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FJP vs. EUFN
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FJP vs. EUFN

Last updated Jul 14, 2026
Documentation

FJP (First Trust Japan AlphaDEX Fund) and EUFN (iShares MSCI Europe Financials ETF) are both exchange-traded funds - FJP is a Japan Equities fund tracking the NASDAQ AlphaDEX Japan Index, while EUFN is a Financials Equities fund tracking the MSCI Europe Financials Index (Net). Both are passively managed. Over the past 10 years, FJP returned 7.40%/yr vs 14.24%/yr for EUFN. A 0.50 correlation means they provide meaningful diversification when combined. FJP charges 0.80%/yr vs 0.49%/yr for EUFN.

Performance

FJP vs. EUFN - Performance Comparison

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

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Returns By Period

In the year-to-date period, FJP achieves a 12.37% return, which is significantly higher than EUFN's 10.35% return. Over the past 10 years, FJP has underperformed EUFN with an annualized return of 7.40%, while EUFN has yielded a comparatively higher 14.24% annualized return.

FJP

1D
-2.21%
1M
-0.17%
6M
6.99%
YTD
12.37%
1Y
32.07%
3Y*
19.01%
5Y*
10.79%
10Y*
7.40%

EUFN

1D
-0.95%
1M
5.35%
6M
9.64%
YTD
10.35%
1Y
30.59%
3Y*
32.30%
5Y*
20.98%
10Y*
14.24%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FJP vs. EUFN - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FJP
First Trust Japan AlphaDEX Fund		12.37%33.60%5.80%23.00%-12.83%-1.13%3.60%7.72%-18.60%27.63%
EUFN
iShares MSCI Europe Financials ETF		10.35%65.73%17.20%26.15%-8.78%19.13%-8.55%20.73%-23.14%26.94%

Correlation

The correlation between FJP and EUFN is 0.53, 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

0.53

Correlation (3Y)
Calculated over the trailing 3-year period

0.51

Correlation (5Y)
Calculated over the trailing 5-year period

0.52

Correlation (10Y)
Calculated over the trailing 10-year period

0.53

Correlation (All Time)
Calculated using the full available price history since Apr 26, 2011

0.50

The correlation between FJP and EUFN has been stable across timeframes, ranging from 0.50 to 0.53 - a consistent structural relationship.

FJP vs. EUFN - Sectors Allocation Comparison

Sectors
FJP
EUFN

Industrials

43.7%
0.4%

Consumer Cyclical

12.4%
0.2%

Technology

10.7%
1.0%

Basic Materials

10.4%

-

Utilities

5.7%

-

Financial Services

5.5%
97.9%

Energy

3.4%

-

Healthcare

3.4%

-

Real Estate

3.1%

-

Communication Services

1.0%

-

Consumer Defensive

0.8%

-

Industrials

FJP
43.7%
EUFN
0.4%

Consumer Cyclical

FJP
12.4%
EUFN
0.2%

Technology

FJP
10.7%
EUFN
1.0%

Basic Materials

FJP
10.4%
EUFN

-

Utilities

FJP
5.7%
EUFN

-

Financial Services

FJP
5.5%
EUFN
97.9%

Energy

FJP
3.4%
EUFN

-

Healthcare

FJP
3.4%
EUFN

-

Real Estate

FJP
3.1%
EUFN

-

Communication Services

FJP
1.0%
EUFN

-

Consumer Defensive

FJP
0.8%
EUFN

-

Compare stocks, funds, or ETFs

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First Trust Japan AlphaDEX Fund

iShares MSCI Europe Financials ETF

Often compared with FJP:
FJP vs. IAUMFJP vs. EWJFJP vs. QQQFJP vs. EWJVFJP vs. DXJFJP vs. VOOFJP vs. DGRW
Often compared with EUFN:
EUFN vs. XLFEUFN vs. FDDEUFN vs. GSIBEUFN vs. SPYEUFN vs. EURLEUFN vs. EIRLEUFN vs. IEUR

Return for Risk

FJP vs. EUFN — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FJP
FJP Risk / Return Rank: 5454
Overall Rank
FJP Sharpe Ratio Rank: 5656
Sharpe Ratio Rank
FJP Sortino Ratio Rank: 5555
Sortino Ratio Rank
FJP Omega Ratio Rank: 5555
Omega Ratio Rank
FJP Calmar Ratio Rank: 5757
Calmar Ratio Rank
FJP Martin Ratio Rank: 4848
Martin Ratio Rank
EUFN
EUFN Risk / Return Rank: 5555
Overall Rank
EUFN Sharpe Ratio Rank: 5757
Sharpe Ratio Rank
EUFN Sortino Ratio Rank: 5858
Sortino Ratio Rank
EUFN Omega Ratio Rank: 5252
Omega Ratio Rank
EUFN Calmar Ratio Rank: 5252
Calmar Ratio Rank
EUFN Martin Ratio Rank: 5454
Martin Ratio Rank
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.

