DVOL vs. FAAR
DVOL (First Trust Dorsey Wright Momentum & Low Volatility ETF) and FAAR (First Trust Alternative Absolute Return Strategy ETF) are both exchange-traded funds - DVOL is a Momentum fund tracking the Dorsey Wright Momentum Plus Low Volatility Index, while FAAR is a Commodities fund actively managed by First Trust. DVOL is passively managed, while FAAR is actively managed. Over the past 5 years, DVOL returned 7.45%/yr vs 7.72%/yr for FAAR. At a 0.03 correlation, their price movements are largely independent. DVOL charges 0.60%/yr vs 0.95%/yr for FAAR.
Performance
DVOL vs. FAAR - Performance Comparison
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Returns By Period
In the year-to-date period, DVOL achieves a 4.76% return, which is significantly lower than FAAR's 19.14% return.
DVOL
- 1D
- 0.71%
- 1M
- 0.26%
- YTD
- 4.76%
- 6M
- 3.40%
- 1Y
- 5.26%
- 3Y*
- 13.38%
- 5Y*
- 7.45%
- 10Y*
- —
FAAR
- 1D
- -0.91%
- 1M
- -5.21%
- YTD
- 19.14%
- 6M
- 18.06%
- 1Y
- 28.33%
- 3Y*
- 10.57%
- 5Y*
- 7.72%
- 10Y*
- 4.69%
DVOL vs. FAAR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF | 4.76% | 4.30% | 24.84% | 5.39% | -16.10% | 30.08% | 11.15% | 26.10% | -10.21% |
FAAR First Trust Alternative Absolute Return Strategy ETF | 19.14% | 8.07% | 5.97% | -5.63% | 10.15% | 12.34% | 8.60% | -1.28% | -6.82% |
Correlation
The correlation between DVOL and FAAR is -0.12, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.01 |
Correlation (All Time) Calculated using the full available price history since Sep 7, 2018 | 0.03 |
The correlation between DVOL and FAAR shifts across timeframes, from -0.12 (1 year) to 0.03 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
DVOL vs. FAAR — Risk / Return Rank
DVOL
FAAR
DVOL vs. FAAR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) and First Trust Alternative Absolute Return Strategy ETF (FAAR). 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.
| DVOL | FAAR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.71 | ||
| Sortino ratioReturn per unit of downside risk | -2.36 | ||
| Omega ratioGain probability vs. loss probability | 1.08 | 1.37 | -0.28 |
| Calmar ratioReturn relative to maximum drawdown | 0.54 | 4.52 | -3.99 |
| Martin ratioReturn relative to average drawdown | 1.87 | 15.18 | -13.31 |
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Drawdowns
DVOL vs. FAAR - Drawdown Comparison
The maximum DVOL drawdown since its inception was -38.26%, which is greater than FAAR's maximum drawdown of -18.03%. Use the drawdown chart below to compare losses from any high point for DVOL and FAAR.
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Drawdown Indicators
| DVOL | FAAR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.26% | -18.03% | -20.23% |
Max Drawdown (1Y)Largest decline over 1 year | -9.82% | -6.29% | -3.53% |
Max Drawdown (3Y)Largest decline over 3 years | -11.66% | -11.54% | -0.12% |
Max Drawdown (5Y)Largest decline over 5 years | -24.65% | -18.03% | -6.62% |
Max Drawdown (10Y)Largest decline over 10 years | — | -18.03% | — |
Current DrawdownCurrent decline from peak | -1.90% | -6.29% | +4.39% |
Average DrawdownAverage peak-to-trough decline | -7.14% | -7.82% | +0.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.82% | 1.87% | +0.95% |
Volatility
DVOL vs. FAAR - Volatility Comparison
First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) has a higher volatility of 3.36% compared to First Trust Alternative Absolute Return Strategy ETF (FAAR) at 2.55%. This indicates that DVOL's price experiences larger fluctuations and is considered to be riskier than FAAR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DVOL | FAAR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.36% | 2.55% | +0.81% |
Volatility (6M)Calculated over the trailing 6-month period | 9.50% | 9.68% | -0.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.87% | 13.38% | -1.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.40% | 12.96% | +1.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.68% | 11.54% | +6.14% |
DVOL vs. FAAR - Expense Ratio Comparison
DVOL has a 0.60% expense ratio, which is lower than FAAR's 0.95% expense ratio.
Dividends
DVOL vs. FAAR - Dividend Comparison
DVOL's dividend yield for the trailing twelve months is around 0.66%, less than FAAR's 9.66% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF | 0.66% | 0.86% | 0.67% | 1.28% | 1.37% | 0.47% | 0.60% | 1.79% | 0.39% | 0.00% |
FAAR First Trust Alternative Absolute Return Strategy ETF | 9.66% | 11.63% | 3.45% | 3.20% | 5.82% | 6.49% | 3.05% | 1.02% | 0.58% | 2.83% |
Frequently Asked Questions
DVOL and FAAR have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DVOL has higher volatility (3.36%) compared to FAAR (2.55%). In terms of maximum drawdown, DVOL dropped -38.26% vs FAAR's -18.03%.
On 5-year performance, FAAR leads with 7.72% vs 7.45% for DVOL. On fees, DVOL is cheaper at 0.60% per year. On volatility, FAAR has been the lower-risk option at 2.55%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, FAAR has performed better with a 7.72% return vs 7.45%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DVOL is cheaper with a 0.60% expense ratio, compared with 0.95% for FAAR.
FAAR has the higher dividend yield at 9.66%, compared with 0.66% for DVOL.
DVOL is categorized as Momentum, while FAAR is Commodities. Their fees differ too: 0.60% for DVOL and 0.95% for FAAR.
FAAR currently has the higher Sharpe Ratio (2.15 vs 0.45), 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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