FSZ vs. FXF
FSZ (First Trust Switzerland AlphaDEX Fund) and FXF (Invesco CurrencyShares® Swiss Franc Trust) are both exchange-traded funds - FSZ is a Europe Equities fund tracking the NASDAQ AlphaDEX Switzerland Index, while FXF is a Currency fund tracking the Swiss Franc. Both are passively managed. Over the past 10 years, FSZ returned 9.55%/yr vs 1.04%/yr for FXF. At a 0.35 correlation, their price movements are largely independent. FSZ charges 0.80%/yr vs 0.40%/yr for FXF.
Performance
FSZ vs. FXF - Performance Comparison
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Returns By Period
In the year-to-date period, FSZ achieves a 1.30% return, which is significantly higher than FXF's -0.97% return. Over the past 10 years, FSZ has outperformed FXF with an annualized return of 9.55%, while FXF has yielded a comparatively lower 1.04% annualized return.
FSZ
- 1D
- -0.15%
- 1M
- -2.23%
- YTD
- 1.30%
- 6M
- 5.47%
- 1Y
- 7.85%
- 3Y*
- 12.49%
- 5Y*
- 5.64%
- 10Y*
- 9.55%
FXF
- 1D
- -0.26%
- 1M
- -2.70%
- YTD
- -0.97%
- 6M
- 0.83%
- 1Y
- 2.42%
- 3Y*
- 3.92%
- 5Y*
- 1.79%
- 10Y*
- 1.04%
FSZ vs. FXF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FSZ First Trust Switzerland AlphaDEX Fund | 1.30% | 30.10% | -1.85% | 21.30% | -20.12% | 20.18% | 13.83% | 25.88% | -15.22% | 31.30% |
FXF Invesco CurrencyShares® Swiss Franc Trust | -0.97% | 14.04% | -7.46% | 9.63% | -2.29% | -4.08% | 8.18% | 0.32% | -2.01% | 3.31% |
Correlation
The correlation between FSZ and FXF is 0.59, 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 | 0.59 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.53 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.51 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.39 |
Correlation (All Time) Calculated using the full available price history since Feb 16, 2012 | 0.35 |
Over the past year, FSZ and FXF have become more correlated (0.59) than their long-term average of 0.35, meaning their price movements have been converging.
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Return for Risk
FSZ vs. FXF — Risk / Return Rank
FSZ
FXF
FSZ vs. FXF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Switzerland AlphaDEX Fund (FSZ) and Invesco CurrencyShares® Swiss Franc Trust (FXF). 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.
| FSZ | FXF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.23 | ||
| Sortino ratioReturn per unit of downside risk | +0.34 | ||
| Omega ratioGain probability vs. loss probability | 1.10 | 1.06 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 0.76 | 0.50 | +0.26 |
| Martin ratioReturn relative to average drawdown | 1.88 | 1.10 | +0.78 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FSZ | FXF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.55 | 0.33 | +0.23 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.29 | 0.22 | +0.08 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.51 | 0.14 | +0.37 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.51 | 0.17 | +0.34 |
Drawdowns
FSZ vs. FXF - Drawdown Comparison
The maximum FSZ drawdown since its inception was -33.97%, roughly equal to the maximum FXF drawdown of -35.58%. Use the drawdown chart below to compare losses from any high point for FSZ and FXF.
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Drawdown Indicators
| FSZ | FXF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.97% | -35.58% | +1.61% |
Max Drawdown (1Y)Largest decline over 1 year | -10.39% | -4.82% | -5.57% |
Max Drawdown (3Y)Largest decline over 3 years | -13.93% | -8.52% | -5.41% |
Max Drawdown (5Y)Largest decline over 5 years | -33.96% | -13.03% | -20.93% |
Max Drawdown (10Y)Largest decline over 10 years | -33.97% | -15.04% | -18.93% |
Current DrawdownCurrent decline from peak | -5.80% | -19.16% | +13.36% |
Average DrawdownAverage peak-to-trough decline | -6.99% | -20.84% | +13.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.18% | 2.20% | +1.98% |
Volatility
FSZ vs. FXF - Volatility Comparison
First Trust Switzerland AlphaDEX Fund (FSZ) has a higher volatility of 4.27% compared to Invesco CurrencyShares® Swiss Franc Trust (FXF) at 1.78%. This indicates that FSZ's price experiences larger fluctuations and is considered to be riskier than FXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FSZ | FXF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.27% | 1.78% | +2.49% |
Volatility (6M)Calculated over the trailing 6-month period | 10.87% | 5.59% | +5.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.33% | 7.49% | +6.84% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.35% | 8.33% | +11.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.96% | 7.57% | +11.39% |
FSZ vs. FXF - Expense Ratio Comparison
FSZ has a 0.80% expense ratio, which is higher than FXF's 0.40% expense ratio.
Dividends
FSZ vs. FXF - Dividend Comparison
FSZ's dividend yield for the trailing twelve months is around 2.41%, while FXF has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FSZ First Trust Switzerland AlphaDEX Fund | 2.41% | 1.80% | 1.80% | 2.11% | 3.50% | 1.62% | 1.53% | 2.01% | 2.29% | 1.49% | 1.93% | 1.08% |
FXF Invesco CurrencyShares® Swiss Franc Trust | 0.00% | 0.00% | 0.03% | 0.02% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
FSZ and FXF have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FSZ has higher volatility (4.27%) compared to FXF (1.78%). In terms of maximum drawdown, FSZ dropped -33.97% vs FXF's -35.58%.
On 10-year performance, FSZ leads with 9.55% vs 1.04% for FXF. On fees, FXF is cheaper at 0.40% per year. On volatility, FXF has been the lower-risk option at 1.78%. 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 9.55% return vs 1.04%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXF is cheaper with a 0.40% expense ratio, compared with 0.80% for FSZ.
FSZ has the higher dividend yield at 2.41%, compared with 0.00% for FXF.
FSZ is categorized as Europe Equities, while FXF is Currency. FSZ tracks NASDAQ AlphaDEX Switzerland Index, while FXF tracks Swiss Franc. They also come from different issuers: First Trust and Invesco. Their fees differ too: 0.80% for FSZ and 0.40% for FXF.
FSZ currently has the higher Sharpe Ratio (0.55 vs 0.33), 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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