DVOL vs. FTGC
DVOL (First Trust Dorsey Wright Momentum & Low Volatility ETF) and FTGC (First Trust Global Tactical Commodity Strategy Fund) are both exchange-traded funds - DVOL is a Momentum fund tracking the Dorsey Wright Momentum Plus Low Volatility Index, while FTGC is a Commodities fund actively managed by First Trust. DVOL is passively managed, while FTGC is actively managed. Over the past 5 years, DVOL returned 7.45%/yr vs 12.29%/yr for FTGC. At a 0.17 correlation, their price movements are largely independent. DVOL charges 0.60%/yr vs 0.95%/yr for FTGC.
Performance
DVOL vs. FTGC - 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 FTGC's 18.86% return.
DVOL
- 1D
- 0.71%
- 1M
- 0.26%
- YTD
- 4.76%
- 6M
- 3.40%
- 1Y
- 5.26%
- 3Y*
- 13.38%
- 5Y*
- 7.45%
- 10Y*
- —
FTGC
- 1D
- -1.14%
- 1M
- -7.37%
- YTD
- 18.86%
- 6M
- 17.54%
- 1Y
- 28.18%
- 3Y*
- 14.26%
- 5Y*
- 12.29%
- 10Y*
- 7.15%
DVOL vs. FTGC - 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% |
FTGC First Trust Global Tactical Commodity Strategy Fund | 18.86% | 14.61% | 9.96% | -5.36% | 17.36% | 27.95% | 2.17% | 6.40% | -6.56% |
Correlation
The correlation between DVOL and FTGC is -0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.06 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since Sep 7, 2018 | 0.17 |
The correlation between DVOL and FTGC shifts across timeframes, from -0.06 (1 year) to 0.17 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
DVOL vs. FTGC — Risk / Return Rank
DVOL
FTGC
DVOL vs. FTGC - 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 Global Tactical Commodity Strategy Fund (FTGC). 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 | FTGC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.37 | ||
| Sortino ratioReturn per unit of downside risk | -1.73 | ||
| Omega ratioGain probability vs. loss probability | 1.08 | 1.32 | -0.24 |
| Calmar ratioReturn relative to maximum drawdown | 0.54 | 2.60 | -2.07 |
| Martin ratioReturn relative to average drawdown | 1.87 | 9.67 | -7.80 |
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Drawdowns
DVOL vs. FTGC - Drawdown Comparison
The maximum DVOL drawdown since its inception was -38.26%, smaller than the maximum FTGC drawdown of -59.47%. Use the drawdown chart below to compare losses from any high point for DVOL and FTGC.
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Drawdown Indicators
| DVOL | FTGC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.26% | -59.47% | +21.21% |
Max Drawdown (1Y)Largest decline over 1 year | -9.82% | -10.87% | +1.05% |
Max Drawdown (3Y)Largest decline over 3 years | -11.66% | -10.87% | -0.79% |
Max Drawdown (5Y)Largest decline over 5 years | -24.65% | -22.64% | -2.01% |
Max Drawdown (10Y)Largest decline over 10 years | — | -35.91% | — |
Current DrawdownCurrent decline from peak | -1.90% | -10.87% | +8.97% |
Average DrawdownAverage peak-to-trough decline | -7.14% | -27.34% | +20.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.82% | 2.94% | -0.12% |
Volatility
DVOL vs. FTGC - Volatility Comparison
First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) has a higher volatility of 3.36% compared to First Trust Global Tactical Commodity Strategy Fund (FTGC) at 3.07%. This indicates that DVOL's price experiences larger fluctuations and is considered to be riskier than FTGC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DVOL | FTGC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.36% | 3.07% | +0.29% |
Volatility (6M)Calculated over the trailing 6-month period | 9.50% | 13.21% | -3.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.87% | 15.70% | -3.83% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.40% | 15.87% | -1.47% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.68% | 14.71% | +2.97% |
DVOL vs. FTGC - Expense Ratio Comparison
DVOL has a 0.60% expense ratio, which is lower than FTGC's 0.95% expense ratio.
Dividends
DVOL vs. FTGC - Dividend Comparison
DVOL's dividend yield for the trailing twelve months is around 0.66%, less than FTGC's 16.13% 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% |
FTGC First Trust Global Tactical Commodity Strategy Fund | 16.13% | 17.74% | 3.05% | 3.34% | 10.35% | 7.21% | 0.00% | 0.81% | 0.80% | 1.21% |
Frequently Asked Questions
DVOL and FTGC have a correlation of -0.06, 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 FTGC (3.07%). In terms of maximum drawdown, DVOL dropped -38.26% vs FTGC's -59.47%.
On 5-year performance, FTGC leads with 12.29% vs 7.45% for DVOL. On fees, DVOL is cheaper at 0.60% per year. On volatility, FTGC has been the lower-risk option at 3.07%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, FTGC has performed better with a 12.29% 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 FTGC.
FTGC has the higher dividend yield at 16.13%, compared with 0.66% for DVOL.
DVOL is categorized as Momentum, while FTGC is Commodities. Their fees differ too: 0.60% for DVOL and 0.95% for FTGC.
FTGC currently has the higher Sharpe Ratio (1.82 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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