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DVLU vs. MTUM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

DVLU vs. MTUM

Last updated Jun 5, 2026

DVLU (First Trust Dorsey Wright Momentum & Value ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both Momentum funds - DVLU tracks the Dorsey Wright Momentum Plus Value Index while MTUM tracks the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 5 years, DVLU returned 11.21%/yr vs 14.96%/yr for MTUM. A 0.62 correlation means they provide meaningful diversification when combined. DVLU charges 0.60%/yr vs 0.15%/yr for MTUM.

Performance

DVLU vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Dorsey Wright Momentum & Value ETF (DVLU) and iShares MSCI USA Momentum Factor ETF (MTUM). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, DVLU achieves a 11.20% return, which is significantly lower than MTUM's 30.30% return.

DVLU

1D
0.81%
1M
3.61%
YTD
11.20%
6M
12.71%
1Y
38.31%
3Y*
22.71%
5Y*
11.21%
10Y*
—

MTUM

1D
-1.10%
1M
11.94%
YTD
30.30%
6M
29.99%
1Y
40.55%
3Y*
34.34%
5Y*
14.96%
10Y*
17.19%
*Multi-year figures are annualized to reflect compound growth (CAGR)

DVLU vs. MTUM - Yearly Performance Comparison

2026 (YTD)20252024202320222021202020192018
DVLU
First Trust Dorsey Wright Momentum & Value ETF		11.20%23.67%13.36%18.84%-9.73%41.67%-6.68%33.59%-24.03%
MTUM
iShares MSCI USA Momentum Factor ETF		30.30%22.15%32.89%9.15%-18.27%13.36%29.86%27.25%-13.27%

Correlation

The correlation between DVLU and MTUM is 0.65, 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

0.65

Correlation (3Y)
Calculated over the trailing 3-year period

0.65

Correlation (5Y)
Calculated over the trailing 5-year period

0.71

Correlation (All Time)
Calculated using the full available price history since Sep 10, 2018

0.62

The correlation between DVLU and MTUM has been stable across timeframes, ranging from 0.62 to 0.71 - a consistent structural relationship.

DVLU vs. MTUM - Sectors Allocation Comparison

Sectors
DVLU
MTUM

Financial Services

23.5%
10.4%

Energy

19.6%
3.5%

Healthcare

13.7%
6.9%

Industrials

11.8%
15.6%

Basic Materials

7.8%
1.7%

Consumer Defensive

5.9%
3.3%

Consumer Cyclical

3.9%
3.6%

Technology

3.9%
44.4%

Utilities

3.9%
1.6%

Communication Services

2.0%
7.4%

Real Estate

2.0%
1.8%

Financial Services

DVLU
23.5%
MTUM
10.4%

Energy

DVLU
19.6%
MTUM
3.5%

Healthcare

DVLU
13.7%
MTUM
6.9%

Industrials

DVLU
11.8%
MTUM
15.6%

Basic Materials

DVLU
7.8%
MTUM
1.7%

Consumer Defensive

DVLU
5.9%
MTUM
3.3%

Consumer Cyclical

DVLU
3.9%
MTUM
3.6%

Technology

DVLU
3.9%
MTUM
44.4%

Utilities

DVLU
3.9%
MTUM
1.6%

Communication Services

DVLU
2.0%
MTUM
7.4%

Real Estate

DVLU
2.0%
MTUM
1.8%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

First Trust Dorsey Wright Momentum & Value ETF

iShares MSCI USA Momentum Factor ETF

Often compared with DVLU:
DVLU vs. DDIVDVLU vs. SPYDVLU vs. CPAIDVLU vs. QQQDVLU vs. SPMODVLU vs. SPHQDVLU vs. VOE
Often compared with MTUM:
MTUM vs. SPMOMTUM vs. SPYMTUM vs. QQQMTUM vs. QUALMTUM vs. VFMOMTUM vs. VOOMTUM vs. QMOM

Return for Risk

DVLU vs. MTUM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
DVLU
DVLU Risk / Return Rank: 6969
Overall Rank
DVLU Sharpe Ratio Rank: 7474
Sharpe Ratio Rank
DVLU Sortino Ratio Rank: 7272
Sortino Ratio Rank
DVLU Omega Ratio Rank: 7070
Omega Ratio Rank
DVLU Calmar Ratio Rank: 6464
Calmar Ratio Rank
DVLU Martin Ratio Rank: 6464
Martin Ratio Rank
MTUM
MTUM Risk / Return Rank: 6868
Overall Rank
MTUM Sharpe Ratio Rank: 6565
Sharpe Ratio Rank
MTUM Sortino Ratio Rank: 6464
Sortino Ratio Rank
MTUM Omega Ratio Rank: 6464
Omega Ratio Rank
MTUM Calmar Ratio Rank: 7272
Calmar Ratio Rank
MTUM Martin Ratio Rank: 7575
Martin Ratio Rank
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. MTUM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Dorsey Wright Momentum & Value ETF (DVLU) and iShares MSCI USA Momentum Factor ETF (MTUM). 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.

