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FSZ vs. IEUR
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FSZ vs. IEUR

Last updated Jun 4, 2026

FSZ (First Trust Switzerland AlphaDEX Fund) and IEUR (iShares Core MSCI Europe ETF) are both Europe Equities funds - FSZ tracks the NASDAQ AlphaDEX Switzerland Index while IEUR tracks the MSCI Europe Investable Market Index. Both are passively managed. Over the past 10 years, FSZ returned 9.42%/yr vs 9.15%/yr for IEUR. Their correlation of 0.80 suggests significant overlap in exposure. FSZ charges 0.80%/yr vs 0.09%/yr for IEUR.

Performance

FSZ vs. IEUR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Switzerland AlphaDEX Fund (FSZ) and iShares Core MSCI Europe ETF (IEUR). 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 IEUR's 5.64% return. Both investments have delivered pretty close results over the past 10 years, with FSZ having a 9.42% annualized return and IEUR not far behind at 9.15%.

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%

IEUR

1D
-1.20%
1M
2.77%
YTD
5.64%
6M
8.52%
1Y
17.47%
3Y*
16.09%
5Y*
8.03%
10Y*
9.15%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FSZ vs. IEUR - 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%
IEUR
iShares Core MSCI Europe ETF		5.64%35.67%1.40%19.71%-15.90%16.71%5.31%24.95%-14.86%26.70%

Correlation

The correlation between FSZ and IEUR is 0.83, 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

0.83

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

0.79

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

0.78

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

0.80

Correlation (All Time)
Calculated using the full available price history since Jun 13, 2014

0.80

The correlation between FSZ and IEUR has been stable across timeframes, ranging from 0.78 to 0.83 - a consistent structural relationship.

FSZ vs. IEUR - Sectors Allocation Comparison

Sectors
FSZ
IEUR

Industrials

22.0%
20.4%

Healthcare

22.0%
12.5%

Financial Services

18.9%
22.5%

Consumer Cyclical

10.0%
6.9%

Basic Materials

8.2%
5.8%

Consumer Defensive

6.6%
8.0%

Communication Services

3.9%
3.8%

Real Estate

3.7%
1.6%

Utilities

3.1%
4.8%

Technology

1.6%
8.4%

Energy

-

5.3%

Industrials

FSZ
22.0%
IEUR
20.4%

Healthcare

FSZ
22.0%
IEUR
12.5%

Financial Services

FSZ
18.9%
IEUR
22.5%

Consumer Cyclical

FSZ
10.0%
IEUR
6.9%

Basic Materials

FSZ
8.2%
IEUR
5.8%

Consumer Defensive

FSZ
6.6%
IEUR
8.0%

Communication Services

FSZ
3.9%
IEUR
3.8%

Real Estate

FSZ
3.7%
IEUR
1.6%

Utilities

FSZ
3.1%
IEUR
4.8%

Technology

FSZ
1.6%
IEUR
8.4%

Energy

FSZ

-

IEUR
5.3%

Compare stocks, funds, or ETFs

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First Trust Switzerland AlphaDEX Fund

iShares Core MSCI Europe ETF

Often compared with FSZ:
FSZ vs. EWLFSZ vs. FLSWFSZ vs. IAUFSZ vs. SPYFSZ vs. EWGFSZ vs. EZUFSZ vs. EWU
Often compared with IEUR:
IEUR vs. VGKIEUR vs. IEVIEUR vs. IMEU.LIEUR vs. FEZIEUR vs. EZUIEUR vs. VOOIEUR vs. EFA

Return for Risk

FSZ vs. IEUR — 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
IEUR
IEUR Risk / Return Rank: 3131
Overall Rank
IEUR Sharpe Ratio Rank: 3131
Sharpe Ratio Rank
IEUR Sortino Ratio Rank: 3131
Sortino Ratio Rank
IEUR Omega Ratio Rank: 3030
Omega Ratio Rank
IEUR Calmar Ratio Rank: 2929
Calmar Ratio Rank
IEUR Martin Ratio Rank: 3535
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. IEUR - Risk-Adjusted Trends Comparison

