FEP vs. FDL

Last updated Jun 3, 2026

FEP (First Trust Europe AlphaDEX Fund) and FDL (First Trust Morningstar Dividend Leaders Index Fund) are both exchange-traded funds - FEP is a Europe Equities fund tracking the Defined Europe 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, FEP returned 10.37%/yr vs 11.27%/yr for FDL. A 0.54 correlation means they provide meaningful diversification when combined. FEP charges 0.80%/yr vs 0.45%/yr for FDL.

Performance

FEP vs. FDL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Europe AlphaDEX Fund (FEP) 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, FEP achieves a 11.01% return, which is significantly lower than FDL's 13.62% return. Over the past 10 years, FEP has underperformed FDL with an annualized return of 10.37%, while FDL has yielded a comparatively higher 11.27% annualized return.

FEP

• 1D: 0.44%
• 1M: 2.53%
• YTD: 11.01%
• 6M: 16.91%
• 1Y: 30.38%
• 3Y*: 25.14%
• 5Y*: 9.81%
• 10Y*: 10.37%

FDL

• 1D: 0.42%
• 1M: -0.81%
• YTD: 13.62%
• 6M: 16.42%
• 1Y: 24.43%
• 3Y*: 19.07%
• 5Y*: 12.64%
• 10Y*: 11.27%

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

FEP vs. FDL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FEP First Trust Europe AlphaDEX Fund	11.01%	55.72%	3.38%	16.85%	-22.97%	17.03%	4.12%	24.83%	-19.00%	36.27%
FDL First Trust Morningstar Dividend Leaders Index Fund	13.62%	14.79%	17.98%	2.94%	6.66%	26.10%	-4.30%	24.41%	-5.99%	12.02%

Correlation

The correlation between FEP and FDL is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.23
Correlation (3Y) Calculated over the trailing 3-year period	0.42
Correlation (5Y) Calculated over the trailing 5-year period	0.52
Correlation (10Y) Calculated over the trailing 10-year period	0.55
Correlation (All Time) Calculated using the full available price history since Apr 27, 2011	0.54

Over the past year, the correlation between FEP and FDL has dropped to 0.23 - well below their long-term average of 0.54, suggesting their price drivers have been diverging.

FEP vs. FDL - Sectors Allocation Comparison

Sectors	FEP	FDL
Industrials	25.4%	3.8%
Basic Materials	11.3%	0.3%
Energy	11.0%	27.3%
Consumer Cyclical	10.7%	3.8%
Financial Services	9.8%	15.1%
Consumer Defensive	8.1%	14.7%
Utilities	7.1%	6.5%
Real Estate	5.2%	-
Healthcare	4.8%	16.8%
Communication Services	3.7%	10.6%
Technology	3.0%	1.1%

Return for Risk

FEP vs. FDL — Risk / Return Rank

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

FEP

FEP Risk / Return Rank: 53
FEP Sharpe Ratio Rank: 52
FEP Sortino Ratio Rank: 51
FEP Omega Ratio Rank: 52
FEP Calmar Ratio Rank: 53
FEP Martin Ratio Rank: 58

FDL

FDL Risk / Return Rank: 73
FDL Sharpe Ratio Rank: 65
FDL Sortino Ratio Rank: 73
FDL Omega Ratio Rank: 62
FDL Calmar Ratio Rank: 91
FDL Martin Ratio Rank: 73

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.

FEP vs. FDL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Europe AlphaDEX Fund (FEP) 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.

