AFSM vs. FDL

Last updated Aug 5, 2026

AFSM (First Trust Active Factor Small Cap ETF) and FDL (First Trust Morningstar Dividend Leaders Index Fund) are both exchange-traded funds - AFSM is a Small Cap Blend Equities fund actively managed by First Trust, while FDL is a Large Cap Value Equities fund tracking the Morningstar Dividend Leaders Index. AFSM is actively managed, while FDL is passively managed. Over the past 5 years, AFSM returned 10.56%/yr vs 14.12%/yr for FDL. Their 0.62 correlation means they have sometimes moved together and sometimes differently. AFSM charges 0.77%/yr vs 0.43%/yr for FDL.

Performance

AFSM vs. FDL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Active Factor Small Cap ETF (AFSM) and First Trust Morningstar Dividend Leaders Index Fund (FDL). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AFSM achieves a 26.32% return, which is significantly higher than FDL's 19.24% return.

AFSM

• 1D: 1.87%
• 1M: 3.01%
• 6M: 19.77%
• YTD: 26.32%
• 1Y: 37.92%
• 3Y*: 18.04%
• 5Y*: 10.56%
• 10Y*: —
• ALL TIME*: 12.30%

FDL

• 1D: 0.52%
• 1M: 4.21%
• 6M: 8.54%
• YTD: 19.24%
• 1Y: 28.21%
• 3Y*: 19.23%
• 5Y*: 14.12%
• 10Y*: 11.14%
• ALL TIME*: 8.98%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
AFSM First Trust Active Factor Small Cap ETF	$794.37K	$778.51K	$678.40K
FDL First Trust Morningstar Dividend Leaders Index Fund	$50.65M	$49.05M	$43.27M

AFSM vs. FDL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
AFSM First Trust Active Factor Small Cap ETF	26.32%	9.99%	10.55%	22.23%	-17.50%	26.03%	8.44%	2.39%
FDL First Trust Morningstar Dividend Leaders Index Fund	19.24%	14.79%	17.98%	2.94%	6.66%	26.10%	-4.30%	3.49%

Correlation

The correlation between AFSM and FDL is 0.18, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.18
Correlation (3Y) Balances recent behavior with more history.	0.49
Correlation (5Y) Shows whether the relationship held over a longer period.	0.59
Correlation (All Time) Calculated using the full available price history since Dec 4, 2019	0.62

Over the past year, the correlation between AFSM and FDL has dropped to 0.18 - well below their long-term average of 0.62, suggesting their price drivers have been diverging.

AFSM vs. FDL - Sectors Allocation Comparison

Sectors	AFSM	FDL
Technology	21.9%	4.3%
Healthcare	18.2%	11.7%
Industrials	15.2%	3.6%
Financial Services	14.2%	13.7%
Consumer Cyclical	8.6%	4.4%
Energy	5.4%	11.1%
Consumer Defensive	4.4%	24.3%
Communication Services	4.2%	11.2%
Real Estate	3.9%	-
Basic Materials	3.7%	0.4%
Utilities	0.5%	15.4%

Return for Risk

AFSM vs. FDL — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

AFSM

AFSM Risk / Return Rank: 82
AFSM Sharpe Ratio Rank: 82
AFSM Sortino Ratio Rank: 82
AFSM Omega Ratio Rank: 76
AFSM Calmar Ratio Rank: 89
AFSM Martin Ratio Rank: 83

FDL

FDL Risk / Return Rank: 91
FDL Sharpe Ratio Rank: 89
FDL Sortino Ratio Rank: 92
FDL Omega Ratio Rank: 87
FDL Calmar Ratio Rank: 96
FDL Martin Ratio Rank: 90

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

AFSM vs. FDL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Active Factor Small Cap ETF (AFSM) and First Trust Morningstar Dividend Leaders Index Fund (FDL). 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.

	AFSM	FDL	Difference
Sharpe ratio: Return per unit of total volatility	2.09	2.39	-0.30
Sortino ratio: Return per unit of downside risk	2.98	3.59	-0.61
Omega ratio: Gain probability vs. loss probability	1.36	1.42	-0.06
Calmar ratio: Return relative to maximum drawdown	3.98	6.63	-2.65
Martin ratio: Return relative to average drawdown	12.86	15.64	-2.78

AFSM vs. FDL - Sharpe Ratio Comparison

The current AFSM Sharpe Ratio is 2.09, which is comparable to the FDL Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of AFSM and FDL, 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

AFSM vs. FDL - Drawdown Comparison

The maximum AFSM drawdown since its inception was -43.54%, smaller than the maximum FDL drawdown of -65.93%. Use the drawdown chart below to compare losses from any high point for AFSM and FDL.

Drawdown Indicators

	AFSM	FDL	Difference
Max Drawdown Largest peak-to-trough decline	-43.54%	-65.93%	+22.39%
Max Drawdown (1Y) Largest decline over 1 year	-9.56%	-4.27%	-5.29%
Max Drawdown (3Y) Largest decline over 3 years	-25.07%	-12.24%	-12.83%
Max Drawdown (5Y) Largest decline over 5 years	-28.27%	-16.46%	-11.81%
Max Drawdown (10Y) Largest decline over 10 years	—	-41.40%	—
Current Drawdown Current decline from peak	0.00%	-1.07%	+1.07%
Average Drawdown Average peak-to-trough decline	-9.28%	-9.59%	+0.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.96%	1.81%	+1.15%

Volatility

AFSM vs. FDL - Volatility Comparison

First Trust Active Factor Small Cap ETF (AFSM) and First Trust Morningstar Dividend Leaders Index Fund (FDL) have volatilities of 4.47% and 4.55%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AFSM	FDL	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.47%	4.55%	-0.08%
Volatility (6M) Calculated over the trailing 6-month period	14.06%	8.76%	+5.30%
Volatility (1Y) Calculated over the trailing 1-year period	18.32%	11.87%	+6.45%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.82%	14.43%	+6.39%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.22%	17.16%	+8.06%

AFSM vs. FDL - Expense Ratio Comparison

AFSM has a 0.77% expense ratio, which is higher than FDL's 0.43% expense ratio.

Dividends

AFSM vs. FDL - Dividend Comparison

AFSM's dividend yield for the trailing twelve months is around 0.49%, less than FDL's 3.56% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AFSM First Trust Active Factor Small Cap ETF	0.49%	0.58%	0.58%	0.92%	1.28%	0.35%	0.53%	0.32%	0.00%	0.00%	0.00%	0.00%
FDL First Trust Morningstar Dividend Leaders Index Fund	3.56%	4.04%	4.96%	4.58%	3.58%	4.59%	4.48%	3.75%	3.97%	3.18%	2.93%	3.65%

Frequently Asked Questions

Can I hold both AFSM and FDL in my portfolio?

AFSM and FDL have a correlation of 0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AFSM or FDL?

FDL has higher volatility (4.55%) compared to AFSM (4.47%). In terms of maximum drawdown, AFSM dropped -43.54% vs FDL's -65.93%.

Which ETF is better, AFSM or FDL?

On 5-year performance, FDL leads with 14.12% vs 10.56% for AFSM. On fees, FDL is cheaper at 0.43% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, AFSM or FDL?

Over the 5-year period, FDL has performed better with a 14.12% return vs 10.56%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, AFSM or FDL?

FDL is cheaper with a 0.43% expense ratio, compared with 0.77% for AFSM.

Which ETF pays a higher dividend yield, AFSM or FDL?

FDL has the higher dividend yield at 3.56%, compared with 0.49% for AFSM.

What is the main difference between AFSM and FDL?

AFSM is categorized as Small Cap Blend Equities, while FDL is Large Cap Value Equities. Their fees differ too: 0.77% for AFSM and 0.43% for FDL.

Which has better risk-adjusted returns?

FDL currently has the higher Sharpe Ratio (2.39 vs 2.09), 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.