correlation (All Time) Calculated using the full available price history since Feb 17, 2012	0.60

The correlation between FGM and VFIAX shifts across timeframes, from 0.56 (5 years) to 0.67 (1 year), reflecting how their relationship changes across market environments.

FGM vs. VFIAX - Sectors Allocation Comparison

Sectors	FGM	VFIAX
Industrials	40.9%	8.5%
Consumer Cyclical	15.6%	9.5%
Real Estate	10.0%	1.8%
Financial Services	9.1%	11.4%
Basic Materials	8.4%	1.7%
Healthcare	7.8%	8.9%
Utilities	2.9%	2.2%
Communication Services	2.8%	9.9%
Consumer Defensive	2.6%	4.5%
Energy	-	3.0%
Technology	-	38.6%

Return for Risk

FGM vs. VFIAX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

FGM

FGM Risk / Return Rank: 29
FGM Sharpe Ratio Rank: 31
FGM Sortino Ratio Rank: 30
FGM Omega Ratio Rank: 30
FGM Calmar Ratio Rank: 28
FGM Martin Ratio Rank: 28

VFIAX

VFIAX Risk / Return Rank: 75
VFIAX Sharpe Ratio Rank: 75
VFIAX Sortino Ratio Rank: 70
VFIAX Omega Ratio Rank: 70
VFIAX Calmar Ratio Rank: 77
VFIAX Martin Ratio Rank: 85

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. VFIAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Germany AlphaDEX Fund (FGM) and Vanguard 500 Index Fund Admiral Shares (VFIAX). 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	VFIAX	Difference
Sharpe ratio: Return per unit of total volatility	0.82	1.82	-1.00
Sortino ratio: Return per unit of downside risk	1.25	2.51	-1.25
Omega ratio: Gain probability vs. loss probability	1.15	1.33	-0.17
Calmar ratio: Return relative to maximum drawdown	0.96	2.62	-1.66
Martin ratio: Return relative to average drawdown	2.59	11.27	-8.68

FGM vs. VFIAX - Sharpe Ratio Comparison

The current FGM Sharpe Ratio is 0.82, which is lower than the VFIAX Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of FGM and VFIAX, 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. VFIAX - Drawdown Comparison

The maximum FGM drawdown since its inception was -51.58%, smaller than the maximum VFIAX drawdown of -55.20%. Use the drawdown chart below to compare losses from any high point for FGM and VFIAX.

Drawdown Indicators

	FGM	VFIAX	Difference
Max Drawdown Largest peak-to-trough decline	-51.58%	-55.20%	+3.62%
Max Drawdown (1Y) Largest decline over 1 year	-17.76%	-8.90%	-8.86%
Max Drawdown (3Y) Largest decline over 3 years	-17.76%	-18.75%	+0.99%
Max Drawdown (5Y) Largest decline over 5 years	-50.18%	-24.53%	-25.65%
Max Drawdown (10Y) Largest decline over 10 years	-51.58%	-33.83%	-17.75%
Current Drawdown Current decline from peak	-7.30%	0.00%	-7.30%
Average Drawdown Average peak-to-trough decline	-14.66%	-9.35%	-5.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.59%	2.07%	+4.52%

Volatility

FGM vs. VFIAX - Volatility Comparison

First Trust Germany AlphaDEX Fund (FGM) has a higher volatility of 5.40% compared to Vanguard 500 Index Fund Admiral Shares (VFIAX) at 3.81%. This indicates that FGM's price experiences larger fluctuations and is considered to be riskier than VFIAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FGM	VFIAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.40%	3.81%	+1.59%
Volatility (6M) Calculated over the trailing 6-month period	17.98%	10.20%	+7.78%
Volatility (1Y) Calculated over the trailing 1-year period	20.98%	12.86%	+8.12%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.64%	17.03%	+7.61%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.91%	18.08%	+4.83%

FGM vs. VFIAX - Expense Ratio Comparison

FGM has a 0.80% expense ratio, which is higher than VFIAX's 0.04% expense ratio.

Dividends

FGM vs. VFIAX - Dividend Comparison

FGM's dividend yield for the trailing twelve months is around 1.37%, more than VFIAX's 1.05% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
VFIAX Vanguard 500 Index Fund Admiral Shares	1.05%	1.12%	1.24%	1.45%	1.68%	1.24%	1.53%	1.87%	2.05%	1.78%	2.02%	2.10%

Frequently Asked Questions

Can I hold both FGM and VFIAX in my portfolio?

FGM and VFIAX have a correlation of 0.67, 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 VFIAX?

FGM has higher volatility (5.40%) compared to VFIAX (3.81%). In terms of maximum drawdown, FGM dropped -51.58% vs VFIAX's -55.20%.

Which has better risk-adjusted returns?

VFIAX currently has the higher Sharpe Ratio (1.82 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.