FAB vs. DVLU
FAB (First Trust Multi Cap Value AlphaDEX Fund) and DVLU (First Trust Dorsey Wright Momentum & Value ETF) are both exchange-traded funds - FAB is a Mid Cap Value Equities fund tracking the NASDAQ AlphaDEX Multi Cap Value Index, while DVLU is a Momentum fund tracking the Dorsey Wright Momentum Plus Value Index. Both are passively managed. Over the past 5 years, FAB returned 8.97%/yr vs 12.25%/yr for DVLU. Their correlation of 0.83 suggests significant overlap in exposure. FAB charges 0.64%/yr vs 0.60%/yr for DVLU.
Performance
FAB vs. DVLU - Performance Comparison
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Returns By Period
In the year-to-date period, FAB achieves a 12.76% return, which is significantly higher than DVLU's 10.79% return.
FAB
- 1D
- 0.70%
- 1M
- 1.98%
- YTD
- 12.76%
- 6M
- 12.00%
- 1Y
- 26.53%
- 3Y*
- 15.64%
- 5Y*
- 8.97%
- 10Y*
- 11.08%
DVLU
- 1D
- 0.30%
- 1M
- 4.14%
- YTD
- 10.79%
- 6M
- 8.85%
- 1Y
- 36.17%
- 3Y*
- 21.46%
- 5Y*
- 12.25%
- 10Y*
- —
FAB vs. DVLU - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
FAB First Trust Multi Cap Value AlphaDEX Fund | 12.76% | 9.86% | 7.82% | 15.81% | -6.79% | 30.83% | 2.40% | 23.73% | -16.97% |
DVLU First Trust Dorsey Wright Momentum & Value ETF | 10.79% | 23.67% | 13.36% | 18.84% | -9.73% | 41.67% | -6.68% | 33.59% | -24.03% |
Correlation
The correlation between FAB and DVLU is 0.73, 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 | 0.73 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.83 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.86 |
Correlation (All Time) Calculated using the full available price history since Sep 7, 2018 | 0.83 |
The correlation between FAB and DVLU shifts across timeframes, from 0.73 (1 year) to 0.86 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
FAB vs. DVLU — Risk / Return Rank
FAB
DVLU
FAB vs. DVLU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Multi Cap Value AlphaDEX Fund (FAB) and First Trust Dorsey Wright Momentum & Value ETF (DVLU). 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.
| FAB | DVLU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.29 | ||
| Sortino ratioReturn per unit of downside risk | -0.13 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.38 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 4.01 | 2.97 | +1.04 |
| Martin ratioReturn relative to average drawdown | 12.40 | 10.71 | +1.69 |
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Drawdowns
FAB vs. DVLU - Drawdown Comparison
The maximum FAB drawdown since its inception was -63.29%, which is greater than DVLU's maximum drawdown of -53.26%. Use the drawdown chart below to compare losses from any high point for FAB and DVLU.
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Drawdown Indicators
| FAB | DVLU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.29% | -53.26% | -10.03% |
Max Drawdown (1Y)Largest decline over 1 year | -6.65% | -12.24% | +5.59% |
Max Drawdown (3Y)Largest decline over 3 years | -22.91% | -24.86% | +1.95% |
Max Drawdown (5Y)Largest decline over 5 years | -22.91% | -24.86% | +1.95% |
Max Drawdown (10Y)Largest decline over 10 years | -47.08% | — | — |
Current DrawdownCurrent decline from peak | -1.38% | -0.65% | -0.73% |
Average DrawdownAverage peak-to-trough decline | -9.23% | -8.73% | -0.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.15% | 3.39% | -1.24% |
Volatility
FAB vs. DVLU - Volatility Comparison
The current volatility for First Trust Multi Cap Value AlphaDEX Fund (FAB) is 3.30%, while First Trust Dorsey Wright Momentum & Value ETF (DVLU) has a volatility of 3.70%. This indicates that FAB experiences smaller price fluctuations and is considered to be less risky than DVLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FAB | DVLU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.30% | 3.70% | -0.40% |
Volatility (6M)Calculated over the trailing 6-month period | 8.70% | 12.34% | -3.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.81% | 16.43% | -2.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.67% | 21.39% | -2.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.02% | 25.73% | -3.71% |
FAB vs. DVLU - Expense Ratio Comparison
FAB has a 0.64% expense ratio, which is higher than DVLU's 0.60% expense ratio.
Dividends
FAB vs. DVLU - Dividend Comparison
FAB's dividend yield for the trailing twelve months is around 1.56%, more than DVLU's 0.62% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DVLU First Trust Dorsey Wright Momentum & Value ETF | 0.62% | 0.73% | 1.06% | 1.34% | 2.18% | 1.33% | 1.34% | 1.71% | 0.58% | 0.00% | 0.00% | 0.00% |
FAB First Trust Multi Cap Value AlphaDEX Fund | 1.56% | 1.57% | 2.00% | 1.94% | 1.80% | 1.32% | 1.59% | 1.75% | 1.96% | 1.42% | 1.40% | 1.62% |
Frequently Asked Questions
FAB and DVLU have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DVLU has higher volatility (3.70%) compared to FAB (3.30%). In terms of maximum drawdown, FAB dropped -63.29% vs DVLU's -53.26%.
On 5-year performance, DVLU leads with 12.25% vs 8.97% for FAB. On fees, DVLU is cheaper at 0.60% per year. On volatility, FAB has been the lower-risk option at 3.30%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, DVLU has performed better with a 12.25% return vs 8.97%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DVLU is cheaper with a 0.60% expense ratio, compared with 0.64% for FAB.
FAB has the higher dividend yield at 1.56%, compared with 0.62% for DVLU.
FAB is categorized as Mid Cap Value Equities, while DVLU is Momentum. FAB tracks NASDAQ AlphaDEX Multi Cap Value Index, while DVLU tracks Dorsey Wright Momentum Plus Value Index. Their fees differ too: 0.64% for FAB and 0.60% for DVLU.
DVLU currently has the higher Sharpe Ratio (2.22 vs 1.93), 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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