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

Key characteristics


FDLSPHD
YTD Return20.47%21.69%
1Y Return34.60%35.78%
3Y Return (Ann)11.99%8.91%
5Y Return (Ann)10.29%7.60%
10Y Return (Ann)10.02%8.82%
Sharpe Ratio2.933.02
Sortino Ratio4.174.38
Omega Ratio1.521.56
Calmar Ratio2.882.04
Martin Ratio21.2621.68
Ulcer Index1.62%1.61%
Daily Std Dev11.74%11.52%
Max Drawdown-65.93%-41.39%
Current Drawdown-2.19%-1.70%

Correlation

-0.50.00.51.00.9

The correlation between FDL and SPHD is 0.91, 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. SPHD - Performance Comparison

In the year-to-date period, FDL achieves a 20.47% return, which is significantly lower than SPHD's 21.69% return. Over the past 10 years, FDL has outperformed SPHD with an annualized return of 10.02%, while SPHD has yielded a comparatively lower 8.82% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.86%
13.05%
FDL
SPHD

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FDL vs. SPHD - Expense Ratio Comparison

FDL has a 0.45% expense ratio, which is higher than SPHD's 0.30% 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 SPHD: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Risk-Adjusted Performance

FDL vs. SPHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Morningstar Dividend Leaders Index Fund (FDL) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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 2.93, compared to the broader market-2.000.002.004.002.93
Sortino ratio
The chart of Sortino ratio for FDL, currently valued at 4.17, compared to the broader market0.005.0010.004.17
Omega ratio
The chart of Omega ratio for FDL, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for FDL, currently valued at 2.88, compared to the broader market0.005.0010.0015.002.88
Martin ratio
The chart of Martin ratio for FDL, currently valued at 21.26, compared to the broader market0.0020.0040.0060.0080.00100.0021.26
SPHD
Sharpe ratio
The chart of Sharpe ratio for SPHD, currently valued at 3.02, compared to the broader market-2.000.002.004.003.02
Sortino ratio
The chart of Sortino ratio for SPHD, currently valued at 4.38, compared to the broader market0.005.0010.004.38
Omega ratio
The chart of Omega ratio for SPHD, currently valued at 1.56, compared to the broader market1.001.502.002.503.001.56
Calmar ratio
The chart of Calmar ratio for SPHD, currently valued at 2.04, compared to the broader market0.005.0010.0015.002.04
Martin ratio
The chart of Martin ratio for SPHD, currently valued at 21.68, compared to the broader market0.0020.0040.0060.0080.00100.0021.68

FDL vs. SPHD - Sharpe Ratio Comparison

The current FDL Sharpe Ratio is 2.93, which is comparable to the SPHD Sharpe Ratio of 3.02. The chart below compares the historical Sharpe Ratios of FDL and SPHD, 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
2.93
3.02
FDL
SPHD

Dividends

FDL vs. SPHD - Dividend Comparison

FDL's dividend yield for the trailing twelve months is around 4.11%, more than SPHD's 3.40% yield.


TTM20232022202120202019201820172016201520142013
FDL
First Trust Morningstar Dividend Leaders Index Fund
4.11%4.58%3.57%4.59%4.48%3.75%3.97%3.18%2.94%3.65%3.35%3.13%
SPHD
Invesco S&P 500® High Dividend Low Volatility ETF
3.40%4.48%3.89%3.46%4.89%4.07%4.40%3.14%3.83%3.49%3.24%3.68%

Drawdowns

FDL vs. SPHD - Drawdown Comparison

The maximum FDL drawdown since its inception was -65.93%, which is greater than SPHD's maximum drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for FDL and SPHD. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.19%
-1.70%
FDL
SPHD

Volatility

FDL vs. SPHD - Volatility Comparison

First Trust Morningstar Dividend Leaders Index Fund (FDL) has a higher volatility of 3.55% compared to Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) at 2.80%. This indicates that FDL's price experiences larger fluctuations and is considered to be riskier than SPHD 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
3.55%
2.80%
FDL
SPHD