CPZ vs. FDL

Last updated Jun 24, 2026

CPZ (Calamos Long/Short Equity & Dynamic Income Term Trust) is a stock, while FDL (First Trust Morningstar Dividend Leaders Index Fund) is Large Cap Value Equities fund tracking the Morningstar Dividend Leaders Index. Over the past 5 years, CPZ returned 1.06%/yr vs 13.08%/yr for FDL. At a 0.35 correlation, their price movements are largely independent.

Performance

CPZ vs. FDL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Long/Short Equity & Dynamic Income Term Trust (CPZ) 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, CPZ achieves a -8.50% return, which is significantly lower than FDL's 12.67% return.

CPZ

• 1D: -0.78%
• 1M: -0.09%
• YTD: -8.50%
• 6M: -8.50%
• 1Y: -10.92%
• 3Y*: 5.82%
• 5Y*: 1.06%
• 10Y*: —

FDL

• 1D: 1.20%
• 1M: -2.75%
• YTD: 12.67%
• 6M: 13.02%
• 1Y: 22.39%
• 3Y*: 19.10%
• 5Y*: 13.08%
• 10Y*: 11.12%

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

CPZ vs. FDL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
CPZ Calamos Long/Short Equity & Dynamic Income Term Trust	-8.50%	9.81%	15.98%	6.26%	-13.98%	21.23%	-3.49%	-1.69%
FDL First Trust Morningstar Dividend Leaders Index Fund	12.67%	14.79%	17.98%	2.94%	6.66%	26.10%	-4.30%	2.08%

Correlation

The correlation between CPZ and FDL is -0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.07
Correlation (3Y) Calculated over the trailing 3-year period	0.21
Correlation (5Y) Calculated over the trailing 5-year period	0.30
Correlation (All Time) Calculated using the full available price history since Nov 26, 2019	0.35

The correlation between CPZ and FDL shifts across timeframes, from -0.07 (1 year) to 0.35 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CPZ vs. FDL — Risk / Return Rank

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

CPZ

CPZ Risk / Return Rank: 11
CPZ Sharpe Ratio Rank: 5
CPZ Sortino Ratio Rank: 7
CPZ Omega Ratio Rank: 10
CPZ Calmar Ratio Rank: 20
CPZ Martin Ratio Rank: 15

FDL

FDL Risk / Return Rank: 69
FDL Sharpe Ratio Rank: 61
FDL Sortino Ratio Rank: 68
FDL Omega Ratio Rank: 57
FDL Calmar Ratio Rank: 90
FDL Martin Ratio Rank: 69

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.

CPZ vs. FDL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Long/Short Equity & Dynamic Income Term Trust (CPZ) 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.

	CPZ	FDL	Difference
Sharpe ratio: Return per unit of total volatility	-1.01	1.95	-2.96
Sortino ratio: Return per unit of downside risk	-1.42	2.96	-4.38
Omega ratio: Gain probability vs. loss probability	0.85	1.34	-0.49
Calmar ratio: Return relative to maximum drawdown	-0.61	5.26	-5.87
Martin ratio: Return relative to average drawdown	-1.20	12.40	-13.59

CPZ vs. FDL - Sharpe Ratio Comparison

The current CPZ Sharpe Ratio is -1.01, which is lower than the FDL Sharpe Ratio of 1.95. The chart below compares the historical Sharpe Ratios of CPZ 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

CPZ vs. FDL - Drawdown Comparison

The maximum CPZ drawdown since its inception was -51.43%, smaller than the maximum FDL drawdown of -65.93%. Use the drawdown chart below to compare losses from any high point for CPZ and FDL.

Drawdown Indicators

	CPZ	FDL	Difference
Max Drawdown Largest peak-to-trough decline	-51.43%	-65.93%	+14.50%
Max Drawdown (1Y) Largest decline over 1 year	-17.95%	-4.27%	-13.68%
Max Drawdown (3Y) Largest decline over 3 years	-17.95%	-12.24%	-5.71%
Max Drawdown (5Y) Largest decline over 5 years	-25.46%	-16.46%	-9.00%
Max Drawdown (10Y) Largest decline over 10 years	—	-41.40%	—
Current Drawdown Current decline from peak	-17.05%	-3.09%	-13.96%
Average Drawdown Average peak-to-trough decline	-9.54%	-9.64%	+0.10%
Ulcer Index Depth and duration of drawdowns from previous peaks	9.15%	1.81%	+7.34%

Volatility

CPZ vs. FDL - Volatility Comparison

The current volatility for Calamos Long/Short Equity & Dynamic Income Term Trust (CPZ) is 3.51%, while First Trust Morningstar Dividend Leaders Index Fund (FDL) has a volatility of 3.72%. This indicates that CPZ experiences smaller price fluctuations and is considered to be less risky than FDL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPZ	FDL	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.51%	3.72%	-0.21%
Volatility (6M) Calculated over the trailing 6-month period	8.48%	8.09%	+0.39%
Volatility (1Y) Calculated over the trailing 1-year period	10.86%	11.54%	-0.68%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.97%	14.31%	+1.66%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.87%	17.11%	+6.76%

Dividends

CPZ vs. FDL - Dividend Comparison

CPZ's dividend yield for the trailing twelve months is around 13.21%, more than FDL's 3.70% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CPZ Calamos Long/Short Equity & Dynamic Income Term Trust	13.21%	11.49%	12.65%	11.63%	11.06%	8.37%	7.69%	0.22%	0.00%	0.00%	0.00%	0.00%
FDL First Trust Morningstar Dividend Leaders Index Fund	3.70%	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 CPZ and FDL in my portfolio?

CPZ and FDL have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPZ or FDL?

FDL has higher volatility (3.72%) compared to CPZ (3.51%). In terms of maximum drawdown, CPZ dropped -51.43% vs FDL's -65.93%.

Which has better risk-adjusted returns?

FDL currently has the higher Sharpe Ratio (1.95 vs -1.01), 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.