FDM vs. FDL

Last updated Jun 4, 2026

FDM (First Trust Dow Jones Select MicroCap Index Fund) and FDL (First Trust Morningstar Dividend Leaders Index Fund) are both exchange-traded funds - FDM is a Small Cap Blend Equities fund tracking the Dow Jones Select Microcap Index, while FDL is a Large Cap Value Equities fund tracking the Morningstar Dividend Leaders Index. Both are passively managed. Over the past 10 years, FDM returned 11.42%/yr vs 11.24%/yr for FDL. A 0.65 correlation means they provide meaningful diversification when combined. FDM charges 0.60%/yr vs 0.45%/yr for FDL.

Performance

FDM vs. FDL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Dow Jones Select MicroCap Index Fund (FDM) and First Trust Morningstar Dividend Leaders Index Fund (FDL). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FDM achieves a 7.48% return, which is significantly lower than FDL's 13.33% return. Both investments have delivered pretty close results over the past 10 years, with FDM having a 11.42% annualized return and FDL not far behind at 11.24%.

FDM

• 1D: -2.13%
• 1M: -2.89%
• YTD: 7.48%
• 6M: 7.77%
• 1Y: 27.59%
• 3Y*: 18.03%
• 5Y*: 8.37%
• 10Y*: 11.42%

FDL

• 1D: -0.26%
• 1M: -0.26%
• YTD: 13.33%
• 6M: 14.76%
• 1Y: 23.67%
• 3Y*: 18.97%
• 5Y*: 12.51%
• 10Y*: 11.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

FDM vs. FDL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FDM First Trust Dow Jones Select MicroCap Index Fund	7.48%	18.64%	13.00%	12.76%	-11.61%	35.08%	-4.04%	27.45%	-13.53%	8.72%
FDL First Trust Morningstar Dividend Leaders Index Fund	13.33%	14.79%	17.98%	2.94%	6.66%	26.10%	-4.30%	24.41%	-5.99%	12.02%

Correlation

The correlation between FDM and FDL is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.42
Correlation (3Y) Calculated over the trailing 3-year period	0.57
Correlation (5Y) Calculated over the trailing 5-year period	0.63
Correlation (10Y) Calculated over the trailing 10-year period	0.64
Correlation (All Time) Calculated using the full available price history since Mar 16, 2006	0.65

Over the past year, the correlation between FDM and FDL has dropped to 0.42 - well below their long-term average of 0.65, suggesting their price drivers have been diverging.

FDM vs. FDL - Sectors Allocation Comparison

Sectors	FDM	FDL
Financial Services	41.2%	15.1%
Industrials	16.4%	3.8%
Consumer Cyclical	10.0%	3.8%
Technology	6.2%	1.1%
Healthcare	6.2%	16.8%
Energy	5.0%	27.3%
Consumer Defensive	4.7%	14.7%
Basic Materials	4.2%	0.3%
Communication Services	3.7%	10.6%
Real Estate	1.4%	-
Utilities	1.0%	6.5%

Return for Risk

FDM vs. FDL — Risk / Return Rank

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

FDM

FDM Risk / Return Rank: 47
FDM Sharpe Ratio Rank: 41
FDM Sortino Ratio Rank: 43
FDM Omega Ratio Rank: 39
FDM Calmar Ratio Rank: 60
FDM Martin Ratio Rank: 52

FDL

FDL Risk / Return Rank: 70
FDL Sharpe Ratio Rank: 61
FDL Sortino Ratio Rank: 70
FDL Omega Ratio Rank: 59
FDL Calmar Ratio Rank: 90
FDL Martin Ratio Rank: 71

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FDM vs. FDL - 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 First Trust Morningstar Dividend Leaders Index Fund (FDL). 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.

