FJP vs. SCJ

Last updated Jun 4, 2026

FJP (First Trust Japan AlphaDEX Fund) and SCJ (iShares MSCI Japan Small Cap ETF) are both Japan Equities funds - FJP tracks the NASDAQ AlphaDEX Japan Index while SCJ tracks the MSCI Japan Small Cap Index. Both are passively managed. Over the past 10 years, FJP returned 7.48%/yr vs 7.55%/yr for SCJ. A 0.79 correlation means they provide meaningful diversification when combined. FJP charges 0.80%/yr vs 0.49%/yr for SCJ.

Performance

FJP vs. SCJ - Performance Comparison

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

Returns By Period

The year-to-date returns for both investments are quite close, with FJP having a 14.28% return and SCJ slightly higher at 14.35%. Both investments have delivered pretty close results over the past 10 years, with FJP having a 7.48% annualized return and SCJ not far ahead at 7.55%.

FJP

• 1D: 0.00%
• 1M: 2.90%
• YTD: 14.28%
• 6M: 15.85%
• 1Y: 33.53%
• 3Y*: 21.60%
• 5Y*: 10.81%
• 10Y*: 7.48%

SCJ

• 1D: 0.36%
• 1M: 5.04%
• YTD: 14.35%
• 6M: 16.37%
• 1Y: 30.15%
• 3Y*: 17.70%
• 5Y*: 7.36%
• 10Y*: 7.55%

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

FJP vs. SCJ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FJP First Trust Japan AlphaDEX Fund	14.28%	33.60%	5.80%	23.00%	-12.83%	-1.13%	3.60%	7.72%	-18.60%	27.63%
SCJ iShares MSCI Japan Small Cap ETF	14.35%	29.58%	3.41%	13.22%	-12.75%	-2.95%	7.46%	16.16%	-17.17%	31.61%

Correlation

The correlation between FJP and SCJ is 0.88, 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	0.88
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	0.83
Correlation (All Time) Calculated using the full available price history since Apr 27, 2011	0.79

The correlation between FJP and SCJ has been stable across timeframes, ranging from 0.79 to 0.88 - a consistent structural relationship.

FJP vs. SCJ - Sectors Allocation Comparison

Sectors	FJP	SCJ
Industrials	45.0%	28.9%
Consumer Cyclical	12.0%	14.6%
Basic Materials	9.7%	10.1%
Technology	8.9%	11.2%
Utilities	6.1%	2.1%
Financial Services	5.6%	9.7%
Energy	4.2%	0.8%
Healthcare	3.6%	4.4%
Real Estate	3.5%	8.4%
Consumer Defensive	0.8%	6.8%
Communication Services	0.7%	2.9%

Return for Risk

FJP vs. SCJ — Risk / Return Rank

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

FJP

FJP Risk / Return Rank: 46
FJP Sharpe Ratio Rank: 47
FJP Sortino Ratio Rank: 46
FJP Omega Ratio Rank: 46
FJP Calmar Ratio Rank: 47
FJP Martin Ratio Rank: 44

SCJ

SCJ Risk / Return Rank: 53
SCJ Sharpe Ratio Rank: 55
SCJ Sortino Ratio Rank: 55
SCJ Omega Ratio Rank: 54
SCJ Calmar Ratio Rank: 50
SCJ Martin Ratio Rank: 50

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. SCJ - Risk-Adjusted Trends Comparison

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

	FJP	SCJ	Difference
Sharpe ratio: Return per unit of total volatility	1.63	1.88	-0.25
Sortino ratio: Return per unit of downside risk	2.28	2.67	-0.38
Omega ratio: Gain probability vs. loss probability	1.29	1.34	-0.05
Calmar ratio: Return relative to maximum drawdown	2.33	2.49	-0.16
Martin ratio: Return relative to average drawdown	7.20	8.42	-1.22
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FJP vs. SCJ - Sharpe Ratio Comparison

