DVOL vs. MTUM
Compare and contrast key facts about First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) and iShares MSCI USA Momentum Factor ETF (MTUM).
DVOL and MTUM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DVOL is a passively managed fund by First Trust that tracks the performance of the Dorsey Wright Momentum Plus Low Volatility Index. It was launched on Sep 5, 2018. MTUM is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum SR Variant Index. It was launched on Apr 16, 2013. Both DVOL and MTUM are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
DVOL vs. MTUM - Performance Comparison
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DVOL vs. MTUM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF | -0.15% | 4.30% | 24.84% | 5.39% | -16.10% | 30.08% | 11.15% | 26.10% | -9.89% |
MTUM iShares MSCI USA Momentum Factor ETF | -1.94% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -13.27% |
Returns By Period
In the year-to-date period, DVOL achieves a -0.15% return, which is significantly higher than MTUM's -1.94% return.
DVOL
- 1D
- 1.10%
- 1M
- -5.19%
- YTD
- -0.15%
- 6M
- -0.35%
- 1Y
- -1.31%
- 3Y*
- 11.97%
- 5Y*
- 7.94%
- 10Y*
- —
MTUM
- 1D
- 2.19%
- 1M
- -3.25%
- YTD
- -1.94%
- 6M
- -3.82%
- 1Y
- 21.46%
- 3Y*
- 21.93%
- 5Y*
- 9.69%
- 10Y*
- 14.08%
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DVOL vs. MTUM - Expense Ratio Comparison
DVOL has a 0.60% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Return for Risk
DVOL vs. MTUM — Risk / Return Rank
DVOL
MTUM
DVOL vs. MTUM - 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 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.
| DVOL | MTUM | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.09 | 0.94 | -1.02 |
Sortino ratioReturn per unit of downside risk | -0.01 | 1.42 | -1.43 |
Omega ratioGain probability vs. loss probability | 1.00 | 1.20 | -0.21 |
Calmar ratioReturn relative to maximum drawdown | -0.09 | 1.82 | -1.91 |
Martin ratioReturn relative to average drawdown | -0.27 | 6.83 | -7.11 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DVOL | MTUM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.09 | 0.94 | -1.02 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.55 | 0.48 | +0.08 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.68 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.50 | 0.73 | -0.23 |
Correlation
The correlation between DVOL and MTUM is 0.71, 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.
Dividends
DVOL vs. MTUM - Dividend Comparison
DVOL's dividend yield for the trailing twelve months is around 0.70%, less than MTUM's 0.80% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF | 0.70% | 0.86% | 0.67% | 1.28% | 1.37% | 0.47% | 0.60% | 1.79% | 0.39% | 0.00% | 0.00% | 0.00% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.80% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
Drawdowns
DVOL vs. MTUM - Drawdown Comparison
The maximum DVOL drawdown since its inception was -38.26%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for DVOL and MTUM.
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Drawdown Indicators
| DVOL | MTUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.26% | -34.08% | -4.18% |
Max Drawdown (1Y)Largest decline over 1 year | -10.85% | -12.26% | +1.41% |
Max Drawdown (5Y)Largest decline over 5 years | -24.65% | -32.28% | +7.63% |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.08% | — |
Current DrawdownCurrent decline from peak | -6.50% | -6.00% | -0.50% |
Average DrawdownAverage peak-to-trough decline | -7.27% | -6.28% | -0.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.55% | 3.26% | +0.29% |
Volatility
DVOL vs. MTUM - Volatility Comparison
The current volatility for First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) is 4.83%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 8.49%. This indicates that DVOL 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
| DVOL | MTUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.83% | 8.49% | -3.66% |
Volatility (6M)Calculated over the trailing 6-month period | 8.87% | 14.74% | -5.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.45% | 23.02% | -7.57% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.38% | 20.39% | -6.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.81% | 20.83% | -3.02% |