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FSZ vs. EWD
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FSZ vs. EWD

Last updated Jun 4, 2026

FSZ (First Trust Switzerland AlphaDEX Fund) and EWD (iShares MSCI Sweden ETF) are both Europe Equities funds - FSZ tracks the NASDAQ AlphaDEX Switzerland Index while EWD tracks the MSCI Sweden Index. Both are passively managed. Over the past 10 years, FSZ returned 9.42%/yr vs 9.23%/yr for EWD. A 0.71 correlation means they provide meaningful diversification when combined. FSZ charges 0.80%/yr vs 0.55%/yr for EWD.

Performance

FSZ vs. EWD - Performance Comparison

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

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Returns By Period

In the year-to-date period, FSZ achieves a 2.04% return, which is significantly lower than EWD's 4.90% return. Both investments have delivered pretty close results over the past 10 years, with FSZ having a 9.42% annualized return and EWD not far behind at 9.23%.

FSZ

1D
-0.66%
1M
1.60%
YTD
2.04%
6M
6.03%
1Y
9.94%
3Y*
12.14%
5Y*
5.94%
10Y*
9.42%

EWD

1D
-2.16%
1M
2.70%
YTD
4.90%
6M
9.44%
1Y
18.29%
3Y*
16.43%
5Y*
4.25%
10Y*
9.23%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FSZ vs. EWD - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FSZ
First Trust Switzerland AlphaDEX Fund		2.04%30.10%-1.85%21.30%-20.12%20.18%13.83%25.88%-15.22%31.30%
EWD
iShares MSCI Sweden ETF		4.90%36.55%-3.90%25.07%-27.84%22.84%22.27%21.74%-12.78%21.86%

Correlation

The correlation between FSZ and EWD is 0.73, 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

0.73

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

0.70

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

0.72

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

0.74

Correlation (All Time)
Calculated using the full available price history since Feb 17, 2012

0.71

The correlation between FSZ and EWD has been stable across timeframes, ranging from 0.70 to 0.74 - a consistent structural relationship.

FSZ vs. EWD - Sectors Allocation Comparison

Sectors
FSZ
EWD

Industrials

22.0%
46.5%

Healthcare

22.0%
1.2%

Financial Services

18.9%
24.1%

Consumer Cyclical

10.0%
2.4%

Basic Materials

8.2%
3.2%

Consumer Defensive

6.6%
2.1%

Communication Services

3.9%
12.3%

Real Estate

3.7%
1.2%

Utilities

3.1%

-

Technology

1.6%
7.2%

Energy

-

-

Industrials

FSZ
22.0%
EWD
46.5%

Healthcare

FSZ
22.0%
EWD
1.2%

Financial Services

FSZ
18.9%
EWD
24.1%

Consumer Cyclical

FSZ
10.0%
EWD
2.4%

Basic Materials

FSZ
8.2%
EWD
3.2%

Consumer Defensive

FSZ
6.6%
EWD
2.1%

Communication Services

FSZ
3.9%
EWD
12.3%

Real Estate

FSZ
3.7%
EWD
1.2%

Utilities

FSZ
3.1%
EWD

-

Technology

FSZ
1.6%
EWD
7.2%

Energy

FSZ

-

EWD

-

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First Trust Switzerland AlphaDEX Fund

iShares MSCI Sweden ETF

Often compared with FSZ:
FSZ vs. EWLFSZ vs. FLSWFSZ vs. IAUFSZ vs. SPYFSZ vs. EWGFSZ vs. EZUFSZ vs. EWU
Often compared with EWD:
EWD vs. EWGEWD vs. NORWEWD vs. EWCEWD vs. EWNEWD vs. VOOEWD vs. OMXS.LEWD vs. QQQ

Return for Risk

FSZ vs. EWD — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FSZ
FSZ Risk / Return Rank: 2020
Overall Rank
FSZ Sharpe Ratio Rank: 2121
Sharpe Ratio Rank
FSZ Sortino Ratio Rank: 2020
Sortino Ratio Rank
FSZ Omega Ratio Rank: 1919
Omega Ratio Rank
FSZ Calmar Ratio Rank: 2121
Calmar Ratio Rank
FSZ Martin Ratio Rank: 2020
Martin Ratio Rank
EWD
EWD Risk / Return Rank: 2626
Overall Rank
EWD Sharpe Ratio Rank: 2626
Sharpe Ratio Rank
EWD Sortino Ratio Rank: 2626
Sortino Ratio Rank
EWD Omega Ratio Rank: 2424
Omega Ratio Rank
EWD Calmar Ratio Rank: 2626
Calmar Ratio Rank
EWD Martin Ratio Rank: 3030
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.

