FDL vs. CPZ

Last updated Jun 25, 2026

FDL (First Trust Morningstar Dividend Leaders Index Fund) is Large Cap Value Equities fund tracking the Morningstar Dividend Leaders Index, while CPZ (Calamos Long/Short Equity & Dynamic Income Term Trust) is a stock. Over the past 5 years, FDL returned 12.94%/yr vs 1.08%/yr for CPZ. At a 0.34 correlation, their price movements are largely independent.

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.

Returns By Period

In the year-to-date period, FDL achieves a 12.30% return, which is significantly higher than CPZ's -7.35% return.

FDL

• 1D: -0.32%
• 1M: -3.06%
• YTD: 12.30%
• 6M: 12.10%
• 1Y: 21.91%
• 3Y*: 18.97%
• 5Y*: 12.94%
• 10Y*: 11.09%

CPZ

• 1D: 1.26%
• 1M: 1.17%
• YTD: -7.35%
• 6M: -7.91%
• 1Y: -9.59%
• 3Y*: 6.26%
• 5Y*: 1.08%
• 10Y*: —

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

FDL vs. CPZ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
FDL First Trust Morningstar Dividend Leaders Index Fund	12.30%	14.79%	17.98%	2.94%	6.66%	26.10%	-4.30%	2.08%
CPZ Calamos Long/Short Equity & Dynamic Income Term Trust	-7.35%	9.81%	15.98%	6.26%	-13.98%	21.23%	-3.49%	-1.69%

Correlation

The correlation between FDL and CPZ 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	0.34

The correlation between FDL and CPZ shifts across timeframes, from -0.07 (1 year) to 0.34 (all time), reflecting how their relationship changes across market environments.

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: 72
FDL Sharpe Ratio Rank: 65
FDL Sortino Ratio Rank: 72
FDL Omega Ratio Rank: 60
FDL Calmar Ratio Rank: 91
FDL Martin Ratio Rank: 72

CPZ

CPZ Risk / Return Rank: 15
CPZ Sharpe Ratio Rank: 8
CPZ Sortino Ratio Rank: 10
CPZ Omega Ratio Rank: 12
CPZ Calmar Ratio Rank: 24
CPZ Martin Ratio Rank: 21

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.

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.

	FDL	CPZ	Difference
Sharpe ratio: Return per unit of total volatility	1.91	-0.88	+2.79
Sortino ratio: Return per unit of downside risk	2.90	-1.23	+4.13
Omega ratio: Gain probability vs. loss probability	1.33	0.87	+0.46
Calmar ratio: Return relative to maximum drawdown	5.15	-0.54	+5.69
Martin ratio: Return relative to average drawdown	12.05	-1.04	+13.10

FDL vs. CPZ - Sharpe Ratio Comparison

The current FDL Sharpe Ratio is 1.91, which is higher than the CPZ Sharpe Ratio of -0.88. The chart below compares the historical Sharpe Ratios of FDL and CPZ, 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

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	-4.27%	-17.95%	+13.68%
Max Drawdown (3Y) Largest decline over 3 years	-12.24%	-17.95%	+5.71%
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	-3.40%	-16.01%	+12.61%
Average Drawdown Average peak-to-trough decline	-9.63%	-9.54%	-0.09%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.82%	9.21%	-7.39%

Volatility

FDL vs. CPZ - Volatility Comparison

First Trust Morningstar Dividend Leaders Index Fund (FDL) and Calamos Long/Short Equity & Dynamic Income Term Trust (CPZ) have volatilities of 3.54% and 3.71%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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	3.54%	3.71%	-0.17%
Volatility (6M) Calculated over the trailing 6-month period	8.10%	8.58%	-0.48%
Volatility (1Y) Calculated over the trailing 1-year period	11.55%	10.93%	+0.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.31%	15.98%	-1.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.11%	23.87%	-6.76%

Dividends

FDL vs. CPZ - Dividend Comparison

FDL's dividend yield for the trailing twelve months is around 3.71%, less than CPZ's 13.04% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CPZ Calamos Long/Short Equity & Dynamic Income Term Trust	13.04%	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	3.71%	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 FDL and CPZ in my portfolio?

FDL and CPZ 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, FDL or CPZ?

CPZ has higher volatility (3.71%) compared to FDL (3.54%). In terms of maximum drawdown, FDL dropped -65.93% vs CPZ's -51.43%.

Which has better risk-adjusted returns?

FDL currently has the higher Sharpe Ratio (1.91 vs -0.88), 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.