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FDL vs. LVHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FDLLVHD
YTD Return21.42%14.91%
1Y Return35.46%25.75%
3Y Return (Ann)12.31%5.84%
5Y Return (Ann)10.45%7.60%
Sharpe Ratio3.102.31
Sortino Ratio4.383.27
Omega Ratio1.551.43
Calmar Ratio3.031.85
Martin Ratio22.4911.09
Ulcer Index1.61%2.35%
Daily Std Dev11.72%11.30%
Max Drawdown-65.93%-37.32%
Current Drawdown-1.42%-1.25%

Correlation

-0.50.00.51.00.8

The correlation between FDL and LVHD is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

FDL vs. LVHD - Performance Comparison

In the year-to-date period, FDL achieves a 21.42% return, which is significantly higher than LVHD's 14.91% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.74%
12.04%
FDL
LVHD

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FDL vs. LVHD - Expense Ratio Comparison

FDL has a 0.45% expense ratio, which is higher than LVHD's 0.27% expense ratio.


FDL
First Trust Morningstar Dividend Leaders Index Fund
Expense ratio chart for FDL: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for LVHD: current value at 0.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.27%

Risk-Adjusted Performance

FDL vs. LVHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Morningstar Dividend Leaders Index Fund (FDL) and Legg Mason Low Volatility High Dividend ETF (LVHD). 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
Sharpe ratio
The chart of Sharpe ratio for FDL, currently valued at 3.10, compared to the broader market-2.000.002.004.006.003.10
Sortino ratio
The chart of Sortino ratio for FDL, currently valued at 4.38, compared to the broader market0.005.0010.004.38
Omega ratio
The chart of Omega ratio for FDL, currently valued at 1.55, compared to the broader market1.001.502.002.503.001.55
Calmar ratio
The chart of Calmar ratio for FDL, currently valued at 3.03, compared to the broader market0.005.0010.0015.003.03
Martin ratio
The chart of Martin ratio for FDL, currently valued at 22.49, compared to the broader market0.0020.0040.0060.0080.00100.00120.0022.49
LVHD
Sharpe ratio
The chart of Sharpe ratio for LVHD, currently valued at 2.31, compared to the broader market-2.000.002.004.006.002.31
Sortino ratio
The chart of Sortino ratio for LVHD, currently valued at 3.27, compared to the broader market0.005.0010.003.27
Omega ratio
The chart of Omega ratio for LVHD, currently valued at 1.43, compared to the broader market1.001.502.002.503.001.43
Calmar ratio
The chart of Calmar ratio for LVHD, currently valued at 1.85, compared to the broader market0.005.0010.0015.001.85
Martin ratio
The chart of Martin ratio for LVHD, currently valued at 11.09, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.09

FDL vs. LVHD - Sharpe Ratio Comparison

The current FDL Sharpe Ratio is 3.10, which is higher than the LVHD Sharpe Ratio of 2.31. The chart below compares the historical Sharpe Ratios of FDL and LVHD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.10
2.31
FDL
LVHD

Dividends

FDL vs. LVHD - Dividend Comparison

FDL's dividend yield for the trailing twelve months is around 4.08%, more than LVHD's 3.69% yield.


TTM20232022202120202019201820172016201520142013
FDL
First Trust Morningstar Dividend Leaders Index Fund
4.08%4.58%3.57%4.59%4.48%3.75%3.97%3.18%2.94%3.65%3.35%3.13%
LVHD
Legg Mason Low Volatility High Dividend ETF
3.69%3.55%3.30%2.56%3.27%3.30%3.81%3.33%2.18%0.00%0.00%0.00%

Drawdowns

FDL vs. LVHD - Drawdown Comparison

The maximum FDL drawdown since its inception was -65.93%, which is greater than LVHD's maximum drawdown of -37.32%. Use the drawdown chart below to compare losses from any high point for FDL and LVHD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.42%
-1.25%
FDL
LVHD

Volatility

FDL vs. LVHD - Volatility Comparison

First Trust Morningstar Dividend Leaders Index Fund (FDL) has a higher volatility of 3.51% compared to Legg Mason Low Volatility High Dividend ETF (LVHD) at 3.12%. This indicates that FDL's price experiences larger fluctuations and is considered to be riskier than LVHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
3.51%
3.12%
FDL
LVHD