PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
FXU vs. EUFN
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FXU vs. EUFN

Last updated Jun 13, 2026

FXU (First Trust Utilities AlphaDEX Fund) and EUFN (iShares MSCI Europe Financials ETF) are both exchange-traded funds - FXU is a Utilities Equities fund tracking the StrataQuant Utilities Index, while EUFN is a Financials Equities fund tracking the MSCI Europe Financials Index. Both are passively managed. Over the past 10 years, FXU returned 9.38%/yr vs 13.48%/yr for EUFN. At a 0.42 correlation, their price movements are largely independent. FXU charges 0.62%/yr vs 0.48%/yr for EUFN.

Performance

FXU vs. EUFN - Performance Comparison

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

Loading charts...

Returns By Period

In the year-to-date period, FXU achieves a 8.19% return, which is significantly higher than EUFN's 4.75% return. Over the past 10 years, FXU has underperformed EUFN with an annualized return of 9.38%, while EUFN has yielded a comparatively higher 13.48% annualized return.

FXU

1D
0.87%
1M
0.66%
YTD
8.19%
6M
8.80%
1Y
17.67%
3Y*
17.64%
5Y*
11.71%
10Y*
9.38%

EUFN

1D
1.20%
1M
3.43%
YTD
4.75%
6M
9.10%
1Y
28.57%
3Y*
32.04%
5Y*
18.43%
10Y*
13.48%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FXU vs. EUFN - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FXU
First Trust Utilities AlphaDEX Fund		8.19%21.86%22.50%-2.12%3.68%17.67%1.53%11.67%5.43%0.98%
EUFN
iShares MSCI Europe Financials ETF		4.75%65.73%17.20%26.15%-8.78%19.13%-8.55%20.73%-23.14%26.94%

Correlation

The correlation between FXU and EUFN is 0.18, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.18

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

0.30

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

0.36

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

0.34

Correlation (All Time)
Calculated using the full available price history since Feb 3, 2010

0.42

Over the past year, the correlation between FXU and EUFN has dropped to 0.18 - well below their long-term average of 0.42, suggesting their price drivers have been diverging.

FXU vs. EUFN - Sectors Allocation Comparison

Sectors
FXU
EUFN

Utilities

92.0%

-

Industrials

4.2%
0.4%

Energy

3.7%

-

Basic Materials

-

-

Communication Services

-

-

Consumer Cyclical

-

0.2%

Consumer Defensive

-

-

Financial Services

-

97.1%

Healthcare

-

-

Real Estate

-

-

Technology

-

1.0%

Utilities

FXU
92.0%
EUFN

-

Industrials

FXU
4.2%
EUFN
0.4%

Energy

FXU
3.7%
EUFN

-

Basic Materials

FXU

-

EUFN

-

Communication Services

FXU

-

EUFN

-

Consumer Cyclical

FXU

-

EUFN
0.2%

Consumer Defensive

FXU

-

EUFN

-

Financial Services

FXU

-

EUFN
97.1%

Healthcare

FXU

-

EUFN

-

Real Estate

FXU

-

EUFN

-

Technology

FXU

-

EUFN
1.0%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

First Trust Utilities AlphaDEX Fund

iShares MSCI Europe Financials ETF

Often compared with FXU:
FXU vs. UTESFXU vs. XLUFXU vs. VPUFXU vs. IDUFXU vs. JXIFXU vs. PUIFXU vs. VOO
Often compared with EUFN:
EUFN vs. XLFEUFN vs. FDDEUFN vs. SPYEUFN vs. GSIBEUFN vs. EURLEUFN vs. IEUREUFN vs. EIRL

Return for Risk

FXU vs. EUFN — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FXU
FXU Risk / Return Rank: 3939
Overall Rank
FXU Sharpe Ratio Rank: 4040
Sharpe Ratio Rank
FXU Sortino Ratio Rank: 3737
Sortino Ratio Rank
FXU Omega Ratio Rank: 3636
Omega Ratio Rank
FXU Calmar Ratio Rank: 4444
Calmar Ratio Rank
FXU Martin Ratio Rank: 3737
Martin Ratio Rank
EUFN
EUFN Risk / Return Rank: 4242
Overall Rank
EUFN Sharpe Ratio Rank: 4242
Sharpe Ratio Rank
EUFN Sortino Ratio Rank: 4242
Sortino Ratio Rank
EUFN Omega Ratio Rank: 3939
Omega Ratio Rank
EUFN Calmar Ratio Rank: 4141
Calmar Ratio Rank
EUFN Martin Ratio Rank: 4444
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.

