FGM vs. VGK

Last updated Jun 4, 2026

FGM (First Trust Germany AlphaDEX Fund) and VGK (Vanguard FTSE Europe ETF) are both Europe Equities funds - FGM tracks the NASDAQ AlphaDEX Germany Index while VGK tracks the FTSE Developed Europe All Cap Index. Both are passively managed. Over the past 10 years, FGM returned 8.09%/yr vs 9.26%/yr for VGK. A 0.80 correlation means they provide meaningful diversification when combined. FGM charges 0.80%/yr vs 0.06%/yr for VGK.

Performance

FGM vs. VGK - Performance Comparison

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

Returns By Period

In the year-to-date period, FGM achieves a 4.13% return, which is significantly lower than VGK's 5.62% return. Over the past 10 years, FGM has underperformed VGK with an annualized return of 8.09%, while VGK has yielded a comparatively higher 9.26% annualized return.

FGM

• 1D: -1.22%
• 1M: 2.88%
• YTD: 4.13%
• 6M: 9.75%
• 1Y: 19.41%
• 3Y*: 22.05%
• 5Y*: 4.19%
• 10Y*: 8.09%

VGK

• 1D: -1.19%
• 1M: 2.79%
• YTD: 5.62%
• 6M: 8.66%
• 1Y: 18.01%
• 3Y*: 16.32%
• 5Y*: 8.24%
• 10Y*: 9.26%

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

FGM vs. VGK - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FGM First Trust Germany AlphaDEX Fund	4.13%	63.60%	1.36%	13.28%	-30.46%	6.10%	17.26%	20.77%	-25.14%	44.28%
VGK Vanguard FTSE Europe ETF	5.62%	35.83%	1.88%	20.19%	-15.98%	16.89%	5.43%	24.85%	-14.89%	26.98%

Correlation

The correlation between FGM and VGK is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.83
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (10Y) Calculated over the trailing 10-year period	0.81
Correlation (All Time) Calculated using the full available price history since Feb 21, 2012	0.80

The correlation between FGM and VGK has been stable across timeframes, ranging from 0.80 to 0.84 - a consistent structural relationship.

FGM vs. VGK - Sectors Allocation Comparison

Sectors	FGM	VGK
Industrials	40.5%	19.5%
Consumer Cyclical	16.6%	6.8%
Real Estate	10.8%	1.5%
Basic Materials	9.0%	5.4%
Financial Services	8.2%	23.9%
Healthcare	6.4%	12.1%
Communication Services	3.2%	3.3%
Utilities	3.2%	4.8%
Consumer Defensive	2.2%	8.5%
Energy	-	5.3%
Technology	-	8.3%

Return for Risk

FGM vs. VGK — 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: 23
FGM Martin Ratio Rank: 26

VGK

VGK Risk / Return Rank: 31
VGK Sharpe Ratio Rank: 31
VGK Sortino Ratio Rank: 31
VGK Omega Ratio Rank: 30
VGK Calmar Ratio Rank: 30
VGK Martin Ratio Rank: 35

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. VGK - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Germany AlphaDEX Fund (FGM) and Vanguard FTSE Europe ETF (VGK). 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	VGK	Difference
Sharpe ratio Return per unit of total volatility	0.95	1.18	-0.23
Sortino ratio Return per unit of downside risk	1.42	1.72	-0.30
Omega ratio Gain probability vs. loss probability	1.18	1.21	-0.03
Calmar ratio Return relative to maximum drawdown	1.10	1.50	-0.40
Martin ratio Return relative to average drawdown	3.48	5.56	-2.08
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. VGK - Sharpe Ratio Comparison

The current FGM Sharpe Ratio is 0.95, which is comparable to the VGK Sharpe Ratio of 1.18. The chart below compares the historical Sharpe Ratios of FGM and VGK, 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	VGK	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.95	1.18	-0.23
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.17	0.46	-0.29
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.35	0.49	-0.14
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.28	+0.07

Drawdowns

FGM vs. VGK - Drawdown Comparison

The maximum FGM drawdown since its inception was -51.58%, smaller than the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for FGM and VGK.

Drawdown Indicators

	FGM	VGK	Difference
Max Drawdown Largest peak-to-trough decline	-51.58%	-63.61%	+12.03%
Max Drawdown (1Y) Largest decline over 1 year	-17.76%	-12.09%	-5.67%
Max Drawdown (3Y) Largest decline over 3 years	-17.93%	-14.31%	-3.62%
Max Drawdown (5Y) Largest decline over 5 years	-51.07%	-32.74%	-18.33%
Max Drawdown (10Y) Largest decline over 10 years	-51.58%	-37.24%	-14.34%
Current Drawdown Current decline from peak	-7.43%	-2.41%	-5.02%
Average Drawdown Average peak-to-trough decline	-14.74%	-13.34%	-1.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.59%	3.25%	+2.34%

Volatility

FGM vs. VGK - Volatility Comparison

First Trust Germany AlphaDEX Fund (FGM) has a higher volatility of 7.14% compared to Vanguard FTSE Europe ETF (VGK) at 5.73%. This indicates that FGM's price experiences larger fluctuations and is considered to be riskier than VGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FGM	VGK	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.14%	5.73%	+1.41%
Volatility (6M) Calculated over the trailing 6-month period	17.09%	12.78%	+4.31%
Volatility (1Y) Calculated over the trailing 1-year period	20.51%	15.40%	+5.11%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.48%	17.90%	+6.58%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.11%	18.96%	+4.15%

FGM vs. VGK - Expense Ratio Comparison

FGM has a 0.80% expense ratio, which is higher than VGK's 0.06% expense ratio.

Dividends

FGM vs. VGK - Dividend Comparison

FGM's dividend yield for the trailing twelve months is around 0.64%, less than VGK's 2.82% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FGM First Trust Germany AlphaDEX Fund	0.64%	0.66%	2.56%	2.82%	5.44%	1.43%	1.33%	2.30%	2.18%	2.11%	1.33%	1.13%
VGK Vanguard FTSE Europe ETF	2.82%	2.86%	3.61%	3.15%	3.25%	3.05%	2.11%	3.27%	3.95%	2.70%	3.52%	3.25%

Frequently Asked Questions

Can I hold both FGM and VGK in my portfolio?

FGM and VGK 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.

Which is riskier, FGM or VGK?

FGM has higher volatility (7.14%) compared to VGK (5.73%). In terms of maximum drawdown, FGM dropped -51.58% vs VGK's -63.61%.

Which ETF is better, FGM or VGK?

On 10-year performance, VGK leads with 9.26% vs 8.09% for FGM. On fees, VGK is cheaper at 0.06% per year. On volatility, VGK has been the lower-risk option at 5.73%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FGM or VGK?

Over the 10-year period, VGK has performed better with a 9.26% return vs 8.09%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FGM or VGK?

VGK is cheaper with a 0.06% expense ratio, compared with 0.80% for FGM.

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

VGK has the higher dividend yield at 2.82%, compared with 0.64% for FGM.

What is the main difference between FGM and VGK?

FGM tracks NASDAQ AlphaDEX Germany Index, while VGK tracks FTSE Developed Europe All Cap Index. They also come from different issuers: First Trust and Vanguard. Their fees differ too: 0.80% for FGM and 0.06% for VGK.

Which has better risk-adjusted returns?

VGK currently has the higher Sharpe Ratio (1.18 vs 0.95), 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.