DVOL vs. XMVM

Last updated Aug 2, 2026

DVOL (First Trust Dorsey Wright Momentum & Low Volatility ETF) and XMVM (Invesco S&P MidCap Value with Momentum ETF) are both Momentum funds - DVOL tracks the Dorsey Wright Momentum Plus Low Volatility Index while XMVM tracks the S&P MidCap 400 High Momentum Value Index. Both are passively managed. Over the past 5 years, DVOL returned 6.77%/yr vs 12.42%/yr for XMVM. Their 0.59 correlation means they have sometimes moved together and sometimes differently. DVOL charges 0.60%/yr vs 0.39%/yr for XMVM.

Performance

DVOL vs. XMVM - 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 Invesco S&P MidCap Value with Momentum ETF (XMVM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DVOL achieves a 8.15% return, which is significantly lower than XMVM's 17.44% return.

DVOL

• 1D: 0.16%
• 1M: 2.33%
• 6M: 5.83%
• YTD: 8.15%
• 1Y: 10.88%
• 3Y*: 13.90%
• 5Y*: 6.77%
• 10Y*: —
• ALL TIME*: 9.44%

XMVM

• 1D: -0.53%
• 1M: 5.11%
• 6M: 13.72%
• YTD: 17.44%
• 1Y: 38.27%
• 3Y*: 17.47%
• 5Y*: 12.42%
• 10Y*: 12.44%
• ALL TIME*: 9.70%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF	$232.56K	$170.69K	$310.57K
XMVM Invesco S&P MidCap Value with Momentum ETF	$2.16M	$2.04M	$1.98M

DVOL vs. XMVM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF	8.15%	4.30%	24.84%	5.39%	-16.10%	30.08%	11.15%	26.10%	-10.21%
XMVM Invesco S&P MidCap Value with Momentum ETF	17.44%	18.46%	11.73%	16.31%	-8.21%	35.15%	5.68%	30.38%	-12.21%

Correlation

The correlation between DVOL and XMVM is 0.66, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.66
Correlation (3Y) Balances recent behavior with more history.	0.68
Correlation (5Y) Shows whether the relationship held over a longer period.	0.68
Correlation (All Time) Calculated using the full available price history since Sep 7, 2018	0.59

The correlation between DVOL and XMVM has been stable across timeframes, ranging from 0.59 to 0.68 - a consistent structural relationship.

DVOL vs. XMVM - Sectors Allocation Comparison

Sectors	DVOL	XMVM
Financial Services	19.1%	37.9%
Industrials	17.4%	11.7%
Energy	13.7%	13.5%
Real Estate	12.4%	4.9%
Consumer Cyclical	9.5%	14.8%
Consumer Defensive	8.0%	1.2%
Basic Materials	6.1%	0.8%
Technology	4.7%	5.1%
Healthcare	3.3%	2.5%
Utilities	3.0%	8.5%
Communication Services	3.0%	0.9%

Return for Risk

DVOL vs. XMVM — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

DVOL

DVOL Risk / Return Rank: 35
DVOL Sharpe Ratio Rank: 36
DVOL Sortino Ratio Rank: 37
DVOL Omega Ratio Rank: 34
DVOL Calmar Ratio Rank: 32
DVOL Martin Ratio Rank: 37

XMVM

XMVM Risk / Return Rank: 91
XMVM Sharpe Ratio Rank: 92
XMVM Sortino Ratio Rank: 93
XMVM Omega Ratio Rank: 91
XMVM Calmar Ratio Rank: 90
XMVM Martin Ratio Rank: 87

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

DVOL vs. XMVM - 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 Invesco S&P MidCap Value with Momentum ETF (XMVM). 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	XMVM	Difference
Sharpe ratio: Return per unit of total volatility	0.90	2.42	-1.52
Sortino ratio: Return per unit of downside risk	1.39	3.49	-2.10
Omega ratio: Gain probability vs. loss probability	1.16	1.43	-0.27
Calmar ratio: Return relative to maximum drawdown	1.09	3.91	-2.82
Martin ratio: Return relative to average drawdown	3.81	12.52	-8.71

