FDL vs. SPHD
FDL (First Trust Morningstar Dividend Leaders Index Fund) and SPHD (Invesco S&P 500® High Dividend Low Volatility ETF) are both exchange-traded funds - FDL is a Large Cap Value Equities fund tracking the Morningstar Dividend Leaders Index, while SPHD is a Dividend fund tracking the S&P 500 Low Volatility High Dividend Index. Both are passively managed. Over the past 10 years, FDL returned 10.99%/yr vs 7.38%/yr for SPHD. Their correlation of 0.90 suggests significant overlap in exposure. FDL charges 0.43%/yr vs 0.30%/yr for SPHD.
Performance
FDL vs. SPHD - Performance Comparison
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Returns By Period
In the year-to-date period, FDL achieves a 11.33% return, which is significantly higher than SPHD's 6.47% return. Over the past 10 years, FDL has outperformed SPHD with an annualized return of 10.99%, while SPHD has yielded a comparatively lower 7.38% annualized return.
FDL
- 1D
- -0.16%
- 1M
- -3.91%
- YTD
- 11.33%
- 6M
- 11.38%
- 1Y
- 21.02%
- 3Y*
- 18.63%
- 5Y*
- 12.95%
- 10Y*
- 10.99%
SPHD
- 1D
- 0.20%
- 1M
- -0.79%
- YTD
- 6.47%
- 6M
- 6.49%
- 1Y
- 11.21%
- 3Y*
- 12.10%
- 5Y*
- 6.82%
- 10Y*
- 7.38%
FDL vs. SPHD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FDL First Trust Morningstar Dividend Leaders Index Fund | 11.33% | 14.79% | 17.98% | 2.94% | 6.66% | 26.10% | -4.30% | 24.41% | -5.99% | 12.02% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 6.47% | 3.41% | 18.08% | 1.32% | 0.58% | 24.98% | -9.98% | 20.26% | -6.17% | 11.90% |
Correlation
The correlation between FDL and SPHD is 0.83, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.83 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.89 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.90 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.90 |
Correlation (All Time) Calculated using the full available price history since Oct 26, 2012 | 0.90 |
The correlation between FDL and SPHD has been stable across timeframes, ranging from 0.83 to 0.90 - a consistent structural relationship.
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Return for Risk
FDL vs. SPHD — Risk / Return Rank
FDL
SPHD
FDL vs. SPHD - Risk-Adjusted Trends 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.
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 | SPHD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.85 | ||
| Sortino ratioReturn per unit of downside risk | +1.30 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.17 | +0.15 |
| Calmar ratioReturn relative to maximum drawdown | 4.94 | 1.54 | +3.41 |
| Martin ratioReturn relative to average drawdown | 11.71 | 3.77 | +7.94 |
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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.
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Drawdown Indicators
| FDL | SPHD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -65.93% | -41.39% | -24.54% |
Max Drawdown (1Y)Largest decline over 1 year | -4.27% | -7.33% | +3.06% |
Max Drawdown (3Y)Largest decline over 3 years | -12.24% | -13.29% | +1.05% |
Max Drawdown (5Y)Largest decline over 5 years | -16.46% | -19.50% | +3.04% |
Max Drawdown (10Y)Largest decline over 10 years | -41.40% | -41.39% | -0.01% |
Current DrawdownCurrent decline from peak | -4.24% | -3.48% | -0.76% |
Average DrawdownAverage peak-to-trough decline | -9.64% | -4.69% | -4.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.80% | 2.98% | -1.18% |
Volatility
FDL vs. SPHD - Volatility Comparison
The current volatility for First Trust Morningstar Dividend Leaders Index Fund (FDL) is 3.52%, while Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) has a volatility of 3.95%. This indicates that FDL experiences smaller price fluctuations and is considered to be less risky than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FDL | SPHD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.52% | 3.95% | -0.43% |
Volatility (6M)Calculated over the trailing 6-month period | 8.03% | 7.99% | +0.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.51% | 11.39% | +0.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.30% | 14.14% | +0.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.13% | 17.67% | -0.54% |
FDL vs. SPHD - Expense Ratio Comparison
FDL has a 0.43% expense ratio, which is higher than SPHD's 0.30% expense ratio.
Dividends
FDL vs. SPHD - Dividend Comparison
FDL's dividend yield for the trailing twelve months is around 3.74%, less than SPHD's 4.97% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FDL First Trust Morningstar Dividend Leaders Index Fund | 3.74% | 4.04% | 4.96% | 4.58% | 3.58% | 4.59% | 4.48% | 3.75% | 3.97% | 3.18% | 2.93% | 3.65% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 4.67% | 4.02% | 3.41% | 4.48% | 3.89% | 3.45% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% |
Frequently Asked Questions
FDL and SPHD have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPHD has higher volatility (3.95%) compared to FDL (3.52%). In terms of maximum drawdown, FDL dropped -65.93% vs SPHD's -41.39%.
On 10-year performance, FDL leads with 10.99% vs 7.38% for SPHD. On fees, SPHD is cheaper at 0.30% per year. On volatility, FDL has been the lower-risk option at 3.52%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FDL has performed better with a 10.99% return vs 7.38%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPHD is cheaper with a 0.30% expense ratio, compared with 0.43% for FDL.
SPHD has the higher dividend yield at 4.97%, compared with 3.74% for FDL.
FDL is categorized as Large Cap Value Equities, while SPHD is Dividend. FDL tracks Morningstar Dividend Leaders Index, while SPHD tracks S&P 500 Low Volatility High Dividend Index. They also come from different issuers: First Trust and Invesco. Their fees differ too: 0.43% for FDL and 0.30% for SPHD.
FDL currently has the higher Sharpe Ratio (1.84 vs 0.99), 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.
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