DVLU vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about First Trust Dorsey Wright Momentum & Value ETF (DVLU) and S&P 500 Index (^GSPC).

DVLU is a passively managed fund by First Trust that tracks the performance of the Dorsey Wright Momentum Plus Value Index. It was launched on Sep 5, 2018.

Performance

DVLU vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Dorsey Wright Momentum & Value ETF (DVLU) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

DVLU vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
DVLU First Trust Dorsey Wright Momentum & Value ETF	-2.52%	23.67%	13.36%	18.84%	-9.73%	41.67%	-6.68%	33.59%	-24.03%
^GSPC S&P 500 Index	-3.95%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-12.70%

Returns By Period

In the year-to-date period, DVLU achieves a -2.52% return, which is significantly higher than ^GSPC's -3.95% return.

DVLU

• 1D: 1.77%
• 1M: -3.91%
• YTD: -2.52%
• 6M: 3.40%
• 1Y: 23.57%
• 3Y*: 17.37%
• 5Y*: 10.53%
• 10Y*: —

^GSPC

• 1D: 0.72%
• 1M: -4.45%
• YTD: -3.95%
• 6M: -2.02%
• 1Y: 16.73%
• 3Y*: 16.96%
• 5Y*: 10.34%
• 10Y*: 12.24%

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

Return for Risk

DVLU vs. ^GSPC — Risk / Return Rank

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

DVLU

DVLU Risk / Return Rank: 56
DVLU Sharpe Ratio Rank: 57
DVLU Sortino Ratio Rank: 56
DVLU Omega Ratio Rank: 57
DVLU Calmar Ratio Rank: 56
DVLU Martin Ratio Rank: 53

^GSPC

^GSPC Risk / Return Rank: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

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.

DVLU vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Dorsey Wright Momentum & Value ETF (DVLU) and S&P 500 Index (^GSPC). 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.

	DVLU	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	1.06	0.92	+0.14
Sortino ratio Return per unit of downside risk	1.53	1.41	+0.11
Omega ratio Gain probability vs. loss probability	1.22	1.21	+0.01
Calmar ratio Return relative to maximum drawdown	1.58	1.41	+0.16
Martin ratio Return relative to average drawdown	5.60	6.61	-1.01
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DVLU vs. ^GSPC - Sharpe Ratio Comparison

The current DVLU Sharpe Ratio is 1.06, which is comparable to the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of DVLU and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	DVLU	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.06	0.92	+0.14
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.49	0.61	-0.13
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.68	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.36	0.46	-0.10

Correlation

The correlation between DVLU and ^GSPC is 0.72, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

DVLU vs. ^GSPC - Drawdown Comparison

The maximum DVLU drawdown since its inception was -53.26%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for DVLU and ^GSPC.

Drawdown Indicators

	DVLU	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-53.26%	-56.78%	+3.52%
Max Drawdown (1Y) Largest decline over 1 year	-14.82%	-12.14%	-2.68%
Max Drawdown (5Y) Largest decline over 5 years	-24.86%	-25.43%	+0.57%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.92%	—
Current Drawdown Current decline from peak	-7.72%	-5.78%	-1.94%
Average Drawdown Average peak-to-trough decline	-8.93%	-10.75%	+1.82%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.17%	2.60%	+1.57%

Volatility

DVLU vs. ^GSPC - Volatility Comparison

First Trust Dorsey Wright Momentum & Value ETF (DVLU) has a higher volatility of 6.40% compared to S&P 500 Index (^GSPC) at 5.37%. This indicates that DVLU's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DVLU	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.40%	5.37%	+1.03%
Volatility (6M) Calculated over the trailing 6-month period	13.47%	9.55%	+3.92%
Volatility (1Y) Calculated over the trailing 1-year period	22.34%	18.33%	+4.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.68%	16.90%	+4.78%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	26.00%	18.05%	+7.95%