First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) Sharpe Ratio: 0.49

DVOL's Sharpe Ratio of 0.49 indicates that for each unit of volatility, it generates 0.49 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 23, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

DVOL Sharpe Ratio Rank

Concerning

DVOL ranks above 15.7% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating weak returns relative to total risk taken. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

Strong returns with low total volatility → Higher rank
High volatility (both upside and downside) → Lower rank
Consistent returns → Higher rank than volatile returns of same magnitude
Sharp drawdowns increase volatility → Lower rank

What you can do with this information

Weak risk-adjusted returns relative to category peers
Evaluate whether this holding aligns with your risk-return objectives
Consider reducing exposure or re-evaluating position size
Review higher-ranked alternatives in the same category

DVOL Sharpe Ratio Market Positioning

The chart shows DVOL's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

Red zone (bottom 25%): 0.86 or lower
Yellow zone (middle 50%): 0.86 to 2.31
Green zone (top 25%): 2.31 or higher
Top 1%: 7.33+
Median: 1.67 — half of all investments score higher

How it compares to other similar ETFs

The table compares First Trust Dorsey Wright Momentum & Low Volatility ETF's Sharpe Ratio with other ETFs in the Momentum, Volatility Hedged Equity category across multiple time periods, showing how DVOL's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 23, 2026.

Symbol	Name	1Y Sharpe Ratio
QQQA	ProShares Nasdaq-100 Dorsey Wright Momentum ETF	3.45
LVHI	Franklin International Low Volatility High Dividend Index ETF	3.34
PIE	Invesco DWA Emerging Markets Momentum ETF	3.19
FLLV	Franklin Liberty U.S. Low Volatility ETF	2.90
FMTM	MarketDesk Focused U.S. Momentum ETF	2.86
PTF	Invesco Dorsey Wright Technology Momentum ETF	2.77
ULVM	VictoryShares US Value Momentum ETF	2.76
SPMO	Invesco S&P 500 Momentum ETF	2.65
VSMV	VictoryShares US Multi-Factor Minimum Volatility ETF	2.64
SPVM	Invesco S&P 500 Value with Momentum ETF	2.56
DVOL	First Trust Dorsey Wright Momentum & Low Volatility ETF	0.49

Benchmark Against

Benchmark

S&P 500 Index

Lookback Period

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Historical Sharpe Ratio

The chart shows DVOL's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when DVOL consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

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