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You cannot directly switch a partition from the partitioned table to a table in a different file group, but you can do it indirectly.
- Create a table (named SourceTemp) with the same structure as the partitioned table on the same filegroup
- Switch the partition from the partitioned table to the table SourceTemp on the same filegroup
- Export data from the table SourceTemp to the destination table on another file group.
- Drop the table SourceTemp