	FEP	FDL	Difference
Sharpe ratio Return per unit of total volatility	1.83	2.18	-0.35
Sortino ratio Return per unit of downside risk	2.50	3.35	-0.85
Omega ratio Gain probability vs. loss probability	1.32	1.38	-0.06
Calmar ratio Return relative to maximum drawdown	2.68	5.74	-3.06
Martin ratio Return relative to average drawdown	10.42	14.05	-3.62
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FEP vs. FDL - Sharpe Ratio Comparison

The current FEP Sharpe Ratio is 1.83, which is comparable to the FDL Sharpe Ratio of 2.18. The chart below compares the historical Sharpe Ratios of FEP 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

	FEP	FDL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.83	2.18	-0.35
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.50	0.89	-0.39
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.66	-0.16
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.45	-0.11

Drawdowns

FEP vs. FDL - Drawdown Comparison

The maximum FEP drawdown since its inception was -46.05%, smaller than the maximum FDL drawdown of -65.93%. Use the drawdown chart below to compare losses from any high point for FEP and FDL.

Drawdown Indicators

	FEP	FDL	Difference
Max Drawdown Largest peak-to-trough decline	-46.05%	-65.93%	+19.88%
Max Drawdown (1Y) Largest decline over 1 year	-12.13%	-4.27%	-7.86%
Max Drawdown (3Y) Largest decline over 3 years	-15.83%	-12.24%	-3.59%
Max Drawdown (5Y) Largest decline over 5 years	-38.99%	-16.46%	-22.53%
Max Drawdown (10Y) Largest decline over 10 years	-46.05%	-41.40%	-4.65%
Current Drawdown Current decline from peak	-0.55%	-1.92%	+1.37%
Average Drawdown Average peak-to-trough decline	-12.03%	-9.66%	-2.37%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.11%	1.75%	+1.36%

Volatility

FEP vs. FDL - Volatility Comparison

First Trust Europe AlphaDEX Fund (FEP) has a higher volatility of 5.90% compared to First Trust Morningstar Dividend Leaders Index Fund (FDL) at 2.95%. This indicates that FEP'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

	FEP	FDL	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.90%	2.95%	+2.95%
Volatility (6M) Calculated over the trailing 6-month period	13.92%	7.87%	+6.05%
Volatility (1Y) Calculated over the trailing 1-year period	16.77%	11.27%	+5.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.67%	14.31%	+5.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.73%	17.11%	+3.62%

FEP vs. FDL - Expense Ratio Comparison

FEP has a 0.80% expense ratio, which is higher than FDL's 0.45% expense ratio.

Dividends

FEP vs. FDL - Dividend Comparison

FEP's dividend yield for the trailing twelve months is around 2.95%, less than FDL's 3.67% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FDL First Trust Morningstar Dividend Leaders Index Fund	3.67%	4.04%	4.96%	4.58%	3.58%	4.59%	4.48%	3.75%	3.97%	3.18%	2.93%	3.65%
FEP First Trust Europe AlphaDEX Fund	2.95%	3.33%	4.94%	3.27%	3.00%	3.49%	2.32%	2.63%	2.62%	1.65%	2.14%	2.20%

Frequently Asked Questions

Can I hold both FEP and FDL in my portfolio?

FEP and FDL have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FEP or FDL?

FEP has higher volatility (5.90%) compared to FDL (2.95%). In terms of maximum drawdown, FEP dropped -46.05% vs FDL's -65.93%.

Which ETF is better, FEP or FDL?

On 10-year performance, FDL leads with 11.27% vs 10.37% for FEP. On fees, FDL is cheaper at 0.45% per year. On volatility, FDL has been the lower-risk option at 2.95%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FEP or FDL?

Over the 10-year period, FDL has performed better with a 11.27% return vs 10.37%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FEP or FDL?

FDL is cheaper with a 0.45% expense ratio, compared with 0.80% for FEP.

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

FDL has the higher dividend yield at 3.67%, compared with 2.95% for FEP.

What is the main difference between FEP and FDL?

FEP is categorized as Europe Equities, while FDL is Large Cap Value Equities. FEP tracks Defined Europe Index, while FDL tracks Morningstar Dividend Leaders Index. Their fees differ too: 0.80% for FEP and 0.45% for FDL.

Which has better risk-adjusted returns?

FDL currently has the higher Sharpe Ratio (2.18 vs 1.83), 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.