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IEUR vs. FEP
Performance
Return for Risk
Drawdowns
Volatility
Dividends

IEUR vs. FEP

Last updated Jun 24, 2026

IEUR (iShares Core MSCI Europe ETF) and FEP (First Trust Europe AlphaDEX Fund) are both Europe Equities funds - IEUR tracks the MSCI Europe Investable Market Index while FEP tracks the Defined Europe Index. Both are passively managed. Over the past 10 years, IEUR returned 10.23%/yr vs 11.19%/yr for FEP. Their correlation of 0.93 suggests significant overlap in exposure. IEUR charges 0.09%/yr vs 0.80%/yr for FEP.

Performance

IEUR vs. FEP - Performance Comparison

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

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Returns By Period

In the year-to-date period, IEUR achieves a 6.23% return, which is significantly lower than FEP's 7.28% return. Over the past 10 years, IEUR has underperformed FEP with an annualized return of 10.23%, while FEP has yielded a comparatively higher 11.19% annualized return.

IEUR

1D
-1.07%
1M
-0.12%
YTD
6.23%
6M
6.35%
1Y
18.45%
3Y*
16.54%
5Y*
8.37%
10Y*
10.23%

FEP

1D
-1.39%
1M
-2.05%
YTD
7.28%
6M
7.31%
1Y
27.23%
3Y*
23.84%
5Y*
9.54%
10Y*
11.19%
*Multi-year figures are annualized to reflect compound growth (CAGR)

IEUR vs. FEP - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
IEUR
iShares Core MSCI Europe ETF		6.23%35.67%1.40%19.71%-15.90%16.71%5.31%24.95%-14.86%26.70%
FEP
First Trust Europe AlphaDEX Fund		7.28%55.72%3.38%16.85%-22.97%17.03%4.12%24.83%-19.00%36.27%

Correlation

The correlation between IEUR and FEP is 0.92, 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

0.92

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

0.92

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

0.93

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

0.94

Correlation (All Time)
Calculated using the full available price history since Jun 12, 2014

0.93

The correlation between IEUR and FEP has been stable across timeframes, ranging from 0.92 to 0.94 - a consistent structural relationship.

IEUR vs. FEP - Sectors Allocation Comparison

Sectors
IEUR
FEP

Financial Services

22.5%
10.0%

Industrials

20.3%
26.0%

Healthcare

12.5%
4.7%

Technology

9.4%
3.2%

Consumer Defensive

7.7%
7.8%

Consumer Cyclical

7.0%
11.1%

Basic Materials

5.8%
11.6%

Energy

4.9%
10.2%

Utilities

4.4%
6.8%

Communication Services

3.9%
3.6%

Real Estate

1.5%
5.0%

Financial Services

IEUR
22.5%
FEP
10.0%

Industrials

IEUR
20.3%
FEP
26.0%

Healthcare

IEUR
12.5%
FEP
4.7%

Technology

IEUR
9.4%
FEP
3.2%

Consumer Defensive

IEUR
7.7%
FEP
7.8%

Consumer Cyclical

IEUR
7.0%
FEP
11.1%

Basic Materials

IEUR
5.8%
FEP
11.6%

Energy

IEUR
4.9%
FEP
10.2%

Utilities

IEUR
4.4%
FEP
6.8%

Communication Services

IEUR
3.9%
FEP
3.6%

Real Estate

IEUR
1.5%
FEP
5.0%

Compare stocks, funds, or ETFs

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

iShares Core MSCI Europe ETF

First Trust Europe AlphaDEX Fund

Often compared with IEUR:
IEUR vs. VGKIEUR vs. IEVIEUR vs. FEZIEUR vs. IMEU.LIEUR vs. EZUIEUR vs. VOOIEUR vs. EFA
Often compared with FEP:
FEP vs. DFEFEP vs. FEUZFEP vs. HEDJFEP vs. DWMFFEP vs. QYLDFEP vs. DBEUFEP vs. VGK

Return for Risk

IEUR vs. FEP — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
IEUR
IEUR Risk / Return Rank: 3434
Overall Rank
IEUR Sharpe Ratio Rank: 3434
Sharpe Ratio Rank
IEUR Sortino Ratio Rank: 3434
Sortino Ratio Rank
IEUR Omega Ratio Rank: 3333
Omega Ratio Rank
IEUR Calmar Ratio Rank: 3232
Calmar Ratio Rank
IEUR Martin Ratio Rank: 3838
Martin Ratio Rank
FEP
FEP Risk / Return Rank: 4949
Overall Rank
FEP Sharpe Ratio Rank: 4949
Sharpe Ratio Rank
FEP Sortino Ratio Rank: 4848
Sortino Ratio Rank
FEP Omega Ratio Rank: 4747
Omega Ratio Rank
FEP Calmar Ratio Rank: 4949
Calmar Ratio Rank
FEP Martin Ratio Rank: 5353
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.

