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VGK vs. FSZ
Performance
Return for Risk
Drawdowns
Volatility
Dividends

VGK vs. FSZ

Last updated Jun 21, 2026

VGK (Vanguard FTSE Europe ETF) and FSZ (First Trust Switzerland AlphaDEX Fund) are both Europe Equities funds - VGK tracks the FTSE Developed Europe All Cap Index while FSZ tracks the NASDAQ AlphaDEX Switzerland Index. Both are passively managed. Over the past 10 years, VGK returned 9.65%/yr vs 9.70%/yr for FSZ. A 0.77 correlation means they provide meaningful diversification when combined. VGK charges 0.06%/yr vs 0.80%/yr for FSZ.

Performance

VGK vs. FSZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard FTSE Europe ETF (VGK) and First Trust Switzerland AlphaDEX Fund (FSZ). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, VGK achieves a 7.51% return, which is significantly higher than FSZ's 3.14% return. Both investments have delivered pretty close results over the past 10 years, with VGK having a 9.65% annualized return and FSZ not far ahead at 9.70%.

VGK

1D
0.27%
1M
0.80%
YTD
7.51%
6M
8.58%
1Y
21.66%
3Y*
16.00%
5Y*
9.25%
10Y*
9.65%

FSZ

1D
-0.29%
1M
0.15%
YTD
3.14%
6M
3.67%
1Y
13.68%
3Y*
12.28%
5Y*
6.64%
10Y*
9.70%
*Multi-year figures are annualized to reflect compound growth (CAGR)

VGK vs. FSZ - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
VGK
Vanguard FTSE Europe ETF		7.51%35.83%1.88%20.19%-15.98%16.89%5.43%24.85%-14.89%26.98%
FSZ
First Trust Switzerland AlphaDEX Fund		3.14%30.10%-1.85%21.30%-20.12%20.18%13.83%25.88%-15.22%31.30%

Correlation

The correlation between VGK and FSZ is 0.85, 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

0.85

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

0.79

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

0.78

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

0.80

Correlation (All Time)
Calculated using the full available price history since Feb 16, 2012

0.77

The correlation between VGK and FSZ has been stable across timeframes, ranging from 0.77 to 0.85 - a consistent structural relationship.

VGK vs. FSZ - Sectors Allocation Comparison

Sectors
VGK
FSZ

Financial Services

23.6%
22.0%

Industrials

19.3%
17.1%

Healthcare

11.9%
14.6%

Consumer Defensive

8.4%
4.9%

Technology

8.2%
4.9%

Consumer Cyclical

6.8%
7.3%

Basic Materials

5.3%
9.8%

Energy

5.3%

-

Utilities

4.7%
2.4%

Communication Services

3.3%
2.4%

Real Estate

1.5%
2.4%

Financial Services

VGK
23.6%
FSZ
22.0%

Industrials

VGK
19.3%
FSZ
17.1%

Healthcare

VGK
11.9%
FSZ
14.6%

Consumer Defensive

VGK
8.4%
FSZ
4.9%

Technology

VGK
8.2%
FSZ
4.9%

Consumer Cyclical

VGK
6.8%
FSZ
7.3%

Basic Materials

VGK
5.3%
FSZ
9.8%

Energy

VGK
5.3%
FSZ

-

Utilities

VGK
4.7%
FSZ
2.4%

Communication Services

VGK
3.3%
FSZ
2.4%

Real Estate

VGK
1.5%
FSZ
2.4%

Compare stocks, funds, or ETFs

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

Vanguard FTSE Europe ETF

First Trust Switzerland AlphaDEX Fund

Often compared with VGK:
VGK vs. VEAVGK vs. IEURVGK vs. VOOVGK vs. VXUSVGK vs. VEUVGK vs. FEZVGK vs. SPEU
Often compared with FSZ:
FSZ vs. EWLFSZ vs. FLSWFSZ vs. IAUFSZ vs. SPYFSZ vs. EWGFSZ vs. EZUFSZ vs. EWI

Return for Risk

VGK vs. FSZ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
VGK
VGK Risk / Return Rank: 3939
Overall Rank
VGK Sharpe Ratio Rank: 3939
Sharpe Ratio Rank
VGK Sortino Ratio Rank: 3939
Sortino Ratio Rank
VGK Omega Ratio Rank: 3737
Omega Ratio Rank
VGK Calmar Ratio Rank: 3636
Calmar Ratio Rank
VGK Martin Ratio Rank: 4242
Martin Ratio Rank
FSZ
FSZ Risk / Return Rank: 2424
Overall Rank
FSZ Sharpe Ratio Rank: 2525
Sharpe Ratio Rank
FSZ Sortino Ratio Rank: 2424
Sortino Ratio Rank
FSZ Omega Ratio Rank: 2323
Omega Ratio Rank
FSZ Calmar Ratio Rank: 2525
Calmar Ratio Rank
FSZ Martin Ratio Rank: 2323
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.

