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

Correlation

The correlation between FDL and SPHD is 0.71, 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.


-0.50.00.51.0
Correlation: 0.7

Performance

FDL vs. SPHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Morningstar Dividend Leaders Index Fund (FDL) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). The values are adjusted to include any dividend payments, if applicable.

180.00%200.00%220.00%240.00%260.00%NovemberDecember2025FebruaryMarchApril
238.11%
201.77%
FDL
SPHD

Key characteristics

Sharpe Ratio

FDL:

0.84

SPHD:

0.83

Sortino Ratio

FDL:

1.19

SPHD:

1.19

Omega Ratio

FDL:

1.17

SPHD:

1.17

Calmar Ratio

FDL:

1.03

SPHD:

0.90

Martin Ratio

FDL:

3.68

SPHD:

3.26

Ulcer Index

FDL:

3.42%

SPHD:

3.66%

Daily Std Dev

FDL:

15.08%

SPHD:

14.37%

Max Drawdown

FDL:

-65.93%

SPHD:

-41.39%

Current Drawdown

FDL:

-6.78%

SPHD:

-7.74%

Returns By Period

In the year-to-date period, FDL achieves a 1.61% return, which is significantly higher than SPHD's -1.45% return. Over the past 10 years, FDL has outperformed SPHD with an annualized return of 9.74%, while SPHD has yielded a comparatively lower 7.77% annualized return.


FDL

YTD

1.61%

1M

-5.75%

6M

-0.02%

1Y

13.45%

5Y*

16.27%

10Y*

9.74%

SPHD

YTD

-1.45%

1M

-4.89%

6M

-4.28%

1Y

12.19%

5Y*

12.91%

10Y*

7.77%

*Annualized

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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.


Expense ratio chart for FDL: current value is 0.45%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FDL: 0.45%
Expense ratio chart for SPHD: current value is 0.30%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPHD: 0.30%

Risk-Adjusted Performance

FDL vs. SPHD — Risk-Adjusted Performance Rank

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

FDL
The Risk-Adjusted Performance Rank of FDL is 7676
Overall Rank
The Sharpe Ratio Rank of FDL is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of FDL is 7373
Sortino Ratio Rank
The Omega Ratio Rank of FDL is 7373
Omega Ratio Rank
The Calmar Ratio Rank of FDL is 8383
Calmar Ratio Rank
The Martin Ratio Rank of FDL is 7878
Martin Ratio Rank

SPHD
The Risk-Adjusted Performance Rank of SPHD is 7575
Overall Rank
The Sharpe Ratio Rank of SPHD is 7474
Sharpe Ratio Rank
The Sortino Ratio Rank of SPHD is 7373
Sortino Ratio Rank
The Omega Ratio Rank of SPHD is 7474
Omega Ratio Rank
The Calmar Ratio Rank of SPHD is 8080
Calmar Ratio Rank
The Martin Ratio Rank of SPHD is 7575
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for FDL, currently valued at 0.84, compared to the broader market-1.000.001.002.003.004.00
FDL: 0.84
SPHD: 0.83
The chart of Sortino ratio for FDL, currently valued at 1.19, compared to the broader market-2.000.002.004.006.008.00
FDL: 1.19
SPHD: 1.19
The chart of Omega ratio for FDL, currently valued at 1.17, compared to the broader market0.501.001.502.002.50
FDL: 1.17
SPHD: 1.17
The chart of Calmar ratio for FDL, currently valued at 1.03, compared to the broader market0.002.004.006.008.0010.0012.00
FDL: 1.03
SPHD: 0.90
The chart of Martin ratio for FDL, currently valued at 3.68, compared to the broader market0.0020.0040.0060.00
FDL: 3.68
SPHD: 3.26

The current FDL Sharpe Ratio is 0.84, which is comparable to the SPHD Sharpe Ratio of 0.83. 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 Ratio0.000.501.001.502.002.503.003.50NovemberDecember2025FebruaryMarchApril
0.84
0.83
FDL
SPHD

Dividends

FDL vs. SPHD - Dividend Comparison

FDL's dividend yield for the trailing twelve months is around 4.98%, more than SPHD's 3.46% yield.


TTM20242023202220212020201920182017201620152014
FDL
First Trust Morningstar Dividend Leaders Index Fund
4.98%4.96%4.58%3.58%4.59%4.48%3.75%3.97%3.18%2.93%3.65%3.35%
SPHD
Invesco S&P 500® High Dividend Low Volatility ETF
3.46%3.41%4.48%3.89%3.45%4.89%4.07%4.40%3.14%3.83%3.49%3.24%

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.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-6.78%
-7.74%
FDL
SPHD

Volatility

FDL vs. SPHD - Volatility Comparison

First Trust Morningstar Dividend Leaders Index Fund (FDL) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) have volatilities of 10.11% and 9.69%, 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%4.00%6.00%8.00%10.00%NovemberDecember2025FebruaryMarchApril
10.11%
9.69%
FDL
SPHD