FXZ vs. VGUS

Last updated Jun 23, 2026

FXZ (First Trust Materials AlphaDEX Fund) and VGUS (Vanguard Ultra-Short Treasury ETF) are both exchange-traded funds - FXZ is a Materials fund tracking the StrataQuant Materials Index, while VGUS is a Ultrashort Bond fund tracking the Bloomberg Short Treasury Index. Both are passively managed. Over the past year, FXZ returned 49.88% vs 3.86% for VGUS. At a correlation of -0.13, they often move in opposite directions. FXZ charges 0.67%/yr vs 0.07%/yr for VGUS.

Performance

FXZ vs. VGUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Materials AlphaDEX Fund (FXZ) and Vanguard Ultra-Short Treasury ETF (VGUS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FXZ achieves a 27.55% return, which is significantly higher than VGUS's 1.59% return.

FXZ

• 1D: -0.37%
• 1M: 3.14%
• YTD: 27.55%
• 6M: 25.29%
• 1Y: 49.88%
• 3Y*: 12.13%
• 5Y*: 9.35%
• 10Y*: 11.74%

VGUS

• 1D: 0.01%
• 1M: 0.18%
• YTD: 1.59%
• 6M: 1.69%
• 1Y: 3.86%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

FXZ vs. VGUS - Yearly Performance Comparison

	2026 (YTD)	2025
FXZ First Trust Materials AlphaDEX Fund	27.55%	11.82%
VGUS Vanguard Ultra-Short Treasury ETF	1.59%	3.78%

Correlation

The correlation between FXZ and VGUS is -0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.09
Correlation (All Time) Calculated using the full available price history since Feb 11, 2025	-0.13

Return for Risk

FXZ vs. VGUS — Risk / Return Rank

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

FXZ

FXZ Risk / Return Rank: 71
FXZ Sharpe Ratio Rank: 72
FXZ Sortino Ratio Rank: 67
FXZ Omega Ratio Rank: 62
FXZ Calmar Ratio Rank: 79
FXZ Martin Ratio Rank: 78

VGUS

VGUS Risk / Return Rank: 99
VGUS Sharpe Ratio Rank: 100
VGUS Sortino Ratio Rank: 99
VGUS Omega Ratio Rank: 99
VGUS Calmar Ratio Rank: 99
VGUS Martin Ratio Rank: 100

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.

FXZ vs. VGUS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Materials AlphaDEX Fund (FXZ) and Vanguard Ultra-Short Treasury ETF (VGUS). 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.

	FXZ	VGUS	Difference
Sharpe ratio: Return per unit of total volatility	2.22	11.86	-9.65
Sortino ratio: Return per unit of downside risk	2.95	34.14	-31.18
Omega ratio: Gain probability vs. loss probability	1.37	10.51	-9.14
Calmar ratio: Return relative to maximum drawdown	3.93	53.22	-49.29
Martin ratio: Return relative to average drawdown	14.62	402.91	-388.28

FXZ vs. VGUS - Sharpe Ratio Comparison

The current FXZ Sharpe Ratio is 2.22, which is lower than the VGUS Sharpe Ratio of 11.86. The chart below compares the historical Sharpe Ratios of FXZ and VGUS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FXZ vs. VGUS - Drawdown Comparison

The maximum FXZ drawdown since its inception was -65.46%, which is greater than VGUS's maximum drawdown of -0.07%. Use the drawdown chart below to compare losses from any high point for FXZ and VGUS.

Drawdown Indicators

	FXZ	VGUS	Difference
Max Drawdown Largest peak-to-trough decline	-65.46%	-0.07%	-65.39%
Max Drawdown (1Y) Largest decline over 1 year	-12.75%	-0.07%	-12.68%
Max Drawdown (3Y) Largest decline over 3 years	-33.99%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-33.99%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-49.41%	—	—
Current Drawdown Current decline from peak	-2.85%	0.00%	-2.85%
Average Drawdown Average peak-to-trough decline	-11.33%	-0.00%	-11.33%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.42%	0.01%	+3.41%

Volatility

FXZ vs. VGUS - Volatility Comparison

First Trust Materials AlphaDEX Fund (FXZ) has a higher volatility of 7.37% compared to Vanguard Ultra-Short Treasury ETF (VGUS) at 0.12%. This indicates that FXZ's price experiences larger fluctuations and is considered to be riskier than VGUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FXZ	VGUS	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.37%	0.12%	+7.25%
Volatility (6M) Calculated over the trailing 6-month period	17.03%	0.18%	+16.85%
Volatility (1Y) Calculated over the trailing 1-year period	22.66%	0.33%	+22.33%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.17%	0.34%	+23.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.94%	0.34%	+24.60%

FXZ vs. VGUS - Expense Ratio Comparison

FXZ has a 0.67% expense ratio, which is higher than VGUS's 0.07% expense ratio.

Dividends

FXZ vs. VGUS - Dividend Comparison

FXZ's dividend yield for the trailing twelve months is around 1.41%, less than VGUS's 3.60% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FXZ First Trust Materials AlphaDEX Fund	1.41%	1.74%	1.81%	1.97%	1.56%	1.11%	1.51%	1.58%	1.38%	1.01%	1.19%	1.26%
VGUS Vanguard Ultra-Short Treasury ETF	3.60%	3.12%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FXZ and VGUS in my portfolio?

FXZ and VGUS have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FXZ or VGUS?

FXZ has higher volatility (7.37%) compared to VGUS (0.12%). In terms of maximum drawdown, FXZ dropped -65.46% vs VGUS's -0.07%.

Which ETF is better, FXZ or VGUS?

On 1-year performance, FXZ leads with 49.88% vs 3.86% for VGUS. On fees, VGUS is cheaper at 0.07% per year. On volatility, VGUS has been the lower-risk option at 0.12%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FXZ or VGUS?

Over the 1-year period, FXZ has performed better with a 49.88% return vs 3.86%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FXZ or VGUS?

VGUS is cheaper with a 0.07% expense ratio, compared with 0.67% for FXZ.

Which ETF pays a higher dividend yield, FXZ or VGUS?

VGUS has the higher dividend yield at 3.60%, compared with 1.41% for FXZ.

What is the main difference between FXZ and VGUS?

FXZ is categorized as Materials, while VGUS is Ultrashort Bond. FXZ tracks StrataQuant Materials Index, while VGUS tracks Bloomberg Short Treasury Index. They also come from different issuers: First Trust and Vanguard. Their fees differ too: 0.67% for FXZ and 0.07% for VGUS.

Which has better risk-adjusted returns?

VGUS currently has the higher Sharpe Ratio (11.86 vs 2.22), 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.