First Trust Morningstar Dividend Leaders Index Fund

10-Year Study

FDL.US · · US · ETF

Executive Summary: First Trust Morningstar Dividend Leaders Index Fund has compounded at 11.3% annually over the last 10 years, with a maximum drawdown of 30.5% and an annualized volatility of 15.3%.

1Y CAGR
+25.3%
3Y CAGR
+20.1%
5Y CAGR
+12.7%
10Y CAGR
+11.3%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
30.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.51
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.68
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +26.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -6.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20267.97.0-0.8-2.0————————12.2%
20253.25.7-0.2-5.31.71.20.95.4-1.6-1.53.51.414.8%
20240.60.96.6-3.54.1-0.67.12.41.80.24.5-6.618.0%
20233.8-4.0-1.71.0-7.43.95.7-3.3-2.9-3.57.05.52.9%
20222.2-0.74.5-2.36.1-8.74.1-2.2-9.312.55.3-2.96.7%
2021-1.34.68.03.81.3-2.50.91.7-3.03.1-2.19.926.1%
2020-5.2-10.2-18.412.11.61.24.52.2-2.6-0.412.22.9-4.3%
20194.74.12.41.4-5.36.70.8-3.65.51.12.62.324.4%
20181.5-5.8-1.1-0.11.01.33.0-0.12.1-3.14.0-8.2-6.0%
20170.84.4-0.6-1.10.7-1.21.4-0.93.4-0.83.81.612.0%
2016———0.20.74.43.1-1.00.3-2.42.23.010.8%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 15.3%. The dominant macroeconomic risk driver is VTV.US, accounting for 80.4% of variance. Idiosyncratic stock-specific factors contribute 6.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110019.501650591512
2016-05-0110089.637104827245
2016-06-0110531.067539150152
2016-07-0110860.77466195181
2016-08-0110754.807861749745
2016-09-0110783.766638079911
2016-10-0110526.720785705054
2016-11-0110754.102982812701
2016-12-0111079.933271460626
2017-01-0111173.740909998709
2017-02-0111660.7535155837
2017-03-0111587.09366666275
2017-04-0111462.447574629057
2017-05-0111546.915567251324
2017-06-0111408.34811621104
2017-07-0111562.481643777683
2017-08-0111461.096556666393
2017-09-0111856.181200878747
2017-10-0111766.309136405822
2017-11-0112215.728198681874
2017-12-0112411.684543179708
2018-01-0112593.19086946817
2018-02-0111863.053770514915
2018-03-0111737.232880252817
2018-04-0111724.78001903173
2018-05-0111845.37305717743
2018-06-0111996.510849261638
2018-07-0112361.579398738266
2018-08-0112353.179591405176
2018-09-0112609.931744222931
2018-10-0112225.00910468627
2018-11-0112715.663584779315
2018-12-0111667.626085219863
2019-01-0112211.616404882461
2019-02-0112708.438575674627
2019-03-0113017.469249656373
2019-04-0113194.452602765474
2019-05-0112499.559450664348
2019-06-0113336.48570857955
2019-07-0113445.272024529788
2019-08-0112962.13625309853
2019-09-0113678.351993045195
2019-10-0113828.19750707816
2019-11-0114193.970935491829
2019-12-0114515.689430340339
2020-01-0113758.297012488105
2020-02-0112354.824308924943
2020-03-0110083.704373773802
2020-04-0111307.432948391113
2020-05-0111483.593942740335
2020-06-0111621.573994666416
2020-07-0112139.42505374702
2020-08-0112409.804866014263
2020-09-0112083.034738783614
2020-10-0112031.989755759447
2020-11-0113497.198106225256
2020-12-0113891.812831146251
2021-01-0113708.720527249445
2021-02-0114333.125785646314
2021-03-0115475.26462330095
2021-04-0116061.723898920362
2021-05-0116265.14021216856
2021-06-0115858.30758567216
2021-07-0116001.6917094489
2021-08-0116274.127418615853
2021-09-0115788.994490196308
2021-10-0116280.588808872077
2021-11-0115938.370084937911
2021-12-0117517.65134338177
2022-01-0117911.737409099987
2022-02-0117778.750249644625
2022-03-0118582.253497961723
2022-04-0118155.390561671033
2022-05-0119267.160865121416
2022-06-0117598.477461495986
