PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FDL vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FDL vs. VOO - Performance Comparison

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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.18%
12.21%
FDL
VOO

Returns By Period

In the year-to-date period, FDL achieves a 21.68% return, which is significantly lower than VOO's 25.52% return. Over the past 10 years, FDL has underperformed VOO with an annualized return of 10.04%, while VOO has yielded a comparatively higher 13.15% annualized return.


FDL

YTD

21.68%

1M

0.95%

6M

12.18%

1Y

31.12%

5Y (annualized)

10.56%

10Y (annualized)

10.04%

VOO

YTD

25.52%

1M

1.19%

6M

12.21%

1Y

32.23%

5Y (annualized)

15.58%

10Y (annualized)

13.15%

Key characteristics


FDLVOO
Sharpe Ratio2.682.62
Sortino Ratio3.793.50
Omega Ratio1.471.49
Calmar Ratio3.543.78
Martin Ratio18.8617.12
Ulcer Index1.64%1.86%
Daily Std Dev11.53%12.19%
Max Drawdown-65.93%-33.99%
Current Drawdown-1.21%-1.36%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FDL vs. VOO - Expense Ratio Comparison

FDL has a 0.45% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.8

The correlation between FDL and VOO is 0.76, 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. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Morningstar Dividend Leaders Index Fund (FDL) and Vanguard S&P 500 ETF (VOO). 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 market0.002.004.002.682.62
The chart of Sortino ratio for FDL, currently valued at 3.79, compared to the broader market-2.000.002.004.006.008.0010.0012.003.793.50
The chart of Omega ratio for FDL, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.471.49
The chart of Calmar ratio for FDL, currently valued at 3.54, compared to the broader market0.005.0010.0015.003.543.78
The chart of Martin ratio for FDL, currently valued at 18.86, compared to the broader market0.0020.0040.0060.0080.00100.0018.8617.12
FDL
VOO

The current FDL Sharpe Ratio is 2.68, which is comparable to the VOO Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of FDL and VOO, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.68
2.62
FDL
VOO

Dividends

FDL vs. VOO - Dividend Comparison

FDL's dividend yield for the trailing twelve months is around 4.07%, more than VOO's 1.25% 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%
VOO
Vanguard S&P 500 ETF
1.25%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

FDL vs. VOO - Drawdown Comparison

The maximum FDL drawdown since its inception was -65.93%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FDL and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.21%
-1.36%
FDL
VOO

Volatility

FDL vs. VOO - Volatility Comparison

The current volatility for First Trust Morningstar Dividend Leaders Index Fund (FDL) is 3.52%, while Vanguard S&P 500 ETF (VOO) has a volatility of 4.10%. This indicates that FDL experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.52%
4.10%
FDL
VOO