DVOL vs. MTUM

Last updated Jun 3, 2026

DVOL (First Trust Dorsey Wright Momentum & Low Volatility ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both Momentum funds - DVOL tracks the Dorsey Wright Momentum Plus Low Volatility Index while MTUM tracks the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 5 years, DVOL returned 6.89%/yr vs 15.20%/yr for MTUM. A 0.69 correlation means they provide meaningful diversification when combined. DVOL charges 0.60%/yr vs 0.15%/yr for MTUM.

Performance

DVOL vs. MTUM - Performance Comparison

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

Returns By Period

In the year-to-date period, DVOL achieves a 1.20% return, which is significantly lower than MTUM's 30.37% return.

DVOL

• 1D: 0.45%
• 1M: -4.01%
• YTD: 1.20%
• 6M: 2.04%
• 1Y: 0.20%
• 3Y*: 12.63%
• 5Y*: 6.89%
• 10Y*: —

MTUM

• 1D: 2.87%
• 1M: 14.36%
• YTD: 30.37%
• 6M: 31.51%
• 1Y: 40.75%
• 3Y*: 34.28%
• 5Y*: 15.20%
• 10Y*: 17.19%

*Multi-year figures are annualized to reflect compound growth (CAGR)

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	1.20%	4.30%	24.84%	5.39%	-16.10%	30.08%	11.15%	26.10%	-9.89%
MTUM iShares MSCI USA Momentum Factor ETF	30.37%	22.15%	32.89%	9.15%	-18.27%	13.36%	29.86%	27.25%	-13.27%

Correlation

The correlation between DVOL and MTUM is 0.51, 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	0.51
Correlation (3Y) Calculated over the trailing 3-year period	0.59
Correlation (5Y) Calculated over the trailing 5-year period	0.68
Correlation (All Time) Calculated using the full available price history since Sep 10, 2018	0.69

The correlation between DVOL and MTUM shifts across timeframes, from 0.51 (1 year) to 0.69 (all time), reflecting how their relationship changes across market environments.

DVOL vs. MTUM - Sectors Allocation Comparison

Sectors	DVOL	MTUM
Financial Services	18.8%	10.4%
Industrials	16.6%	15.6%
Energy	14.0%	3.5%
Real Estate	12.1%	1.8%
Consumer Cyclical	9.4%	3.6%
Consumer Defensive	8.2%	3.3%
Basic Materials	6.0%	1.7%
Technology	4.7%	44.4%
Healthcare	3.7%	6.9%
Communication Services	3.6%	7.4%
Utilities	3.0%	1.6%

Return for Risk

DVOL vs. MTUM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DVOL

DVOL Risk / Return Rank: 9
DVOL Sharpe Ratio Rank: 9
DVOL Sortino Ratio Rank: 8
DVOL Omega Ratio Rank: 9
DVOL Calmar Ratio Rank: 9
DVOL Martin Ratio Rank: 9

MTUM

MTUM Risk / Return Rank: 67
MTUM Sharpe Ratio Rank: 64
MTUM Sortino Ratio Rank: 62
MTUM Omega Ratio Rank: 63
MTUM Calmar Ratio Rank: 72
MTUM Martin Ratio Rank: 75

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.

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 ratio Return per unit of total volatility	0.02	2.15	-2.14
Sortino ratio Return per unit of downside risk	0.11	2.92	-2.81
Omega ratio Gain probability vs. loss probability	1.01	1.39	-0.37
Calmar ratio Return relative to maximum drawdown	0.04	3.63	-3.59
Martin ratio Return relative to average drawdown	0.14	14.50	-14.37
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DVOL vs. MTUM - Sharpe Ratio Comparison

The current DVOL Sharpe Ratio is 0.02, which is lower than the MTUM Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of DVOL 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.

Sharpe Ratios by Period

	DVOL	MTUM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.02	2.15	-2.14
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.48	0.74	-0.26
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.82	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.50	0.84	-0.35

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.

Drawdown Indicators

	DVOL	MTUM	Difference
Max Drawdown Largest peak-to-trough decline	-38.26%	-34.08%	-4.18%
Max Drawdown (1Y) Largest decline over 1 year	-9.82%	-11.54%	+1.72%
Max Drawdown (3Y) Largest decline over 3 years	-11.66%	-20.99%	+9.33%
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 Drawdown Current decline from peak	-5.24%	0.00%	-5.24%
Average Drawdown Average peak-to-trough decline	-7.18%	-6.21%	-0.97%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.91%	2.89%	+0.02%

Volatility

DVOL vs. MTUM - Volatility Comparison

The current volatility for First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) is 2.87%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 7.73%. 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.

Volatility by Period

	DVOL	MTUM	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.87%	7.73%	-4.86%
Volatility (6M) Calculated over the trailing 6-month period	9.40%	16.49%	-7.09%
Volatility (1Y) Calculated over the trailing 1-year period	11.78%	19.03%	-7.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.40%	20.59%	-6.19%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.73%	21.04%	-3.31%

DVOL vs. MTUM - Expense Ratio Comparison

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

Dividends

DVOL vs. MTUM - Dividend Comparison

DVOL's dividend yield for the trailing twelve months is around 0.69%, more than MTUM's 0.60% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF	0.69%	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	0.60%	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

Can I hold both DVOL and MTUM in my portfolio?

DVOL and MTUM have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DVOL or MTUM?

MTUM has higher volatility (7.73%) compared to DVOL (2.87%). In terms of maximum drawdown, DVOL dropped -38.26% vs MTUM's -34.08%.

Which ETF is better, DVOL or MTUM?

On 5-year performance, MTUM leads with 15.20% vs 6.89% for DVOL. On fees, MTUM is cheaper at 0.15% per year. On volatility, DVOL has been the lower-risk option at 2.87%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DVOL or MTUM?

Over the 5-year period, MTUM has performed better with a 15.20% return vs 6.89%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DVOL or MTUM?

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

Which ETF pays a higher dividend yield, DVOL or MTUM?

DVOL has the higher dividend yield at 0.69%, compared with 0.60% for MTUM.

What is the main difference between DVOL and MTUM?

DVOL tracks Dorsey Wright Momentum Plus Low Volatility 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 DVOL and 0.15% for MTUM.

Which has better risk-adjusted returns?

MTUM currently has the higher Sharpe Ratio (2.15 vs 0.02), 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.