DVLUMTUMDifference
Sharpe ratioReturn per unit of total volatility
2.35
2.14

+0.22

Sortino ratioReturn per unit of downside risk
3.22
2.90

+0.33

Omega ratioGain probability vs. loss probability

1.41

1.38

+0.03

Calmar ratioReturn relative to maximum drawdown

3.14

3.53

-0.38

Martin ratioReturn relative to average drawdown

11.35

14.10

-2.75

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. MTUM - Sharpe Ratio Comparison

The current DVLU Sharpe Ratio is 2.35, which is comparable to the MTUM Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of DVLU and MTUM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

DVLUMTUMDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.35

2.14

+0.22

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.52

0.73

-0.21

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.82

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.43

0.84

-0.41

Drawdowns

DVLU vs. MTUM - Drawdown Comparison

The maximum DVLU drawdown since its inception was -53.26%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for DVLU and MTUM.

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Drawdown Indicators

DVLUMTUMDifference

Max Drawdown

Largest peak-to-trough decline

-53.26%

-34.08%

-19.18%

Max Drawdown (1Y)

Largest decline over 1 year

-12.24%

-11.54%

-0.70%

Max Drawdown (3Y)

Largest decline over 3 years

-24.86%

-20.99%

-3.87%

Max Drawdown (5Y)

Largest decline over 5 years

-24.86%

-32.28%

+7.42%

Max Drawdown (10Y)

Largest decline over 10 years

—

-34.08%

—

Current Drawdown

Current decline from peak

0.00%

-1.10%

+1.10%

Average Drawdown

Average peak-to-trough decline

-8.78%

-6.21%

-2.57%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.39%

2.89%

+0.50%

Volatility

DVLU vs. MTUM - Volatility Comparison

The current volatility for First Trust Dorsey Wright Momentum & Value ETF (DVLU) is 3.56%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 7.67%. This indicates that DVLU experiences smaller price fluctuations and is considered to be less risky than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

DVLUMTUMDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.56%

7.67%

-4.11%

Volatility (6M)

Calculated over the trailing 6-month period

12.38%

16.51%

-4.13%

Volatility (1Y)

Calculated over the trailing 1-year period

16.40%

19.08%

-2.68%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.52%

20.60%

+0.92%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

25.80%

21.03%

+4.77%

DVLU vs. MTUM - Expense Ratio Comparison

DVLU has a 0.60% expense ratio, which is higher than MTUM's 0.15% expense ratio.

Dividends

DVLU vs. MTUM - Dividend Comparison

DVLU's dividend yield for the trailing twelve months is around 0.62%, more than MTUM's 0.60% yield.

PositionTTM20252024202320222021202020192018201720162015
DVLU
First Trust Dorsey Wright Momentum & Value ETF		0.62%0.73%1.06%1.34%2.18%1.33%1.34%1.71%0.58%0.00%0.00%0.00%
MTUM
iShares MSCI USA Momentum Factor ETF		0.60%0.91%0.75%1.35%1.80%0.55%0.83%1.48%1.27%1.02%1.43%1.12%

Frequently Asked Questions

DVLU and MTUM have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

MTUM has higher volatility (7.67%) compared to DVLU (3.56%). In terms of maximum drawdown, DVLU dropped -53.26% vs MTUM's -34.08%.

On 5-year performance, MTUM leads with 14.96% vs 11.21% for DVLU. On fees, MTUM is cheaper at 0.15% per year. On volatility, DVLU has been the lower-risk option at 3.56%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, MTUM has performed better with a 14.96% return vs 11.21%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

MTUM is cheaper with a 0.15% expense ratio, compared with 0.60% for DVLU.

DVLU has the higher dividend yield at 0.62%, compared with 0.60% for MTUM.

DVLU tracks Dorsey Wright Momentum Plus Value Index, while MTUM tracks MSCI USA Momentum SR Variant Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.60% for DVLU and 0.15% for MTUM.

DVLU currently has the higher Sharpe Ratio (2.35 vs 2.14), 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.

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