IEUR vs. FEP - Risk-Adjusted Trends Comparison

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

IEURFEPDifference
Sharpe ratioReturn per unit of total volatility
1.18
1.59

-0.41

Sortino ratioReturn per unit of downside risk
1.75
2.22

-0.47

Omega ratioGain probability vs. loss probability

1.21

1.29

-0.07

Calmar ratioReturn relative to maximum drawdown

1.54

2.25

-0.72

Martin ratioReturn relative to average drawdown

5.77

8.64

-2.88

IEUR vs. FEP - Sharpe Ratio Comparison

The current IEUR Sharpe Ratio is 1.18, which is comparable to the FEP Sharpe Ratio of 1.59. The chart below compares the historical Sharpe Ratios of IEUR and FEP, 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

IEUR vs. FEP - Drawdown Comparison

The maximum IEUR drawdown since its inception was -36.96%, smaller than the maximum FEP drawdown of -46.05%. Use the drawdown chart below to compare losses from any high point for IEUR and FEP.

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Drawdown Indicators

IEURFEPDifference

Max Drawdown

Largest peak-to-trough decline

-36.96%

-46.05%

+9.09%

Max Drawdown (1Y)

Largest decline over 1 year

-12.04%

-12.13%

+0.09%

Max Drawdown (3Y)

Largest decline over 3 years

-14.25%

-15.83%

+1.58%

Max Drawdown (5Y)

Largest decline over 5 years

-32.75%

-38.99%

+6.24%

Max Drawdown (10Y)

Largest decline over 10 years

-36.96%

-46.05%

+9.09%

Current Drawdown

Current decline from peak

-1.77%

-3.89%

+2.12%

Average Drawdown

Average peak-to-trough decline

-8.19%

-11.99%

+3.80%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.21%

3.16%

+0.05%

Volatility

IEUR vs. FEP - Volatility Comparison

The current volatility for iShares Core MSCI Europe ETF (IEUR) is 4.86%, while First Trust Europe AlphaDEX Fund (FEP) has a volatility of 5.32%. This indicates that IEUR experiences smaller price fluctuations and is considered to be less risky than FEP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

IEURFEPDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.86%

5.32%

-0.46%

Volatility (6M)

Calculated over the trailing 6-month period

13.31%

14.58%

-1.27%

Volatility (1Y)

Calculated over the trailing 1-year period

15.72%

17.18%

-1.46%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.79%

19.72%

-1.93%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.30%

20.33%

-2.03%

IEUR vs. FEP - Expense Ratio Comparison

IEUR has a 0.09% expense ratio, which is lower than FEP's 0.80% expense ratio.

Dividends

IEUR vs. FEP - Dividend Comparison

IEUR's dividend yield for the trailing twelve months is around 3.24%, more than FEP's 3.05% yield.

PositionTTM20252024202320222021202020192018201720162015
FEP
First Trust Europe AlphaDEX Fund		3.05%3.33%4.94%3.27%3.00%3.49%2.32%2.63%2.62%1.65%2.14%2.20%
IEUR
iShares Core MSCI Europe ETF		3.24%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

With a correlation of 0.92, IEUR and FEP move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

FEP has higher volatility (5.32%) compared to IEUR (4.86%). In terms of maximum drawdown, IEUR dropped -36.96% vs FEP's -46.05%.

On 10-year performance, FEP leads with 11.19% vs 10.23% for IEUR. On fees, IEUR is cheaper at 0.09% per year. On volatility, IEUR has been the lower-risk option at 4.86%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, FEP has performed better with a 11.19% return vs 10.23%. 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 FEP.

IEUR has the higher dividend yield at 3.24%, compared with 3.05% for FEP.

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

FEP currently has the higher Sharpe Ratio (1.59 vs 1.18), 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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