FXU vs. EUFN - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Utilities AlphaDEX Fund (FXU) and iShares MSCI Europe Financials ETF (EUFN). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

FXUEUFNDifference
Sharpe ratioReturn per unit of total volatility
1.26
1.31

-0.05

Sortino ratioReturn per unit of downside risk
1.75
1.92

-0.17

Omega ratioGain probability vs. loss probability

1.21

1.23

-0.01

Calmar ratioReturn relative to maximum drawdown

1.93

1.79

+0.14

Martin ratioReturn relative to average drawdown

5.17

6.24

-1.07

FXU vs. EUFN - Sharpe Ratio Comparison

The current FXU Sharpe Ratio is 1.26, which is comparable to the EUFN Sharpe Ratio of 1.31. The chart below compares the historical Sharpe Ratios of FXU and EUFN, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

FXU vs. EUFN - Drawdown Comparison

The maximum FXU drawdown since its inception was -49.00%, smaller than the maximum EUFN drawdown of -53.25%. Use the drawdown chart below to compare losses from any high point for FXU and EUFN.

Loading charts...

Drawdown Indicators

FXUEUFNDifference

Max Drawdown

Largest peak-to-trough decline

-49.00%

-53.25%

+4.25%

Max Drawdown (1Y)

Largest decline over 1 year

-8.63%

-14.77%

+6.14%

Max Drawdown (3Y)

Largest decline over 3 years

-17.46%

-15.95%

-1.51%

Max Drawdown (5Y)

Largest decline over 5 years

-21.87%

-35.15%

+13.28%

Max Drawdown (10Y)

Largest decline over 10 years

-34.81%

-53.25%

+18.44%

Current Drawdown

Current decline from peak

-5.57%

-0.10%

-5.47%

Average Drawdown

Average peak-to-trough decline

-7.63%

-14.53%

+6.90%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.22%

4.23%

-1.01%

Volatility

FXU vs. EUFN - Volatility Comparison

The current volatility for First Trust Utilities AlphaDEX Fund (FXU) is 5.01%, while iShares MSCI Europe Financials ETF (EUFN) has a volatility of 6.96%. This indicates that FXU experiences smaller price fluctuations and is considered to be less risky than EUFN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

FXUEUFNDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.01%

6.96%

-1.95%

Volatility (6M)

Calculated over the trailing 6-month period

10.33%

17.05%

-6.72%

Volatility (1Y)

Calculated over the trailing 1-year period

13.30%

20.17%

-6.87%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.61%

21.88%

-5.27%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.34%

24.53%

-6.19%

FXU vs. EUFN - Expense Ratio Comparison

FXU has a 0.62% expense ratio, which is higher than EUFN's 0.48% expense ratio.

Dividends

FXU vs. EUFN - Dividend Comparison

FXU's dividend yield for the trailing twelve months is around 2.16%, less than EUFN's 3.41% yield.

PositionTTM20252024202320222021202020192018201720162015
EUFN
iShares MSCI Europe Financials ETF		3.41%3.57%5.36%5.00%4.24%4.15%1.38%4.55%6.48%3.04%4.03%3.65%
FXU
First Trust Utilities AlphaDEX Fund		2.16%2.29%2.41%2.52%2.03%2.00%3.97%2.34%2.40%3.81%2.62%3.90%

Frequently Asked Questions

FXU and EUFN have a correlation of 0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

EUFN has higher volatility (6.96%) compared to FXU (5.01%). In terms of maximum drawdown, FXU dropped -49.00% vs EUFN's -53.25%.

On 10-year performance, EUFN leads with 13.48% vs 9.38% for FXU. On fees, EUFN is cheaper at 0.48% per year. On volatility, FXU has been the lower-risk option at 5.01%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, EUFN has performed better with a 13.48% return vs 9.38%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

EUFN is cheaper with a 0.48% expense ratio, compared with 0.62% for FXU.

EUFN has the higher dividend yield at 3.41%, compared with 2.16% for FXU.

FXU is categorized as Utilities Equities, while EUFN is Financials Equities. FXU tracks StrataQuant Utilities Index, while EUFN tracks MSCI Europe Financials Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.62% for FXU and 0.48% for EUFN.

EUFN currently has the higher Sharpe Ratio (1.31 vs 1.26), 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.

Portfolio Optimizer

Find the right allocation for FXU and EUFN

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer