AFSM vs. FDL

Last updated Jun 4, 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 8.53%/yr vs 12.51%/yr for FDL. A 0.64 correlation means they provide meaningful diversification when combined. AFSM charges 0.77%/yr vs 0.45%/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 15.65% return, which is significantly higher than FDL's 13.33% return.

AFSM

• 1D: -0.99%
• 1M: 3.29%
• YTD: 15.65%
• 6M: 15.19%
• 1Y: 30.17%
• 3Y*: 17.93%
• 5Y*: 8.53%
• 10Y*: —

FDL

• 1D: -0.26%
• 1M: -0.26%
• YTD: 13.33%
• 6M: 14.76%
• 1Y: 23.67%
• 3Y*: 18.97%
• 5Y*: 12.51%
• 10Y*: 11.24%

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

AFSM vs. FDL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
AFSM First Trust Active Factor Small Cap ETF	15.65%	9.99%	10.55%	22.23%	-17.50%	26.03%	8.44%	2.63%
FDL First Trust Morningstar Dividend Leaders Index Fund	13.33%	14.79%	17.98%	2.94%	6.66%	26.10%	-4.30%	2.74%

Correlation

The correlation between AFSM and FDL is 0.35, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.35
Correlation (3Y) Calculated over the trailing 3-year period	0.54
Correlation (5Y) Calculated over the trailing 5-year period	0.62
Correlation (All Time) Calculated using the full available price history since Dec 5, 2019	0.64

Over the past year, the correlation between AFSM and FDL has dropped to 0.35 - well below their long-term average of 0.64, suggesting their price drivers have been diverging.

AFSM vs. FDL - Sectors Allocation Comparison

Sectors	AFSM	FDL
Technology	20.3%	1.1%
Healthcare	17.8%	16.8%
Industrials	16.9%	3.8%
Financial Services	14.9%	15.1%
Consumer Cyclical	8.6%	3.8%
Energy	5.3%	27.3%
Basic Materials	4.9%	0.3%
Consumer Defensive	4.7%	14.7%
Real Estate	3.8%	-
Communication Services	2.3%	10.6%
Utilities	0.3%	6.5%

Return for Risk

AFSM vs. FDL — Risk / Return Rank

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

AFSM

AFSM Risk / Return Rank: 54
AFSM Sharpe Ratio Rank: 49
AFSM Sortino Ratio Rank: 50
AFSM Omega Ratio Rank: 46
AFSM Calmar Ratio Rank: 64
AFSM Martin Ratio Rank: 59

FDL

FDL Risk / Return Rank: 70
FDL Sharpe Ratio Rank: 61
FDL Sortino Ratio Rank: 70
FDL Omega Ratio Rank: 59
FDL Calmar Ratio Rank: 90
FDL Martin Ratio Rank: 71

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.

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.

	AFSM	FDL	Difference
Sharpe ratio: Return per unit of total volatility	1.70	2.11	-0.41
Sortino ratio: Return per unit of downside risk	2.46	3.25	-0.80
Omega ratio: Gain probability vs. loss probability	1.29	1.37	-0.08
Calmar ratio: Return relative to maximum drawdown	3.17	5.56	-2.39
Martin ratio: Return relative to average drawdown	10.41	13.56	-3.14
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AFSM vs. FDL - Sharpe Ratio Comparison

The current AFSM Sharpe Ratio is 1.70, which is comparable to the FDL Sharpe Ratio of 2.11. 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.

Sharpe Ratios by Period

	AFSM	FDL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.70	2.11	-0.41
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.41	0.88	-0.47
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.66	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.44	0.45	-0.01

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	-1.47%	-2.18%	+0.71%
Average Drawdown Average peak-to-trough decline	-9.48%	-9.66%	+0.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.90%	1.75%	+1.15%

Volatility

AFSM vs. FDL - Volatility Comparison

First Trust Active Factor Small Cap ETF (AFSM) has a higher volatility of 5.57% compared to First Trust Morningstar Dividend Leaders Index Fund (FDL) at 2.85%. This indicates that AFSM's price experiences larger fluctuations and is considered to be riskier than FDL based on this measure. 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	5.57%	2.85%	+2.72%
Volatility (6M) Calculated over the trailing 6-month period	13.14%	7.87%	+5.27%
Volatility (1Y) Calculated over the trailing 1-year period	17.89%	11.28%	+6.61%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.82%	14.31%	+6.51%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.40%	17.11%	+8.29%

AFSM vs. FDL - Expense Ratio Comparison

AFSM has a 0.77% expense ratio, which is higher than FDL's 0.45% expense ratio.

Dividends

AFSM vs. FDL - Dividend Comparison

AFSM's dividend yield for the trailing twelve months is around 0.47%, less than FDL's 3.68% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AFSM First Trust Active Factor Small Cap ETF	0.47%	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	3.68%	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 0.35, 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?

AFSM has higher volatility (5.57%) compared to FDL (2.85%). 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 12.51% vs 8.53% for AFSM. On fees, FDL is cheaper at 0.45% per year. On volatility, FDL has been the lower-risk option at 2.85%. 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 12.51% return vs 8.53%. 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 0.45% 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 3.68%, compared with 0.47% 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 0.45% for FDL.

Which has better risk-adjusted returns?

FDL currently has the higher Sharpe Ratio (2.11 vs 1.70), 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.