FSZ vs. EWD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Switzerland AlphaDEX Fund (FSZ) and iShares MSCI Sweden ETF (EWD). 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.

FSZEWDDifference
Sharpe ratioReturn per unit of total volatility
0.70
0.93

-0.23

Sortino ratioReturn per unit of downside risk
1.10
1.42

-0.32

Omega ratioGain probability vs. loss probability

1.13

1.17

-0.04

Calmar ratioReturn relative to maximum drawdown

0.96

1.27

-0.31

Martin ratioReturn relative to average drawdown

2.41

4.35

-1.94

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FSZ vs. EWD - Sharpe Ratio Comparison

The current FSZ Sharpe Ratio is 0.70, which is comparable to the EWD Sharpe Ratio of 0.93. The chart below compares the historical Sharpe Ratios of FSZ and EWD, 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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Sharpe Ratios by Period

FSZEWDDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.70

0.93

-0.23

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.31

0.18

+0.13

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.50

0.39

+0.10

Sharpe Ratio (All Time)

Calculated using the full available price history

0.52

0.27

+0.24

Drawdowns

FSZ vs. EWD - Drawdown Comparison

The maximum FSZ drawdown since its inception was -33.97%, smaller than the maximum EWD drawdown of -75.40%. Use the drawdown chart below to compare losses from any high point for FSZ and EWD.

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Drawdown Indicators

FSZEWDDifference

Max Drawdown

Largest peak-to-trough decline

-33.97%

-75.40%

+41.43%

Max Drawdown (1Y)

Largest decline over 1 year

-10.39%

-14.49%

+4.10%

Max Drawdown (3Y)

Largest decline over 3 years

-13.93%

-17.84%

+3.91%

Max Drawdown (5Y)

Largest decline over 5 years

-33.96%

-42.33%

+8.37%

Max Drawdown (10Y)

Largest decline over 10 years

-33.97%

-42.33%

+8.36%

Current Drawdown

Current decline from peak

-5.11%

-5.63%

+0.52%

Average Drawdown

Average peak-to-trough decline

-7.00%

-19.22%

+12.22%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.14%

4.21%

-0.07%

Volatility

FSZ vs. EWD - Volatility Comparison

The current volatility for First Trust Switzerland AlphaDEX Fund (FSZ) is 4.72%, while iShares MSCI Sweden ETF (EWD) has a volatility of 7.26%. This indicates that FSZ experiences smaller price fluctuations and is considered to be less risky than EWD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FSZEWDDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.72%

7.26%

-2.54%

Volatility (6M)

Calculated over the trailing 6-month period

10.70%

16.45%

-5.75%

Volatility (1Y)

Calculated over the trailing 1-year period

14.25%

19.74%

-5.49%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

19.34%

23.92%

-4.58%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.95%

23.50%

-4.55%

FSZ vs. EWD - Expense Ratio Comparison

FSZ has a 0.80% expense ratio, which is higher than EWD's 0.55% expense ratio.

Dividends

FSZ vs. EWD - Dividend Comparison

FSZ's dividend yield for the trailing twelve months is around 2.39%, less than EWD's 3.12% yield.

PositionTTM20252024202320222021202020192018201720162015
EWD
iShares MSCI Sweden ETF		3.12%3.27%1.77%2.41%3.68%5.46%0.98%4.15%5.17%3.23%3.91%4.08%
FSZ
First Trust Switzerland AlphaDEX Fund		2.39%1.80%1.80%2.11%3.50%1.62%1.53%2.01%2.29%1.49%1.93%1.08%

Frequently Asked Questions

FSZ and EWD have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

EWD has higher volatility (7.26%) compared to FSZ (4.72%). In terms of maximum drawdown, FSZ dropped -33.97% vs EWD's -75.40%.

On 10-year performance, FSZ leads with 9.42% vs 9.23% for EWD. On fees, EWD is cheaper at 0.55% per year. On volatility, FSZ has been the lower-risk option at 4.72%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, FSZ has performed better with a 9.42% return vs 9.23%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

EWD is cheaper with a 0.55% expense ratio, compared with 0.80% for FSZ.

EWD has the higher dividend yield at 3.12%, compared with 2.39% for FSZ.

FSZ tracks NASDAQ AlphaDEX Switzerland Index, while EWD tracks MSCI Sweden Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.80% for FSZ and 0.55% for EWD.

EWD currently has the higher Sharpe Ratio (0.93 vs 0.70), 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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