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

FSZIEURDifference
Sharpe ratioReturn per unit of total volatility
0.70
1.15

-0.44

Sortino ratioReturn per unit of downside risk
1.10
1.69

-0.59

Omega ratioGain probability vs. loss probability

1.13

1.21

-0.08

Calmar ratioReturn relative to maximum drawdown

0.96

1.46

-0.50

Martin ratioReturn relative to average drawdown

2.41

5.47

-3.06

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. IEUR - Sharpe Ratio Comparison

The current FSZ Sharpe Ratio is 0.70, which is lower than the IEUR Sharpe Ratio of 1.15. The chart below compares the historical Sharpe Ratios of FSZ and IEUR, 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

FSZIEURDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.70

1.15

-0.44

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.31

0.46

-0.15

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.50

0.49

+0.01

Sharpe Ratio (All Time)

Calculated using the full available price history

0.52

0.35

+0.17

Drawdowns

FSZ vs. IEUR - Drawdown Comparison

The maximum FSZ drawdown since its inception was -33.97%, smaller than the maximum IEUR drawdown of -36.96%. Use the drawdown chart below to compare losses from any high point for FSZ and IEUR.

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Drawdown Indicators

FSZIEURDifference

Max Drawdown

Largest peak-to-trough decline

-33.97%

-36.96%

+2.99%

Max Drawdown (1Y)

Largest decline over 1 year

-10.39%

-12.04%

+1.65%

Max Drawdown (3Y)

Largest decline over 3 years

-13.93%

-14.25%

+0.32%

Max Drawdown (5Y)

Largest decline over 5 years

-33.96%

-32.75%

-1.21%

Max Drawdown (10Y)

Largest decline over 10 years

-33.97%

-36.96%

+2.99%

Current Drawdown

Current decline from peak

-5.11%

-2.31%

-2.80%

Average Drawdown

Average peak-to-trough decline

-7.00%

-8.23%

+1.23%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.14%

3.20%

+0.94%

Volatility

FSZ vs. IEUR - Volatility Comparison

The current volatility for First Trust Switzerland AlphaDEX Fund (FSZ) is 4.72%, while iShares Core MSCI Europe ETF (IEUR) has a volatility of 5.60%. This indicates that FSZ experiences smaller price fluctuations and is considered to be less risky than IEUR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FSZIEURDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.72%

5.60%

-0.88%

Volatility (6M)

Calculated over the trailing 6-month period

10.70%

12.75%

-2.05%

Volatility (1Y)

Calculated over the trailing 1-year period

14.25%

15.32%

-1.07%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

19.34%

17.73%

+1.61%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.95%

18.68%

+0.27%

FSZ vs. IEUR - Expense Ratio Comparison

FSZ has a 0.80% expense ratio, which is higher than IEUR's 0.09% expense ratio.

Dividends

FSZ vs. IEUR - Dividend Comparison

FSZ's dividend yield for the trailing twelve months is around 2.39%, less than IEUR's 2.81% yield.

PositionTTM20252024202320222021202020192018201720162015
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%
IEUR
iShares Core MSCI Europe ETF		2.81%2.97%3.54%3.17%3.05%2.88%2.13%3.26%3.76%2.64%3.19%2.79%

Frequently Asked Questions

FSZ and IEUR have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

IEUR has higher volatility (5.60%) compared to FSZ (4.72%). In terms of maximum drawdown, FSZ dropped -33.97% vs IEUR's -36.96%.

On 10-year performance, FSZ leads with 9.42% vs 9.15% for IEUR. On fees, IEUR is cheaper at 0.09% 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 9.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

IEUR is cheaper with a 0.09% expense ratio, compared with 0.80% for FSZ.

IEUR has the higher dividend yield at 2.81%, compared with 2.39% for FSZ.

FSZ tracks NASDAQ AlphaDEX Switzerland Index, while IEUR tracks MSCI Europe Investable Market Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.80% for FSZ and 0.09% for IEUR.

IEUR currently has the higher Sharpe Ratio (1.15 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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