FSZ vs. SPY

Last updated Jun 4, 2026

FSZ (First Trust Switzerland AlphaDEX Fund) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - FSZ is a Europe Equities fund tracking the NASDAQ AlphaDEX Switzerland Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, FSZ returned 9.42%/yr vs 15.49%/yr for SPY. A 0.58 correlation means they provide meaningful diversification when combined. FSZ charges 0.80%/yr vs 0.09%/yr for SPY.

Performance

FSZ vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Switzerland AlphaDEX Fund (FSZ) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FSZ achieves a 2.04% return, which is significantly lower than SPY's 10.91% return. Over the past 10 years, FSZ has underperformed SPY with an annualized return of 9.42%, while SPY has yielded a comparatively higher 15.49% annualized return.

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%

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

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

FSZ vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
SPY State Street SPDR S&P 500 ETF	10.91%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between FSZ and SPY is 0.60, 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	0.60
Correlation (3Y) Calculated over the trailing 3-year period	0.52
Correlation (5Y) Calculated over the trailing 5-year period	0.55
Correlation (10Y) Calculated over the trailing 10-year period	0.58
Correlation (All Time) Calculated using the full available price history since Feb 17, 2012	0.58

The correlation between FSZ and SPY has been stable across timeframes, ranging from 0.52 to 0.60 - a consistent structural relationship.

FSZ vs. SPY - Sectors Allocation Comparison

Sectors	FSZ	SPY
Industrials	22.0%	7.8%
Healthcare	22.0%	8.4%
Financial Services	18.9%	11.8%
Consumer Cyclical	10.0%	10.3%
Basic Materials	8.2%	1.8%
Consumer Defensive	6.6%	4.8%
Communication Services	3.9%	11.3%
Real Estate	3.7%	1.9%
Utilities	3.1%	2.4%
Technology	1.6%	35.9%
Energy	-	3.6%

Return for Risk

FSZ vs. SPY — Risk / Return Rank

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

FSZ

FSZ Risk / Return Rank: 20
FSZ Sharpe Ratio Rank: 21
FSZ Sortino Ratio Rank: 20
FSZ Omega Ratio Rank: 19
FSZ Calmar Ratio Rank: 21
FSZ Martin Ratio Rank: 20

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

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. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Switzerland AlphaDEX Fund (FSZ) and State Street SPDR S&P 500 ETF (SPY). 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	SPY	Difference
Sharpe ratio Return per unit of total volatility	0.70	2.38	-1.67
Sortino ratio Return per unit of downside risk	1.10	3.24	-2.14
Omega ratio Gain probability vs. loss probability	1.13	1.43	-0.30
Calmar ratio Return relative to maximum drawdown	0.96	3.16	-2.20
Martin ratio Return relative to average drawdown	2.41	14.72	-12.31
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. SPY - Sharpe Ratio Comparison

The current FSZ Sharpe Ratio is 0.70, which is lower than the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of FSZ and SPY, 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

	FSZ	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.70	2.38	-1.67
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.31	0.82	-0.51
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.87	-0.37
Sharpe Ratio (All Time) Calculated using the full available price history	0.52	0.59	-0.07

Drawdowns

FSZ vs. SPY - Drawdown Comparison

The maximum FSZ drawdown since its inception was -33.97%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FSZ and SPY.

Drawdown Indicators

	FSZ	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-33.97%	-55.19%	+21.22%
Max Drawdown (1Y) Largest decline over 1 year	-10.39%	-8.88%	-1.51%
Max Drawdown (3Y) Largest decline over 3 years	-13.93%	-18.76%	+4.83%
Max Drawdown (5Y) Largest decline over 5 years	-33.96%	-24.50%	-9.46%
Max Drawdown (10Y) Largest decline over 10 years	-33.97%	-33.72%	-0.25%
Current Drawdown Current decline from peak	-5.11%	-0.70%	-4.41%
Average Drawdown Average peak-to-trough decline	-7.00%	-9.05%	+2.05%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.14%	1.91%	+2.23%

Volatility

FSZ vs. SPY - Volatility Comparison

First Trust Switzerland AlphaDEX Fund (FSZ) has a higher volatility of 4.72% compared to State Street SPDR S&P 500 ETF (SPY) at 2.84%. This indicates that FSZ's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FSZ	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.72%	2.84%	+1.88%
Volatility (6M) Calculated over the trailing 6-month period	10.70%	8.90%	+1.80%
Volatility (1Y) Calculated over the trailing 1-year period	14.25%	11.83%	+2.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.34%	17.05%	+2.29%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.95%	17.94%	+1.01%

FSZ vs. SPY - Expense Ratio Comparison

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

Dividends

FSZ vs. SPY - Dividend Comparison

FSZ's dividend yield for the trailing twelve months is around 2.39%, more than SPY's 0.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
SPY State Street SPDR S&P 500 ETF	0.98%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both FSZ and SPY in my portfolio?

FSZ and SPY have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FSZ or SPY?

FSZ has higher volatility (4.72%) compared to SPY (2.84%). In terms of maximum drawdown, FSZ dropped -33.97% vs SPY's -55.19%.

Which ETF is better, FSZ or SPY?

On 10-year performance, SPY leads with 15.49% vs 9.42% for FSZ. On fees, SPY is cheaper at 0.09% per year. On volatility, SPY has been the lower-risk option at 2.84%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FSZ or SPY?

Over the 10-year period, SPY has performed better with a 15.49% return vs 9.42%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FSZ or SPY?

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

Which ETF pays a higher dividend yield, FSZ or SPY?

FSZ has the higher dividend yield at 2.39%, compared with 0.98% for SPY.

What is the main difference between FSZ and SPY?

FSZ is categorized as Europe Equities, while SPY is S&P 500. FSZ tracks NASDAQ AlphaDEX Switzerland Index, while SPY tracks S&P 500 Index. They also come from different issuers: First Trust and State Street. Their fees differ too: 0.80% for FSZ and 0.09% for SPY.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.38 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.