FDM vs. DFSCX
FDM (First Trust Dow Jones Select MicroCap Index Fund) and DFSCX (DFA U.S. Micro Cap Portfolio) are both Small Cap Blend Equities funds. Over the past 10 years, FDM returned 11.77%/yr vs 11.33%/yr for DFSCX. Their correlation of 0.93 means they have usually moved in the same direction. FDM charges 0.60%/yr vs 0.41%/yr for DFSCX.
Performance
FDM vs. DFSCX - Performance Comparison
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Returns By Period
In the year-to-date period, FDM achieves a 15.65% return, which is significantly lower than DFSCX's 23.22% return. Both investments have delivered pretty close results over the past 10 years, with FDM having a 11.77% annualized return and DFSCX not far behind at 11.33%.
FDM
- 1D
- -0.28%
- 1M
- -1.12%
- 6M
- 9.59%
- YTD
- 15.65%
- 1Y
- 34.43%
- 3Y*
- 16.71%
- 5Y*
- 10.85%
- 10Y*
- 11.77%
- ALL TIME*
- 8.82%
DFSCX
- 1D
- 0.65%
- 1M
- -0.44%
- 6M
- 16.44%
- YTD
- 23.22%
- 1Y
- 39.55%
- 3Y*
- 16.34%
- 5Y*
- 10.88%
- 10Y*
- 11.33%
- ALL TIME*
- 12.45%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $791.30K | $957.71K | $769.46K |
FDM vs. DFSCX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FDM First Trust Dow Jones Select MicroCap Index Fund | 15.65% | 18.64% | 13.00% | 12.76% | -11.61% | 35.08% | -4.04% | 27.45% | -13.53% | 8.72% |
DFSCX DFA U.S. Micro Cap Portfolio | 23.22% | 9.65% | 11.43% | 17.93% | -12.49% | 33.70% | 6.61% | 20.68% | -11.60% | 10.92% |
Correlation
The correlation between FDM and DFSCX is 0.87, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.87 |
Correlation (3Y) Balances recent behavior with more history. | 0.91 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.93 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.93 |
Correlation (All Time) Calculated using the full available price history since Sep 30, 2005 | 0.93 |
The correlation between FDM and DFSCX has been stable across timeframes, ranging from 0.87 to 0.93 - a consistent structural relationship.
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Return for Risk
FDM vs. DFSCX — Risk / Return Rank
FDM
DFSCX
FDM vs. DFSCX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Dow Jones Select MicroCap Index Fund (FDM) and DFA U.S. Micro Cap Portfolio (DFSCX). 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.
| FDM | DFSCX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.39 | ||
| Sortino ratioReturn per unit of downside risk | -0.60 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.36 | -0.06 |
| Calmar ratioReturn relative to maximum drawdown | 3.31 | 4.35 | -1.04 |
| Martin ratioReturn relative to average drawdown | 10.43 | 14.57 | -4.14 |
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Drawdowns
FDM vs. DFSCX - Drawdown Comparison
The maximum FDM drawdown since its inception was -63.45%, roughly equal to the maximum DFSCX drawdown of -63.07%. Use the drawdown chart below to compare losses from any high point for FDM and DFSCX.
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Drawdown Indicators
| FDM | DFSCX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.45% | -63.07% | -0.38% |
Max Drawdown (1Y)Largest decline over 1 year | -9.30% | -8.17% | -1.13% |
Max Drawdown (3Y)Largest decline over 3 years | -23.47% | -27.01% | +3.54% |
Max Drawdown (5Y)Largest decline over 5 years | -23.74% | -27.01% | +3.27% |
Max Drawdown (10Y)Largest decline over 10 years | -47.76% | -46.88% | -0.88% |
Current DrawdownCurrent decline from peak | -2.48% | -1.63% | -0.85% |
Average DrawdownAverage peak-to-trough decline | -11.27% | -9.87% | -1.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.95% | 2.46% | +0.49% |
Volatility
FDM vs. DFSCX - Volatility Comparison
First Trust Dow Jones Select MicroCap Index Fund (FDM) has a higher volatility of 3.90% compared to DFA U.S. Micro Cap Portfolio (DFSCX) at 3.50%. This indicates that FDM's price experiences larger fluctuations and is considered to be riskier than DFSCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FDM | DFSCX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.90% | 3.50% | +0.40% |
Volatility (6M)Calculated over the trailing 6-month period | 12.43% | 11.52% | +0.91% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.49% | 17.30% | +1.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.24% | 20.85% | +0.39% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.33% | 22.59% | +0.74% |
FDM vs. DFSCX - Expense Ratio Comparison
FDM has a 0.60% expense ratio, which is higher than DFSCX's 0.41% expense ratio.
Dividends
FDM vs. DFSCX - Dividend Comparison
FDM's dividend yield for the trailing twelve months is around 1.37%, more than DFSCX's 0.86% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFSCX DFA U.S. Micro Cap Portfolio | 0.86% | 1.03% | 0.97% | 2.48% | 5.16% | 10.77% | 0.87% | 2.80% | 5.50% | 5.05% | 0.90% | 6.33% |
FDM First Trust Dow Jones Select MicroCap Index Fund | 1.37% | 1.43% | 1.56% | 1.81% | 1.80% | 1.08% | 1.68% | 1.37% | 1.26% | 0.97% | 1.13% | 1.45% |
Frequently Asked Questions
FDM and DFSCX have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FDM has higher volatility (3.90%) compared to DFSCX (3.50%). In terms of maximum drawdown, FDM dropped -63.45% vs DFSCX's -63.07%.
DFSCX currently has the higher Sharpe Ratio (2.06 vs 1.67), 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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