FDM vs. SPY

Last updated Jun 23, 2026

FDM (First Trust Dow Jones Select MicroCap Index Fund) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - FDM is a Small Cap Blend Equities fund tracking the Dow Jones Select Microcap Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, FDM returned 12.20%/yr vs 15.70%/yr for SPY. A 0.75 correlation means they provide meaningful diversification when combined. FDM charges 0.60%/yr vs 0.09%/yr for SPY.

Performance

FDM vs. SPY - 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 State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FDM achieves a 13.00% return, which is significantly higher than SPY's 9.74% return. Over the past 10 years, FDM has underperformed SPY with an annualized return of 12.20%, while SPY has yielded a comparatively higher 15.70% annualized return.

FDM

• 1D: 0.29%
• 1M: 3.86%
• YTD: 13.00%
• 6M: 10.95%
• 1Y: 31.34%
• 3Y*: 19.66%
• 5Y*: 9.59%
• 10Y*: 12.20%

SPY

• 1D: -0.31%
• 1M: 0.09%
• YTD: 9.74%
• 6M: 9.27%
• 1Y: 26.65%
• 3Y*: 21.27%
• 5Y*: 13.51%
• 10Y*: 15.70%

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

FDM vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FDM First Trust Dow Jones Select MicroCap Index Fund	13.00%	18.64%	13.00%	12.76%	-11.61%	35.08%	-4.04%	27.45%	-13.53%	8.72%
SPY State Street SPDR S&P 500 ETF	9.74%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between FDM and SPY is 0.60, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.60
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.70
Correlation (10Y) Calculated over the trailing 10-year period	0.68
Correlation (All Time) Calculated using the full available price history since Sep 30, 2005	0.75

The correlation between FDM and SPY shifts across timeframes, from 0.60 (1 year) to 0.75 (all time), reflecting how their relationship changes across market environments.

FDM vs. SPY - Sectors Allocation Comparison

Sectors	FDM	SPY
Financial Services	42.2%	11.1%
Industrials	14.9%	7.8%
Consumer Cyclical	10.4%	9.9%
Technology	6.8%	39.0%
Healthcare	6.2%	8.3%
Energy	4.6%	3.1%
Basic Materials	4.5%	1.7%
Consumer Defensive	4.5%	4.5%
Communication Services	3.3%	10.6%
Real Estate	1.4%	1.8%
Utilities	1.0%	2.1%

Return for Risk

FDM vs. SPY — Risk / Return Rank

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

FDM

FDM Risk / Return Rank: 55
FDM Sharpe Ratio Rank: 50
FDM Sortino Ratio Rank: 51
FDM Omega Ratio Rank: 46
FDM Calmar Ratio Rank: 70
FDM Martin Ratio Rank: 59

SPY

SPY Risk / Return Rank: 68
SPY Sharpe Ratio Rank: 69
SPY Sortino Ratio Rank: 66
SPY Omega Ratio Rank: 68
SPY Calmar Ratio Rank: 63
SPY Martin Ratio Rank: 74

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. SPY - 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 State Street SPDR S&P 500 ETF (SPY). 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	SPY	Difference
Sharpe ratio: Return per unit of total volatility	1.67	2.16	-0.49
Sortino ratio: Return per unit of downside risk	2.43	2.91	-0.48
Omega ratio: Gain probability vs. loss probability	1.29	1.39	-0.10
Calmar ratio: Return relative to maximum drawdown	3.39	3.01	+0.37
Martin ratio: Return relative to average drawdown	10.21	13.54	-3.32

FDM vs. SPY - Sharpe Ratio Comparison

The current FDM Sharpe Ratio is 1.67, which is comparable to the SPY Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of FDM and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FDM vs. SPY - Drawdown Comparison

The maximum FDM drawdown since its inception was -63.45%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FDM and SPY.

Drawdown Indicators

	FDM	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-63.45%	-55.19%	-8.26%
Max Drawdown (1Y) Largest decline over 1 year	-9.30%	-8.88%	-0.42%
Max Drawdown (3Y) Largest decline over 3 years	-23.47%	-18.76%	-4.71%
Max Drawdown (5Y) Largest decline over 5 years	-23.74%	-24.50%	+0.76%
Max Drawdown (10Y) Largest decline over 10 years	-47.76%	-33.72%	-14.04%
Current Drawdown Current decline from peak	-0.51%	-1.75%	+1.24%
Average Drawdown Average peak-to-trough decline	-11.32%	-9.04%	-2.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.08%	1.97%	+1.11%

Volatility

FDM vs. SPY - Volatility Comparison

First Trust Dow Jones Select MicroCap Index Fund (FDM) and State Street SPDR S&P 500 ETF (SPY) have volatilities of 4.77% and 4.64%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FDM	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.77%	4.64%	+0.13%
Volatility (6M) Calculated over the trailing 6-month period	13.23%	9.75%	+3.48%
Volatility (1Y) Calculated over the trailing 1-year period	18.87%	12.43%	+6.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.40%	17.14%	+4.26%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.38%	17.99%	+5.39%

FDM vs. SPY - Expense Ratio Comparison

FDM has a 0.60% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

FDM vs. SPY - Dividend Comparison

FDM's dividend yield for the trailing twelve months is around 1.22%, more than SPY's 1.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FDM First Trust Dow Jones Select MicroCap Index Fund	1.22%	1.43%	1.56%	1.81%	1.80%	1.08%	1.68%	1.37%	1.26%	0.97%	1.13%	1.45%
SPY State Street SPDR S&P 500 ETF	1.01%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both FDM and SPY in my portfolio?

FDM and SPY have a correlation of 0.60, 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 SPY?

FDM has higher volatility (4.77%) compared to SPY (4.64%). In terms of maximum drawdown, FDM dropped -63.45% vs SPY's -55.19%.

Which ETF is better, FDM or SPY?

On 10-year performance, SPY leads with 15.70% vs 12.20% for FDM. On fees, SPY is cheaper at 0.09% per year. On volatility, SPY has been the lower-risk option at 4.64%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FDM or SPY?

Over the 10-year period, SPY has performed better with a 15.70% return vs 12.20%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FDM or SPY?

SPY is cheaper with a 0.09% expense ratio, compared with 0.60% for FDM.

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

FDM has the higher dividend yield at 1.22%, compared with 1.01% for SPY.

What is the main difference between FDM and SPY?

FDM is categorized as Small Cap Blend Equities, while SPY is S&P 500. FDM tracks Dow Jones Select Microcap Index, while SPY tracks S&P 500 Index. They also come from different issuers: First Trust and State Street. Their fees differ too: 0.60% for FDM and 0.09% for SPY.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.16 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.