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FXU vs. FJP
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FXU vs. FJP

Last updated Jun 13, 2026

FXU (First Trust Utilities AlphaDEX Fund) and FJP (First Trust Japan AlphaDEX Fund) are both exchange-traded funds - FXU is a Utilities Equities fund tracking the StrataQuant Utilities Index, while FJP is a Japan Equities fund tracking the NASDAQ AlphaDEX Japan Index. Both are passively managed. Over the past 10 years, FXU returned 9.38%/yr vs 7.61%/yr for FJP. At a 0.31 correlation, their price movements are largely independent. FXU charges 0.62%/yr vs 0.80%/yr for FJP.

Performance

FXU vs. FJP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Utilities AlphaDEX Fund (FXU) and First Trust Japan AlphaDEX Fund (FJP). 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 lower than FJP's 12.56% return. Over the past 10 years, FXU has outperformed FJP with an annualized return of 9.38%, while FJP has yielded a comparatively lower 7.61% 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%

FJP

1D
1.05%
1M
-5.42%
YTD
12.56%
6M
11.54%
1Y
31.75%
3Y*
19.57%
5Y*
10.59%
10Y*
7.61%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FXU vs. FJP - 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%
FJP
First Trust Japan AlphaDEX Fund		12.56%33.60%5.80%23.00%-12.83%-1.13%3.60%7.72%-18.60%27.63%

Correlation

The correlation between FXU and FJP is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.

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

0.24

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

0.25

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

0.27

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

0.29

Correlation (All Time)
Calculated using the full available price history since Apr 26, 2011

0.31

FXU vs. FJP - Sectors Allocation Comparison

Sectors
FXU
FJP

Utilities

92.0%
6.1%

Industrials

4.2%
45.0%

Energy

3.7%
4.2%

Basic Materials

-

9.7%

Communication Services

-

0.7%

Consumer Cyclical

-

12.0%

Consumer Defensive

-

0.8%

Financial Services

-

5.6%

Healthcare

-

3.6%

Real Estate

-

3.5%

Technology

-

8.9%

Utilities

FXU
92.0%
FJP
6.1%

Industrials

FXU
4.2%
FJP
45.0%

Energy

FXU
3.7%
FJP
4.2%

Basic Materials

FXU

-

FJP
9.7%

Communication Services

FXU

-

FJP
0.7%

Consumer Cyclical

FXU

-

FJP
12.0%

Consumer Defensive

FXU

-

FJP
0.8%

Financial Services

FXU

-

FJP
5.6%

Healthcare

FXU

-

FJP
3.6%

Real Estate

FXU

-

FJP
3.5%

Technology

FXU

-

FJP
8.9%

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First Trust Utilities AlphaDEX Fund

First Trust Japan AlphaDEX Fund

Often compared with FXU:
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Often compared with FJP:
FJP vs. IAUMFJP vs. EWJFJP vs. QQQFJP vs. EWJVFJP vs. DXJFJP vs. VOOFJP vs. DGRW

Return for Risk

FXU vs. FJP — 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
FJP
FJP Risk / Return Rank: 4949
Overall Rank
FJP Sharpe Ratio Rank: 5050
Sharpe Ratio Rank
FJP Sortino Ratio Rank: 4949
Sortino Ratio Rank
FJP Omega Ratio Rank: 4949
Omega Ratio Rank
FJP Calmar Ratio Rank: 5151
Calmar Ratio Rank
FJP Martin Ratio Rank: 4545
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. FJP - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Utilities AlphaDEX Fund (FXU) and First Trust Japan AlphaDEX Fund (FJP). 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.

FXUFJPDifference
Sharpe ratioReturn per unit of total volatility
1.26
1.53

-0.27

Sortino ratioReturn per unit of downside risk
1.75
2.14

-0.40

Omega ratioGain probability vs. loss probability

1.21

1.27

-0.06

Calmar ratioReturn relative to maximum drawdown

1.93

2.22

-0.30

Martin ratioReturn relative to average drawdown

5.17

6.55

-1.38

FXU vs. FJP - Sharpe Ratio Comparison

The current FXU Sharpe Ratio is 1.26, which is comparable to the FJP Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of FXU and FJP, 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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Drawdowns

FXU vs. FJP - Drawdown Comparison

The maximum FXU drawdown since its inception was -49.00%, which is greater than FJP's maximum drawdown of -41.51%. Use the drawdown chart below to compare losses from any high point for FXU and FJP.

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Drawdown Indicators

FXUFJPDifference

Max Drawdown

Largest peak-to-trough decline

-49.00%

-41.51%

-7.49%

Max Drawdown (1Y)

Largest decline over 1 year

-8.63%

-14.43%

+5.80%

Max Drawdown (3Y)

Largest decline over 3 years

-17.46%

-17.02%

-0.44%

Max Drawdown (5Y)

Largest decline over 5 years

-21.87%

-31.88%

+10.01%

Max Drawdown (10Y)

Largest decline over 10 years

-34.81%

-41.51%

+6.70%

Current Drawdown

Current decline from peak

-5.57%

-7.75%

+2.18%

Average Drawdown

Average peak-to-trough decline

-7.63%

-11.45%

+3.82%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.22%

4.89%

-1.67%

Volatility

FXU vs. FJP - Volatility Comparison

The current volatility for First Trust Utilities AlphaDEX Fund (FXU) is 5.01%, while First Trust Japan AlphaDEX Fund (FJP) has a volatility of 7.16%. This indicates that FXU experiences smaller price fluctuations and is considered to be less risky than FJP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FXUFJPDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.01%

7.16%

-2.15%

Volatility (6M)

Calculated over the trailing 6-month period

10.33%

17.43%

-7.10%

Volatility (1Y)

Calculated over the trailing 1-year period

13.30%

21.00%

-7.70%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.61%

20.43%

-3.82%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.34%

18.91%

-0.57%

FXU vs. FJP - Expense Ratio Comparison

FXU has a 0.62% expense ratio, which is lower than FJP's 0.80% expense ratio.

Dividends

FXU vs. FJP - Dividend Comparison

FXU's dividend yield for the trailing twelve months is around 2.16%, less than FJP's 2.53% yield.

PositionTTM20252024202320222021202020192018201720162015
FJP
First Trust Japan AlphaDEX Fund		2.53%2.68%3.18%3.49%2.21%2.43%0.99%2.80%1.54%1.29%1.46%0.85%
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 FJP have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

FJP has higher volatility (7.16%) compared to FXU (5.01%). In terms of maximum drawdown, FXU dropped -49.00% vs FJP's -41.51%.

On 10-year performance, FXU leads with 9.38% vs 7.61% for FJP. On fees, FXU is cheaper at 0.62% 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, FXU has performed better with a 9.38% return vs 7.61%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

FXU is cheaper with a 0.62% expense ratio, compared with 0.80% for FJP.

FJP has the higher dividend yield at 2.53%, compared with 2.16% for FXU.

FXU is categorized as Utilities Equities, while FJP is Japan Equities. FXU tracks StrataQuant Utilities Index, while FJP tracks NASDAQ AlphaDEX Japan Index. Their fees differ too: 0.62% for FXU and 0.80% for FJP.

FJP currently has the higher Sharpe Ratio (1.53 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.

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