The current FJP Sharpe Ratio is 1.63, which is comparable to the SCJ Sharpe Ratio of 1.88. The chart below compares the historical Sharpe Ratios of FJP and SCJ, 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

	FJP	SCJ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.63	1.88	-0.25
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.53	0.47	+0.07
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.40	0.46	-0.07
Sharpe Ratio (All Time) Calculated using the full available price history	0.32	0.30	+0.02

Drawdowns

FJP vs. SCJ - Drawdown Comparison

The maximum FJP drawdown since its inception was -41.51%, roughly equal to the maximum SCJ drawdown of -43.52%. Use the drawdown chart below to compare losses from any high point for FJP and SCJ.

Drawdown Indicators

	FJP	SCJ	Difference
Max Drawdown Largest peak-to-trough decline	-41.51%	-43.52%	+2.01%
Max Drawdown (1Y) Largest decline over 1 year	-14.43%	-12.17%	-2.26%
Max Drawdown (3Y) Largest decline over 3 years	-17.02%	-12.43%	-4.59%
Max Drawdown (5Y) Largest decline over 5 years	-31.88%	-33.25%	+1.37%
Max Drawdown (10Y) Largest decline over 10 years	-41.51%	-38.87%	-2.64%
Current Drawdown Current decline from peak	-6.34%	-1.82%	-4.52%
Average Drawdown Average peak-to-trough decline	-11.46%	-10.38%	-1.08%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.67%	3.59%	+1.08%

Volatility

FJP vs. SCJ - Volatility Comparison

First Trust Japan AlphaDEX Fund (FJP) has a higher volatility of 6.51% compared to iShares MSCI Japan Small Cap ETF (SCJ) at 4.03%. This indicates that FJP's price experiences larger fluctuations and is considered to be riskier than SCJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FJP	SCJ	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.51%	4.03%	+2.48%
Volatility (6M) Calculated over the trailing 6-month period	16.87%	13.13%	+3.74%
Volatility (1Y) Calculated over the trailing 1-year period	20.70%	16.11%	+4.59%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.35%	15.81%	+4.54%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.88%	16.29%	+2.59%

FJP vs. SCJ - Expense Ratio Comparison

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

Dividends

FJP vs. SCJ - Dividend Comparison

FJP's dividend yield for the trailing twelve months is around 2.49%, less than SCJ's 2.75% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FJP First Trust Japan AlphaDEX Fund	2.49%	2.68%	3.18%	3.49%	2.21%	2.43%	0.99%	2.80%	1.54%	1.29%	1.46%	0.85%
SCJ iShares MSCI Japan Small Cap ETF	2.75%	3.14%	1.79%	1.99%	1.18%	1.87%	0.89%	1.85%	1.44%	1.45%	2.73%	1.53%

Frequently Asked Questions

Can I hold both FJP and SCJ in my portfolio?

FJP and SCJ have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FJP or SCJ?

FJP has higher volatility (6.51%) compared to SCJ (4.03%). In terms of maximum drawdown, FJP dropped -41.51% vs SCJ's -43.52%.

Which ETF is better, FJP or SCJ?

On 10-year performance, SCJ leads with 7.55% vs 7.48% for FJP. On fees, SCJ is cheaper at 0.49% per year. On volatility, SCJ has been the lower-risk option at 4.03%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FJP or SCJ?

Over the 10-year period, SCJ has performed better with a 7.55% return vs 7.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FJP or SCJ?

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

Which ETF pays a higher dividend yield, FJP or SCJ?

SCJ has the higher dividend yield at 2.75%, compared with 2.49% for FJP.

What is the main difference between FJP and SCJ?

FJP tracks NASDAQ AlphaDEX Japan Index, while SCJ tracks MSCI Japan Small Cap Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.80% for FJP and 0.49% for SCJ.

Which has better risk-adjusted returns?

SCJ currently has the higher Sharpe Ratio (1.88 vs 1.63), 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.