FDL vs. CPZ

Last updated Apr 1, 2026

Compare and contrast key facts about First Trust Morningstar Dividend Leaders Index Fund (FDL) and Calamos Long/Short Equity & Dynamic Income Term Trust (CPZ).

FDL is a passively managed fund by First Trust that tracks the performance of the Morningstar Dividend Leaders Index. It was launched on Mar 9, 2006.

Performance

FDL vs. CPZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Morningstar Dividend Leaders Index Fund (FDL) and Calamos Long/Short Equity & Dynamic Income Term Trust (CPZ). The values are adjusted to include any dividend payments, if applicable.

FDL vs. CPZ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
FDL First Trust Morningstar Dividend Leaders Index Fund	15.49%	14.79%	17.98%	2.94%	6.66%	26.10%	-4.30%	2.27%
CPZ Calamos Long/Short Equity & Dynamic Income Term Trust	-5.40%	9.81%	15.98%	6.26%	-13.98%	21.23%	-3.49%	-1.64%

Returns By Period

In the year-to-date period, FDL achieves a 15.49% return, which is significantly higher than CPZ's -5.40% return.

FDL

• 1D: 0.43%
• 1M: 0.01%
• YTD: 15.49%
• 6M: 19.42%
• 1Y: 21.84%
• 3Y*: 18.00%
• 5Y*: 14.12%
• 10Y*: 11.60%

CPZ

• 1D: 2.57%
• 1M: -8.41%
• YTD: -5.40%
• 6M: -11.16%
• 1Y: -2.78%
• 3Y*: 7.35%
• 5Y*: 2.77%
• 10Y*: —

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

Return for Risk

FDL vs. CPZ — Risk / Return Rank

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

FDL

FDL Risk / Return Rank: 79
FDL Sharpe Ratio Rank: 81
FDL Sortino Ratio Rank: 82
FDL Omega Ratio Rank: 79
FDL Calmar Ratio Rank: 77
FDL Martin Ratio Rank: 76

CPZ

CPZ Risk / Return Rank: 30
CPZ Sharpe Ratio Rank: 30
CPZ Sortino Ratio Rank: 24
CPZ Omega Ratio Rank: 24
CPZ Calmar Ratio Rank: 37
CPZ Martin Ratio Rank: 35

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.

FDL vs. CPZ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Morningstar Dividend Leaders Index Fund (FDL) and Calamos Long/Short Equity & Dynamic Income Term Trust (CPZ). 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.

	FDL	CPZ	Difference
Sharpe ratio Return per unit of total volatility	1.47	-0.26	+1.73
Sortino ratio Return per unit of downside risk	2.06	-0.29	+2.35
Omega ratio Gain probability vs. loss probability	1.29	0.97	+0.32
Calmar ratio Return relative to maximum drawdown	1.96	-0.14	+2.11
Martin ratio Return relative to average drawdown	7.63	-0.39	+8.03
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FDL vs. CPZ - Sharpe Ratio Comparison

The current FDL Sharpe Ratio is 1.47, which is higher than the CPZ Sharpe Ratio of -0.26. The chart below compares the historical Sharpe Ratios of FDL and CPZ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	FDL	CPZ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.47	-0.26	+1.73
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.99	0.17	+0.82
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.68	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.46	0.16	+0.30

Correlation

The correlation between FDL and CPZ is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Dividends

FDL vs. CPZ - Dividend Comparison

FDL's dividend yield for the trailing twelve months is around 3.61%, less than CPZ's 12.38% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FDL First Trust Morningstar Dividend Leaders Index Fund	3.61%	4.04%	4.96%	4.58%	3.58%	4.59%	4.48%	3.75%	3.97%	3.18%	2.93%	3.65%
CPZ Calamos Long/Short Equity & Dynamic Income Term Trust	12.38%	11.49%	12.65%	11.63%	11.06%	8.37%	7.69%	0.22%	0.00%	0.00%	0.00%	0.00%

Drawdowns

FDL vs. CPZ - Drawdown Comparison

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

Drawdown Indicators

	FDL	CPZ	Difference
Max Drawdown Largest peak-to-trough decline	-65.93%	-51.43%	-14.50%
Max Drawdown (1Y) Largest decline over 1 year	-11.58%	-16.39%	+4.81%
Max Drawdown (5Y) Largest decline over 5 years	-16.46%	-25.46%	+9.00%
Max Drawdown (10Y) Largest decline over 10 years	-41.40%	—	—
Current Drawdown Current decline from peak	-0.10%	-14.24%	+14.14%
Average Drawdown Average peak-to-trough decline	-9.73%	-9.37%	-0.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.10%	6.04%	-2.94%

Volatility

FDL vs. CPZ - Volatility Comparison

The current volatility for First Trust Morningstar Dividend Leaders Index Fund (FDL) is 2.56%, while Calamos Long/Short Equity & Dynamic Income Term Trust (CPZ) has a volatility of 4.69%. This indicates that FDL experiences smaller price fluctuations and is considered to be less risky than CPZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FDL	CPZ	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.56%	4.69%	-2.13%
Volatility (6M) Calculated over the trailing 6-month period	8.16%	7.00%	+1.16%
Volatility (1Y) Calculated over the trailing 1-year period	14.96%	10.82%	+4.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.31%	16.01%	-1.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.09%	24.18%	-7.09%