	FDM	FDL	Difference
Sharpe ratio Return per unit of total volatility	1.47	2.11	-0.64
Sortino ratio Return per unit of downside risk	2.18	3.25	-1.08
Omega ratio Gain probability vs. loss probability	1.26	1.37	-0.11
Calmar ratio Return relative to maximum drawdown	2.98	5.56	-2.58
Martin ratio Return relative to average drawdown	9.04	13.56	-4.52
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FDM vs. FDL - Sharpe Ratio Comparison

The current FDM Sharpe Ratio is 1.47, which is lower than the FDL Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of FDM and FDL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FDM	FDL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.47	2.11	-0.64
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.39	0.88	-0.49
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.49	0.66	-0.17
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.45	-0.11

Drawdowns

FDM vs. FDL - Drawdown Comparison

The maximum FDM drawdown since its inception was -63.45%, roughly equal to the maximum FDL drawdown of -65.93%. Use the drawdown chart below to compare losses from any high point for FDM and FDL.

Drawdown Indicators

	FDM	FDL	Difference
Max Drawdown Largest peak-to-trough decline	-63.45%	-65.93%	+2.48%
Max Drawdown (1Y) Largest decline over 1 year	-9.30%	-4.27%	-5.03%
Max Drawdown (3Y) Largest decline over 3 years	-23.47%	-12.24%	-11.23%
Max Drawdown (5Y) Largest decline over 5 years	-23.74%	-16.46%	-7.28%
Max Drawdown (10Y) Largest decline over 10 years	-47.76%	-41.40%	-6.36%
Current Drawdown Current decline from peak	-4.31%	-2.18%	-2.13%
Average Drawdown Average peak-to-trough decline	-11.35%	-9.66%	-1.69%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.06%	1.75%	+1.31%

Volatility

FDM vs. FDL - Volatility Comparison

First Trust Dow Jones Select MicroCap Index Fund (FDM) has a higher volatility of 4.50% compared to First Trust Morningstar Dividend Leaders Index Fund (FDL) at 2.85%. This indicates that FDM's price experiences larger fluctuations and is considered to be riskier than FDL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FDM	FDL	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.50%	2.85%	+1.65%
Volatility (6M) Calculated over the trailing 6-month period	13.22%	7.87%	+5.35%
Volatility (1Y) Calculated over the trailing 1-year period	18.90%	11.28%	+7.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.39%	14.31%	+7.08%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.36%	17.11%	+6.25%

FDM vs. FDL - Expense Ratio Comparison

FDM has a 0.60% expense ratio, which is higher than FDL's 0.45% expense ratio.

Dividends

FDM vs. FDL - Dividend Comparison

FDM's dividend yield for the trailing twelve months is around 1.28%, less than FDL's 3.68% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FDL First Trust Morningstar Dividend Leaders Index Fund	3.68%	4.04%	4.96%	4.58%	3.58%	4.59%	4.48%	3.75%	3.97%	3.18%	2.93%	3.65%
FDM First Trust Dow Jones Select MicroCap Index Fund	1.28%	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

Can I hold both FDM and FDL in my portfolio?

FDM and FDL have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FDM or FDL?

FDM has higher volatility (4.50%) compared to FDL (2.85%). In terms of maximum drawdown, FDM dropped -63.45% vs FDL's -65.93%.

Which ETF is better, FDM or FDL?

On 10-year performance, FDM leads with 11.42% vs 11.24% for FDL. On fees, FDL is cheaper at 0.45% per year. On volatility, FDL has been the lower-risk option at 2.85%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FDM or FDL?

Over the 10-year period, FDM has performed better with a 11.42% return vs 11.24%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FDM or FDL?

FDL is cheaper with a 0.45% expense ratio, compared with 0.60% for FDM.

Which ETF pays a higher dividend yield, FDM or FDL?

FDL has the higher dividend yield at 3.68%, compared with 1.28% for FDM.

What is the main difference between FDM and FDL?

FDM is categorized as Small Cap Blend Equities, while FDL is Large Cap Value Equities. FDM tracks Dow Jones Select Microcap Index, while FDL tracks Morningstar Dividend Leaders Index. Their fees differ too: 0.60% for FDM and 0.45% for FDL.

Which has better risk-adjusted returns?

FDL currently has the higher Sharpe Ratio (2.11 vs 1.47), 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.