ESGN vs. FDT

Last updated Jun 4, 2026

ESGN (Columbia Sustainable International Equity Income ETF) and FDT (First Trust Developed Markets ex-US AlphaDEX Fund) are both Foreign Large Cap Equities funds - ESGN tracks the MSCI Beta ADV Sust Intl Equity Income 100 while FDT tracks the NASDAQ AlphaDEX DM Ex-US Index. Both are passively managed. Over the past 5 years, ESGN returned 11.72%/yr vs 12.55%/yr for FDT. A 0.78 correlation means they provide meaningful diversification when combined. ESGN charges 0.45%/yr vs 0.80%/yr for FDT.

Performance

ESGN vs. FDT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Columbia Sustainable International Equity Income ETF (ESGN) and First Trust Developed Markets ex-US AlphaDEX Fund (FDT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ESGN achieves a 7.02% return, which is significantly lower than FDT's 25.50% return.

ESGN

• 1D: -0.99%
• 1M: 1.18%
• YTD: 7.02%
• 6M: 10.22%
• 1Y: 25.77%
• 3Y*: 19.65%
• 5Y*: 11.72%
• 10Y*: —

FDT

• 1D: -0.64%
• 1M: 5.22%
• YTD: 25.50%
• 6M: 28.63%
• 1Y: 55.05%
• 3Y*: 30.08%
• 5Y*: 12.55%
• 10Y*: 10.91%

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

ESGN vs. FDT - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ESGN Columbia Sustainable International Equity Income ETF	7.02%	39.85%	6.02%	20.88%	-5.95%	10.18%	-0.52%	15.83%	-18.30%	24.88%
FDT First Trust Developed Markets ex-US AlphaDEX Fund	25.50%	52.21%	6.97%	15.03%	-19.51%	11.43%	4.29%	16.82%	-19.98%	34.42%

Correlation

The correlation between ESGN and FDT is 0.78, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.78
Correlation (3Y) Calculated over the trailing 3-year period	0.83
Correlation (5Y) Calculated over the trailing 5-year period	0.86
Correlation (All Time) Calculated using the full available price history since Jun 14, 2016	0.78

The correlation between ESGN and FDT has been stable across timeframes, ranging from 0.78 to 0.86 - a consistent structural relationship.

ESGN vs. FDT - Sectors Allocation Comparison

Sectors	ESGN	FDT
Industrials	15.8%	34.0%
Financial Services	15.4%	10.2%
Energy	13.0%	9.2%
Utilities	9.3%	5.2%
Technology	7.0%	8.1%
Consumer Cyclical	6.6%	11.5%
Healthcare	3.9%	1.4%
Consumer Defensive	3.5%	2.8%
Basic Materials	1.9%	9.6%
Communication Services	1.2%	2.7%
Real Estate	0.2%	5.3%

Return for Risk

ESGN vs. FDT — Risk / Return Rank

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

ESGN

ESGN Risk / Return Rank: 57
ESGN Sharpe Ratio Rank: 57
ESGN Sortino Ratio Rank: 56
ESGN Omega Ratio Rank: 57
ESGN Calmar Ratio Rank: 55
ESGN Martin Ratio Rank: 58

FDT

FDT Risk / Return Rank: 84
FDT Sharpe Ratio Rank: 88
FDT Sortino Ratio Rank: 84
FDT Omega Ratio Rank: 86
FDT Calmar Ratio Rank: 79
FDT Martin Ratio Rank: 81

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.

ESGN vs. FDT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Columbia Sustainable International Equity Income ETF (ESGN) and First Trust Developed Markets ex-US AlphaDEX Fund (FDT). 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.