FJP vs. EUFN - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Japan AlphaDEX Fund (FJP) and iShares MSCI Europe Financials ETF (EUFN). 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.

FJPEUFNDifference
Sharpe ratioReturn per unit of total volatility
1.52
1.53

-0.01

Sortino ratioReturn per unit of downside risk
2.12
2.20

-0.08

Omega ratioGain probability vs. loss probability

1.27

1.26

+0.01

Calmar ratioReturn relative to maximum drawdown

2.23

2.08

+0.15

Martin ratioReturn relative to average drawdown

6.32

7.28

-0.96

FJP vs. EUFN - Sharpe Ratio Comparison

The current FJP Sharpe Ratio is 1.52, which is comparable to the EUFN Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of FJP and EUFN, 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

FJP vs. EUFN - Drawdown Comparison

The maximum FJP drawdown since its inception was -41.51%, smaller than the maximum EUFN drawdown of -53.25%. Use the drawdown chart below to compare losses from any high point for FJP and EUFN.

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Drawdown Indicators

FJPEUFNDifference

Max Drawdown

Largest peak-to-trough decline

-41.51%

-53.25%

+11.74%

Max Drawdown (1Y)

Largest decline over 1 year

-14.43%

-14.77%

+0.34%

Max Drawdown (3Y)

Largest decline over 3 years

-17.02%

-15.95%

-1.07%

Max Drawdown (5Y)

Largest decline over 5 years

-31.88%

-35.15%

+3.27%

Max Drawdown (10Y)

Largest decline over 10 years

-41.51%

-53.25%

+11.74%

Current Drawdown

Current decline from peak

-7.90%

-1.90%

-6.00%

Average Drawdown

Average peak-to-trough decline

-11.42%

-14.47%

+3.05%

Ulcer Index

Depth and duration of drawdowns from previous peaks

5.09%

4.21%

+0.88%

Volatility

FJP vs. EUFN - Volatility Comparison

First Trust Japan AlphaDEX Fund (FJP) has a higher volatility of 7.66% compared to iShares MSCI Europe Financials ETF (EUFN) at 5.71%. This indicates that FJP's price experiences larger fluctuations and is considered to be riskier than EUFN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FJPEUFNDifference

Volatility (1M)

Calculated over the trailing 1-month period

7.66%

5.71%

+1.95%

Volatility (6M)

Calculated over the trailing 6-month period

18.47%

17.31%

+1.16%

Volatility (1Y)

Calculated over the trailing 1-year period

21.23%

20.15%

+1.08%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.60%

21.83%

-1.23%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.95%

23.69%

-4.74%

FJP vs. EUFN - Expense Ratio Comparison

FJP has a 0.80% expense ratio, which is higher than EUFN's 0.49% expense ratio.

Dividends

FJP vs. EUFN - Dividend Comparison

FJP's dividend yield for the trailing twelve months is around 2.58%, less than EUFN's 4.16% yield.

PositionTTM20252024202320222021202020192018201720162015
EUFN
iShares MSCI Europe Financials ETF		4.16%3.57%5.36%5.00%4.24%4.15%1.38%4.55%6.48%3.04%4.03%3.65%
FJP
First Trust Japan AlphaDEX Fund		2.58%2.68%3.18%3.49%2.21%2.43%0.99%2.80%1.54%1.29%1.46%0.85%

Frequently Asked Questions

FJP and EUFN have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

FJP has higher volatility (7.66%) compared to EUFN (5.71%). In terms of maximum drawdown, FJP dropped -41.51% vs EUFN's -53.25%.

On 10-year performance, EUFN leads with 14.24% vs 7.40% for FJP. On fees, EUFN is cheaper at 0.49% per year. On volatility, EUFN has been the lower-risk option at 5.71%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, EUFN has performed better with a 14.24% return vs 7.40%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

EUFN is cheaper with a 0.49% expense ratio, compared with 0.80% for FJP.

EUFN has the higher dividend yield at 4.16%, compared with 2.58% for FJP.

FJP is categorized as Japan Equities, while EUFN is Financials Equities. FJP tracks NASDAQ AlphaDEX Japan Index, while EUFN tracks MSCI Europe Financials Index (Net). They also come from different issuers: First Trust and iShares. Their fees differ too: 0.80% for FJP and 0.49% for EUFN.

EUFN currently has the higher Sharpe Ratio (1.53 vs 1.52), 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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