DVLU vs. SPY
DVLU (First Trust Dorsey Wright Momentum & Value ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - DVLU is a Momentum fund tracking the Dorsey Wright Momentum Plus Value Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 5 years, DVLU returned 12.44%/yr vs 13.51%/yr for SPY. A 0.71 correlation means they provide meaningful diversification when combined. DVLU charges 0.60%/yr vs 0.09%/yr for SPY.
Performance
DVLU vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, DVLU achieves a 10.45% return, which is significantly higher than SPY's 9.74% return.
DVLU
- 1D
- 1.15%
- 1M
- 3.83%
- YTD
- 10.45%
- 6M
- 8.12%
- 1Y
- 37.54%
- 3Y*
- 21.33%
- 5Y*
- 12.44%
- 10Y*
- —
SPY
- 1D
- -0.31%
- 1M
- 0.09%
- YTD
- 9.74%
- 6M
- 9.27%
- 1Y
- 26.65%
- 3Y*
- 21.27%
- 5Y*
- 13.51%
- 10Y*
- 15.70%
DVLU vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
DVLU First Trust Dorsey Wright Momentum & Value ETF | 10.45% | 23.67% | 13.36% | 18.84% | -9.73% | 41.67% | -6.68% | 33.59% | -24.03% |
SPY State Street SPDR S&P 500 ETF | 9.74% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -12.37% |
Correlation
The correlation between DVLU and SPY is 0.70, 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 | 0.70 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.72 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.74 |
Correlation (All Time) Calculated using the full available price history since Sep 7, 2018 | 0.71 |
The correlation between DVLU and SPY has been stable across timeframes, ranging from 0.70 to 0.74 - a consistent structural relationship.
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Return for Risk
DVLU vs. SPY — Risk / Return Rank
DVLU
SPY
DVLU vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Dorsey Wright Momentum & Value ETF (DVLU) and State Street SPDR S&P 500 ETF (SPY). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| DVLU | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.14 | ||
| Sortino ratioReturn per unit of downside risk | +0.24 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.39 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 3.08 | 3.01 | +0.07 |
| Martin ratioReturn relative to average drawdown | 11.11 | 13.54 | -2.42 |
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Drawdowns
DVLU vs. SPY - Drawdown Comparison
The maximum DVLU drawdown since its inception was -53.26%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DVLU and SPY.
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Drawdown Indicators
| DVLU | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.26% | -55.19% | +1.93% |
Max Drawdown (1Y)Largest decline over 1 year | -12.24% | -8.88% | -3.36% |
Max Drawdown (3Y)Largest decline over 3 years | -24.86% | -18.76% | -6.10% |
Max Drawdown (5Y)Largest decline over 5 years | -24.86% | -24.50% | -0.36% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.72% | — |
Current DrawdownCurrent decline from peak | -0.95% | -1.75% | +0.80% |
Average DrawdownAverage peak-to-trough decline | -8.73% | -9.04% | +0.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.39% | 1.97% | +1.42% |
Volatility
DVLU vs. SPY - Volatility Comparison
The current volatility for First Trust Dorsey Wright Momentum & Value ETF (DVLU) is 3.70%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.64%. This indicates that DVLU experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DVLU | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.70% | 4.64% | -0.94% |
Volatility (6M)Calculated over the trailing 6-month period | 12.34% | 9.75% | +2.59% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.46% | 12.43% | +4.03% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.39% | 17.14% | +4.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.74% | 17.99% | +7.75% |
DVLU vs. SPY - Expense Ratio Comparison
DVLU has a 0.60% expense ratio, which is higher than SPY's 0.09% expense ratio.
Dividends
DVLU vs. SPY - Dividend Comparison
DVLU's dividend yield for the trailing twelve months is around 0.62%, less than SPY's 1.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
SPY State Street SPDR S&P 500 ETF | 1.01% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Frequently Asked Questions
DVLU and SPY have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (4.64%) compared to DVLU (3.70%). In terms of maximum drawdown, DVLU dropped -53.26% vs SPY's -55.19%.
On 5-year performance, SPY leads with 13.51% vs 12.44% for DVLU. On fees, SPY is cheaper at 0.09% per year. On volatility, DVLU has been the lower-risk option at 3.70%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, SPY has performed better with a 13.51% return vs 12.44%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPY is cheaper with a 0.09% expense ratio, compared with 0.60% for DVLU.
SPY has the higher dividend yield at 1.01%, compared with 0.62% for DVLU.
DVLU is categorized as Momentum, while SPY is S&P 500. DVLU tracks Dorsey Wright Momentum Plus Value Index, while SPY tracks S&P 500 Index. They also come from different issuers: First Trust and State Street. Their fees differ too: 0.60% for DVLU and 0.09% for SPY.
DVLU currently has the higher Sharpe Ratio (2.30 vs 2.16), 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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