	ESGN	FDT	Difference
Sharpe ratio Return per unit of total volatility	1.93	3.00	-1.08
Sortino ratio Return per unit of downside risk	2.67	3.85	-1.18
Omega ratio Gain probability vs. loss probability	1.35	1.54	-0.19
Calmar ratio Return relative to maximum drawdown	2.71	4.13	-1.42
Martin ratio Return relative to average drawdown	9.97	16.12	-6.14
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ESGN vs. FDT - Sharpe Ratio Comparison

The current ESGN Sharpe Ratio is 1.93, which is lower than the FDT Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of ESGN and FDT, 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

	ESGN	FDT	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.93	3.00	-1.08
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.77	0.69	+0.08
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.59	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.60	0.40	+0.21

Drawdowns

ESGN vs. FDT - Drawdown Comparison

The maximum ESGN drawdown since its inception was -41.71%, smaller than the maximum FDT drawdown of -46.10%. Use the drawdown chart below to compare losses from any high point for ESGN and FDT.

Drawdown Indicators

	ESGN	FDT	Difference
Max Drawdown Largest peak-to-trough decline	-41.71%	-46.10%	+4.39%
Max Drawdown (1Y) Largest decline over 1 year	-9.56%	-13.41%	+3.85%
Max Drawdown (3Y) Largest decline over 3 years	-14.38%	-14.29%	-0.09%
Max Drawdown (5Y) Largest decline over 5 years	-24.51%	-33.18%	+8.67%
Max Drawdown (10Y) Largest decline over 10 years	—	-46.10%	—
Current Drawdown Current decline from peak	-3.77%	-1.59%	-2.18%
Average Drawdown Average peak-to-trough decline	-7.06%	-10.78%	+3.72%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.59%	3.43%	-0.84%

Volatility

ESGN vs. FDT - Volatility Comparison

The current volatility for Columbia Sustainable International Equity Income ETF (ESGN) is 3.92%, while First Trust Developed Markets ex-US AlphaDEX Fund (FDT) has a volatility of 7.23%. This indicates that ESGN experiences smaller price fluctuations and is considered to be less risky than FDT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGN	FDT	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.92%	7.23%	-3.31%
Volatility (6M) Calculated over the trailing 6-month period	10.62%	15.91%	-5.29%
Volatility (1Y) Calculated over the trailing 1-year period	13.48%	18.42%	-4.94%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.30%	18.23%	-2.93%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.31%	18.52%	-2.21%

ESGN vs. FDT - Expense Ratio Comparison

ESGN has a 0.45% expense ratio, which is lower than FDT's 0.80% expense ratio.

Dividends

ESGN vs. FDT - Dividend Comparison

ESGN's dividend yield for the trailing twelve months is around 9.22%, more than FDT's 2.84% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGN Columbia Sustainable International Equity Income ETF	9.22%	9.76%	3.11%	3.27%	3.57%	3.43%	2.64%	3.34%	7.25%	4.63%	2.52%	0.00%
FDT First Trust Developed Markets ex-US AlphaDEX Fund	2.84%	3.27%	3.89%	4.36%	2.29%	3.80%	2.42%	2.78%	2.13%	1.57%	1.76%	1.83%

Frequently Asked Questions

Can I hold both ESGN and FDT in my portfolio?

ESGN and FDT have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESGN or FDT?

FDT has higher volatility (7.23%) compared to ESGN (3.92%). In terms of maximum drawdown, ESGN dropped -41.71% vs FDT's -46.10%.

Which ETF is better, ESGN or FDT?

On 5-year performance, FDT leads with 12.55% vs 11.72% for ESGN. On fees, ESGN is cheaper at 0.45% per year. On volatility, ESGN has been the lower-risk option at 3.92%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGN or FDT?

Over the 5-year period, FDT has performed better with a 12.55% return vs 11.72%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGN or FDT?

ESGN is cheaper with a 0.45% expense ratio, compared with 0.80% for FDT.

Which ETF pays a higher dividend yield, ESGN or FDT?

ESGN has the higher dividend yield at 9.22%, compared with 2.84% for FDT.

What is the main difference between ESGN and FDT?

ESGN tracks MSCI Beta ADV Sust Intl Equity Income 100, while FDT tracks NASDAQ AlphaDEX DM Ex-US Index. They also come from different issuers: Ameriprise Financial and First Trust. Their fees differ too: 0.45% for ESGN and 0.80% for FDT.

Which has better risk-adjusted returns?

FDT currently has the higher Sharpe Ratio (3.00 vs 1.93), 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.