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

Performance

FDL vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Morningstar Dividend Leaders Index Fund (FDL) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.18%
10.89%
FDL
SCHD

Returns By Period

In the year-to-date period, FDL achieves a 21.68% return, which is significantly higher than SCHD's 16.26% return. Over the past 10 years, FDL has underperformed SCHD with an annualized return of 10.04%, while SCHD has yielded a comparatively higher 11.40% annualized return.


FDL

YTD

21.68%

1M

0.95%

6M

12.18%

1Y

31.12%

5Y (annualized)

10.56%

10Y (annualized)

10.04%

SCHD

YTD

16.26%

1M

0.84%

6M

10.89%

1Y

25.41%

5Y (annualized)

12.67%

10Y (annualized)

11.40%

Key characteristics


FDLSCHD
Sharpe Ratio2.682.27
Sortino Ratio3.793.27
Omega Ratio1.471.40
Calmar Ratio3.543.34
Martin Ratio18.8612.25
Ulcer Index1.64%2.05%
Daily Std Dev11.53%11.06%
Max Drawdown-65.93%-33.37%
Current Drawdown-1.21%-1.54%

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FDL vs. SCHD - Expense Ratio Comparison

FDL has a 0.45% expense ratio, which is higher than SCHD's 0.06% 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 SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.00.9

The correlation between FDL and SCHD is 0.90, 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.

Risk-Adjusted Performance

FDL vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Morningstar Dividend Leaders Index Fund (FDL) and Schwab US Dividend Equity ETF (SCHD). 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.


Sharpe ratio
The chart of Sharpe ratio for FDL, currently valued at 2.68, compared to the broader market0.002.004.006.002.682.27
The chart of Sortino ratio for FDL, currently valued at 3.79, compared to the broader market-2.000.002.004.006.008.0010.0012.003.793.27
The chart of Omega ratio for FDL, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.471.40
The chart of Calmar ratio for FDL, currently valued at 3.54, compared to the broader market0.005.0010.0015.003.543.34
The chart of Martin ratio for FDL, currently valued at 18.86, compared to the broader market0.0020.0040.0060.0080.00100.0018.8612.25
FDL
SCHD

The current FDL Sharpe Ratio is 2.68, which is comparable to the SCHD Sharpe Ratio of 2.27. The chart below compares the historical Sharpe Ratios of FDL and SCHD, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.68
2.27
FDL
SCHD

Dividends

FDL vs. SCHD - Dividend Comparison

FDL's dividend yield for the trailing twelve months is around 4.07%, more than SCHD's 3.40% yield.


TTM20232022202120202019201820172016201520142013
FDL
First Trust Morningstar Dividend Leaders Index Fund
4.07%4.58%3.57%4.59%4.48%3.75%3.97%3.18%2.94%3.65%3.35%3.13%
SCHD
Schwab US Dividend Equity ETF
3.40%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

FDL vs. SCHD - Drawdown Comparison

The maximum FDL drawdown since its inception was -65.93%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for FDL and SCHD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.21%
-1.54%
FDL
SCHD

Volatility

FDL vs. SCHD - Volatility Comparison

First Trust Morningstar Dividend Leaders Index Fund (FDL) and Schwab US Dividend Equity ETF (SCHD) have volatilities of 3.52% and 3.39%, 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.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
3.52%
3.39%
FDL
SCHD