DVOL vs. MTUM
Compare and contrast key facts about First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) and iShares Edge 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 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DVOL or MTUM.
Key characteristics
| DVOL | MTUM | |
|---|---|---|
| YTD Return | 10.45% | 17.78% |
| 1Y Return | 17.63% | 33.46% |
| 3Y Return (Ann) | 5.28% | 5.24% |
| 5Y Return (Ann) | 8.88% | 11.59% |
| Sharpe Ratio | 1.87 | 2.12 |
| Daily Std Dev | 9.57% | 15.54% |
| Max Drawdown | -38.27% | -34.08% |
| Current Drawdown | -2.34% | -2.34% |
Correlation
The correlation between DVOL and MTUM is 0.74, 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.
Performance
DVOL vs. MTUM - Performance Comparison
In the year-to-date period, DVOL achieves a 10.45% return, which is significantly lower than MTUM's 17.78% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
DVOL vs. MTUM - Expense Ratio Comparison
DVOL has a 0.60% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Risk-Adjusted Performance
DVOL vs. MTUM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) and iShares Edge 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.
Dividends
DVOL vs. MTUM - Dividend Comparison
DVOL's dividend yield for the trailing twelve months is around 1.01%, more than MTUM's 0.80% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF | 1.01% | 1.28% | 1.37% | 0.47% | 0.60% | 1.79% | 0.39% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.80% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
Drawdowns
DVOL vs. MTUM - Drawdown Comparison
The maximum DVOL drawdown since its inception was -38.27%, 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. For additional features, visit the drawdowns tool.
Volatility
DVOL vs. MTUM - Volatility Comparison
The current volatility for First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) is 2.51%, while iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a volatility of 5.68%. 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.