DVOL vs. XMVM - Sharpe Ratio Comparison

The current DVOL Sharpe Ratio is 0.90, which is lower than the XMVM Sharpe Ratio of 2.42. The chart below compares the historical Sharpe Ratios of DVOL and XMVM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

DVOL vs. XMVM - Drawdown Comparison

The maximum DVOL drawdown since its inception was -38.26%, smaller than the maximum XMVM drawdown of -62.83%. Use the drawdown chart below to compare losses from any high point for DVOL and XMVM.

Drawdown Indicators

	DVOL	XMVM	Difference
Max Drawdown Largest peak-to-trough decline	-38.26%	-62.83%	+24.57%
Max Drawdown (1Y) Largest decline over 1 year	-9.82%	-9.18%	-0.64%
Max Drawdown (3Y) Largest decline over 3 years	-11.66%	-24.12%	+12.46%
Max Drawdown (5Y) Largest decline over 5 years	-24.65%	-24.12%	-0.53%
Max Drawdown (10Y) Largest decline over 10 years	—	-45.07%	—
Current Drawdown Current decline from peak	-1.02%	-0.71%	-0.31%
Average Drawdown Average peak-to-trough decline	-7.06%	-10.20%	+3.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.79%	2.86%	-0.07%

Volatility

DVOL vs. XMVM - Volatility Comparison

First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) and Invesco S&P MidCap Value with Momentum ETF (XMVM) have volatilities of 3.31% and 3.29%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DVOL	XMVM	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.31%	3.29%	+0.02%
Volatility (6M) Calculated over the trailing 6-month period	9.42%	9.25%	+0.17%
Volatility (1Y) Calculated over the trailing 1-year period	11.82%	14.85%	-3.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.36%	21.24%	-6.88%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.60%	22.74%	-5.14%

DVOL vs. XMVM - Expense Ratio Comparison

DVOL has a 0.60% expense ratio, which is higher than XMVM's 0.39% expense ratio.

Dividends

DVOL vs. XMVM - Dividend Comparison

DVOL's dividend yield for the trailing twelve months is around 0.75%, less than XMVM's 1.79% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF	0.75%	0.86%	0.67%	1.28%	1.37%	0.47%	0.60%	1.79%	0.39%	0.00%	0.00%	0.00%
XMVM Invesco S&P MidCap Value with Momentum ETF	1.79%	2.07%	1.43%	1.57%	1.76%	1.10%	1.37%	1.73%	2.87%	2.22%	2.27%	2.58%

Frequently Asked Questions

Can I hold both DVOL and XMVM in my portfolio?

DVOL and XMVM have a correlation of 0.66, 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 XMVM?

DVOL has higher volatility (3.31%) compared to XMVM (3.29%). In terms of maximum drawdown, DVOL dropped -38.26% vs XMVM's -62.83%.

Which ETF is better, DVOL or XMVM?

On 5-year performance, XMVM leads with 12.42% vs 6.77% for DVOL. On fees, XMVM is cheaper at 0.39% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DVOL or XMVM?

Over the 5-year period, XMVM has performed better with a 12.42% return vs 6.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DVOL or XMVM?

XMVM is cheaper with a 0.39% expense ratio, compared with 0.60% for DVOL.

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

XMVM has the higher dividend yield at 1.79%, compared with 0.75% for DVOL.

What is the main difference between DVOL and XMVM?

DVOL tracks Dorsey Wright Momentum Plus Low Volatility Index, while XMVM tracks S&P MidCap 400 High Momentum Value Index. They also come from different issuers: First Trust and Invesco. Their fees differ too: 0.60% for DVOL and 0.39% for XMVM.

Which has better risk-adjusted returns?

XMVM currently has the higher Sharpe Ratio (2.42 vs 0.90), 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.