EFAX vs. FDL

Last updated Jun 26, 2026

EFAX (SPDR MSCI EAFE Fossil Fuel Free ETF) and FDL (First Trust Morningstar Dividend Leaders Index Fund) are both exchange-traded funds - EFAX is a Foreign Large Cap Equities fund tracking the MSCI EAFE ex Fossil Fuels Index, while FDL is a Large Cap Value Equities fund tracking the Morningstar Dividend Leaders Index. Both are passively managed. Over the past 5 years, EFAX returned 7.97%/yr vs 13.04%/yr for FDL. A 0.54 correlation means they provide meaningful diversification when combined. EFAX charges 0.20%/yr vs 0.43%/yr for FDL.

Performance

EFAX vs. FDL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) 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, EFAX achieves a 8.19% return, which is significantly lower than FDL's 12.82% return.

EFAX

• 1D: 1.07%
• 1M: 0.36%
• YTD: 8.19%
• 6M: 7.77%
• 1Y: 20.04%
• 3Y*: 16.79%
• 5Y*: 7.97%
• 10Y*: —

FDL

• 1D: 0.46%
• 1M: -1.40%
• YTD: 12.82%
• 6M: 12.61%
• 1Y: 23.52%
• 3Y*: 18.84%
• 5Y*: 13.04%
• 10Y*: 11.24%

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

EFAX vs. FDL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF	8.19%	31.30%	4.78%	18.02%	-16.72%	10.50%	9.57%	23.52%	-14.78%	23.93%
FDL First Trust Morningstar Dividend Leaders Index Fund	12.82%	14.79%	17.98%	2.94%	6.66%	26.10%	-4.30%	24.41%	-5.99%	12.02%

Correlation

The correlation between EFAX and FDL is 0.25, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.25
Correlation (3Y) Calculated over the trailing 3-year period	0.42
Correlation (5Y) Calculated over the trailing 5-year period	0.53
Correlation (All Time) Calculated using the full available price history since Oct 25, 2016	0.54

Over the past year, the correlation between EFAX and FDL has dropped to 0.25 - well below their long-term average of 0.54, suggesting their price drivers have been diverging.

EFAX vs. FDL - Sectors Allocation Comparison

Sectors	EFAX	FDL
Financial Services	18.6%	15.2%
Technology	13.0%	1.4%
Industrials	9.2%	3.9%
Healthcare	8.6%	17.6%
Consumer Cyclical	6.0%	4.7%
Basic Materials	4.2%	0.3%
Consumer Defensive	3.8%	14.4%
Communication Services	3.3%	10.6%
Energy	1.5%	25.7%
Real Estate	1.5%	-
Utilities	1.1%	6.5%

Return for Risk

EFAX vs. FDL — Risk / Return Rank

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

EFAX

EFAX Risk / Return Rank: 39
EFAX Sharpe Ratio Rank: 39
EFAX Sortino Ratio Rank: 38
EFAX Omega Ratio Rank: 38
EFAX Calmar Ratio Rank: 36
EFAX Martin Ratio Rank: 42

FDL

FDL Risk / Return Rank: 79
FDL Sharpe Ratio Rank: 74
FDL Sortino Ratio Rank: 81
FDL Omega Ratio Rank: 70
FDL Calmar Ratio Rank: 93
FDL Martin Ratio Rank: 78

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.

EFAX vs. FDL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) 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.

	EFAX	FDL	Difference
Sharpe ratio: Return per unit of total volatility	1.24	2.05	-0.81
Sortino ratio: Return per unit of downside risk	1.82	3.11	-1.29
Omega ratio: Gain probability vs. loss probability	1.23	1.36	-0.13
Calmar ratio: Return relative to maximum drawdown	1.63	5.53	-3.90
Martin ratio: Return relative to average drawdown	5.98	12.87	-6.89

EFAX vs. FDL - Sharpe Ratio Comparison

The current EFAX Sharpe Ratio is 1.24, which is lower than the FDL Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of EFAX 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

EFAX vs. FDL - Drawdown Comparison

The maximum EFAX drawdown since its inception was -32.53%, smaller than the maximum FDL drawdown of -65.93%. Use the drawdown chart below to compare losses from any high point for EFAX and FDL.

Drawdown Indicators

	EFAX	FDL	Difference
Max Drawdown Largest peak-to-trough decline	-32.53%	-65.93%	+33.40%
Max Drawdown (1Y) Largest decline over 1 year	-12.38%	-4.27%	-8.11%
Max Drawdown (3Y) Largest decline over 3 years	-13.52%	-12.24%	-1.28%
Max Drawdown (5Y) Largest decline over 5 years	-31.67%	-16.46%	-15.21%
Max Drawdown (10Y) Largest decline over 10 years	—	-41.40%	—
Current Drawdown Current decline from peak	-1.32%	-2.96%	+1.64%
Average Drawdown Average peak-to-trough decline	-6.93%	-9.63%	+2.70%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.36%	1.83%	+1.53%

Volatility

EFAX vs. FDL - Volatility Comparison

SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) has a higher volatility of 5.59% compared to First Trust Morningstar Dividend Leaders Index Fund (FDL) at 3.39%. This indicates that EFAX'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

	EFAX	FDL	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.59%	3.39%	+2.20%
Volatility (6M) Calculated over the trailing 6-month period	13.96%	8.09%	+5.87%
Volatility (1Y) Calculated over the trailing 1-year period	16.22%	11.55%	+4.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.78%	14.31%	+2.47%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.13%	17.10%	+0.03%

EFAX vs. FDL - Expense Ratio Comparison

EFAX has a 0.20% expense ratio, which is lower than FDL's 0.43% expense ratio.

Dividends

EFAX vs. FDL - Dividend Comparison

EFAX's dividend yield for the trailing twelve months is around 3.17%, less than FDL's 4.69% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF	3.17%	3.31%	2.74%	2.71%	2.81%	2.58%	1.69%	2.71%	3.05%	2.89%	0.26%	0.00%
FDL First Trust Morningstar Dividend Leaders Index Fund	4.69%	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 EFAX and FDL in my portfolio?

EFAX and FDL have a correlation of 0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EFAX or FDL?

EFAX has higher volatility (5.59%) compared to FDL (3.39%). In terms of maximum drawdown, EFAX dropped -32.53% vs FDL's -65.93%.

Which ETF is better, EFAX or FDL?

On 5-year performance, FDL leads with 13.04% vs 7.97% for EFAX. On fees, EFAX is cheaper at 0.20% per year. On volatility, FDL has been the lower-risk option at 3.39%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EFAX or FDL?

Over the 5-year period, FDL has performed better with a 13.04% return vs 7.97%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EFAX or FDL?

EFAX is cheaper with a 0.20% expense ratio, compared with 0.43% for FDL.

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

FDL has the higher dividend yield at 4.69%, compared with 3.17% for EFAX.

What is the main difference between EFAX and FDL?

EFAX is categorized as Foreign Large Cap Equities, while FDL is Large Cap Value Equities. EFAX tracks MSCI EAFE ex Fossil Fuels Index, while FDL tracks Morningstar Dividend Leaders Index. They also come from different issuers: State Street and First Trust. Their fees differ too: 0.20% for EFAX and 0.43% for FDL.

Which has better risk-adjusted returns?

FDL currently has the higher Sharpe Ratio (2.05 vs 1.24), 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.