VGK vs. FSZ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard FTSE Europe ETF (VGK) and First Trust Switzerland AlphaDEX Fund (FSZ). 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.

VGKFSZDifference
Sharpe ratioReturn per unit of total volatility
1.33
0.86

+0.47

Sortino ratioReturn per unit of downside risk
1.94
1.33

+0.62

Omega ratioGain probability vs. loss probability

1.24

1.16

+0.08

Calmar ratioReturn relative to maximum drawdown

1.74

1.19

+0.55

Martin ratioReturn relative to average drawdown

6.46

2.93

+3.53

VGK vs. FSZ - Sharpe Ratio Comparison

The current VGK Sharpe Ratio is 1.33, which is higher than the FSZ Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of VGK and FSZ, 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

VGK vs. FSZ - Drawdown Comparison

The maximum VGK drawdown since its inception was -63.61%, which is greater than FSZ's maximum drawdown of -33.97%. Use the drawdown chart below to compare losses from any high point for VGK and FSZ.

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Drawdown Indicators

VGKFSZDifference

Max Drawdown

Largest peak-to-trough decline

-63.61%

-33.97%

-29.64%

Max Drawdown (1Y)

Largest decline over 1 year

-12.09%

-10.39%

-1.70%

Max Drawdown (3Y)

Largest decline over 3 years

-14.31%

-13.93%

-0.38%

Max Drawdown (5Y)

Largest decline over 5 years

-32.74%

-33.96%

+1.22%

Max Drawdown (10Y)

Largest decline over 10 years

-37.24%

-33.97%

-3.27%

Current Drawdown

Current decline from peak

-0.66%

-4.09%

+3.43%

Average Drawdown

Average peak-to-trough decline

-13.32%

-6.99%

-6.33%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.25%

4.23%

-0.98%

Volatility

VGK vs. FSZ - Volatility Comparison

Vanguard FTSE Europe ETF (VGK) has a higher volatility of 5.23% compared to First Trust Switzerland AlphaDEX Fund (FSZ) at 4.40%. This indicates that VGK's price experiences larger fluctuations and is considered to be riskier than FSZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

VGKFSZDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.23%

4.40%

+0.83%

Volatility (6M)

Calculated over the trailing 6-month period

13.34%

11.10%

+2.24%

Volatility (1Y)

Calculated over the trailing 1-year period

15.77%

14.38%

+1.39%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.96%

19.35%

-1.39%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.94%

18.93%

+0.01%

VGK vs. FSZ - Expense Ratio Comparison

VGK has a 0.06% expense ratio, which is lower than FSZ's 0.80% expense ratio.

Dividends

VGK vs. FSZ - Dividend Comparison

VGK's dividend yield for the trailing twelve months is around 4.16%, more than FSZ's 2.36% yield.

PositionTTM20252024202320222021202020192018201720162015
FSZ
First Trust Switzerland AlphaDEX Fund		2.36%1.80%1.80%2.11%3.50%1.62%1.53%2.01%2.29%1.49%1.93%1.08%
VGK
Vanguard FTSE Europe ETF		2.91%2.86%3.61%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%

Frequently Asked Questions

VGK and FSZ have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

VGK has higher volatility (5.23%) compared to FSZ (4.40%). In terms of maximum drawdown, VGK dropped -63.61% vs FSZ's -33.97%.

On 10-year performance, FSZ leads with 9.70% vs 9.65% for VGK. On fees, VGK is cheaper at 0.06% per year. On volatility, FSZ has been the lower-risk option at 4.40%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, FSZ has performed better with a 9.70% return vs 9.65%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

VGK is cheaper with a 0.06% expense ratio, compared with 0.80% for FSZ.

VGK has the higher dividend yield at 2.91%, compared with 2.36% for FSZ.

VGK tracks FTSE Developed Europe All Cap Index, while FSZ tracks NASDAQ AlphaDEX Switzerland Index. They also come from different issuers: Vanguard and First Trust. Their fees differ too: 0.06% for VGK and 0.80% for FSZ.

VGK currently has the higher Sharpe Ratio (1.33 vs 0.86), 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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