2022-07-0118312.989744011466
2022-08-0117913.26464679691
2022-09-0116244.287543614382
2022-10-0118281.798851047333
2022-11-0119247.424254884223
2022-12-0118683.22740569307
2023-01-0119398.679526791275
2023-02-0118621.90293817037
2023-03-0118308.52551074353
2023-04-0118494.202370742823
2023-05-0117117.221367230177
2023-06-0117779.455128581663
2023-07-0118798.827551368053
2023-08-0118187.16885374937
2023-09-0117667.84929688326
2023-10-0117044.383877069115
2023-11-0118233.162204391396
2023-12-0119232.328097649228
2024-01-0119350.277839781018
2024-02-0119516.453049188804
2024-03-0120807.732521939353
2024-04-0120088.57978642168
2024-05-0120905.06455516265
2024-06-0120774.133292606995
2024-07-0122258.432114284373
2024-08-0122789.675873168784
2024-09-0123191.691826928723
2024-10-0123246.966083575146
2024-11-0124297.353179591402
2024-12-0122690.816602248564
2025-01-0123406.62116281529
2025-02-0124731.088685518258
2025-03-0124686.152653281802
2025-04-0123379.072144359205
2025-05-0123765.522021592787
2025-06-0124057.16568179415
2025-07-0124281.25844386227
2025-08-0125602.730231082813
2025-09-0125186.67543849344
2025-10-0124809.506467264244
2025-11-0125679.79699486613
2025-12-0126045.2767237227
2026-01-0128107.0476145722
2026-02-0130074.83464714935
2026-03-0129839.875001468496
2026-04-0129234.8539138403
Annual Return Matrix
YearAnnual Return
20170.12019488196281536
2018-0.05994822502709429
20190.24409964154818975
2020-0.04297946729902313
20210.26100542501596213
20220.0665372337571759
20230.029390034175189594
20240.17982682528289784
20250.14783338036153904
20260.12246278755074425
Total Factor Risk
0.15257826303084576
VTI.US Exposure
-0.1947936885919824
VEA.US Exposure
0.04074206993652779
VWO.US Exposure
-0.006565629001081266
QQQ.US Exposure
0.058695363358936437
VTV.US Exposure
0.8039702219142894
IJR.US Exposure
0.04745547235491669
QUAL.US Exposure
-0.021410815346648432
SHV.US Exposure
0.17292890215312673
TLT.US Exposure
0.0005906886460174725
LQD.US Exposure
0.014008403624538457
HYG.US Exposure
-0.0066257296776116815
GLD.US Exposure
-0.010689769624997767
USO.US Exposure
0.00807511188832858
VNQ.US Exposure
0.044277588865649954
BTC-USD.CC Exposure
-0.0018614849201092655
CPER.US Exposure
0.02088174508559248
VIX.INDX Exposure
-0.017783864080968152
UUP.US Exposure
-0.0058953010442802725
TIP.US Exposure
-0.0060858498818208775
Idiosyncratic Exposure
0.060086564341576235
Value Score
44.8
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
41.9
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
15.3%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →13.0x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.49%
Market Cap$107.4B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$236
Avg Yield on Cost
2.36%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$235.552.36%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-1.0%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+10.5%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
2.9% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.57
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is First Trust Morningstar Dividend Leaders Index Fund a high-risk investment?

First Trust Morningstar Dividend Leaders Index Fund (FDL.US) has an annualized volatility of 15.3% and experienced a maximum drawdown of 30.5% over the last 10 years. Its primary macro risk driver is VTV.US.

What is the 10-year return of FDL.US?

Over the past 10 years, FDL.US has generated a Compound Annual Growth Rate (CAGR) of 11.3%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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