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

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.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.84%
12.56%
FDL
SPHD

Returns By Period

The year-to-date returns for both investments are quite close, with FDL having a 21.88% return and SPHD slightly higher at 21.91%. Over the past 10 years, FDL has outperformed SPHD with an annualized return of 10.06%, while SPHD has yielded a comparatively lower 8.70% annualized return.


FDL

YTD

21.88%

1M

-0.09%

6M

11.84%

1Y

31.30%

5Y (annualized)

10.75%

10Y (annualized)

10.06%

SPHD

YTD

21.91%

1M

-1.53%

6M

12.57%

1Y

31.10%

5Y (annualized)

7.65%

10Y (annualized)

8.70%

Key characteristics


FDLSPHD
Sharpe Ratio2.812.85
Sortino Ratio3.974.07
Omega Ratio1.501.53
Calmar Ratio3.722.25
Martin Ratio19.8919.60
Ulcer Index1.63%1.62%
Daily Std Dev11.53%11.17%
Max Drawdown-65.93%-41.39%
Current Drawdown-1.05%-1.53%

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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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for FDL, currently valued at 2.81, compared to the broader market0.002.004.002.812.85
The chart of Sortino ratio for FDL, currently valued at 3.97, compared to the broader market-2.000.002.004.006.008.0010.003.974.07
The chart of Omega ratio for FDL, currently valued at 1.50, compared to the broader market0.501.001.502.002.503.001.501.53
The chart of Calmar ratio for FDL, currently valued at 3.72, compared to the broader market0.005.0010.0015.003.722.25
The chart of Martin ratio for FDL, currently valued at 19.89, compared to the broader market0.0020.0040.0060.0080.00100.0019.8919.60
FDL
SPHD

The current FDL Sharpe Ratio is 2.81, which is comparable to the SPHD Sharpe Ratio of 2.85. 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
2.81
2.85
FDL
SPHD

Dividends

FDL vs. SPHD - Dividend Comparison

FDL's dividend yield for the trailing twelve months is around 4.06%, more than SPHD's 3.40% yield.


TTM20232022202120202019201820172016201520142013
FDL
First Trust Morningstar Dividend Leaders Index Fund
4.06%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
-1.05%
-1.53%
FDL
SPHD

Volatility

FDL vs. SPHD - Volatility Comparison

First Trust Morningstar Dividend Leaders Index Fund (FDL) has a higher volatility of 3.69% compared to Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) at 2.64%. 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
3.69%
2.64%
FDL
SPHD