FDMO vs. DVOL

Last updated Jun 4, 2026

FDMO (Fidelity Momentum Factor ETF) and DVOL (First Trust Dorsey Wright Momentum & Low Volatility ETF) are both Momentum funds - FDMO tracks the Fidelity U.S. Momentum Factor Index while DVOL tracks the Dorsey Wright Momentum Plus Low Volatility Index. Both are passively managed. Over the past 5 years, FDMO returned 16.35%/yr vs 6.82%/yr for DVOL. A 0.70 correlation means they provide meaningful diversification when combined. FDMO charges 0.29%/yr vs 0.60%/yr for DVOL.

Performance

FDMO vs. DVOL - Performance Comparison

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

Returns By Period

In the year-to-date period, FDMO achieves a 15.24% return, which is significantly higher than DVOL's 1.61% return.

FDMO

• 1D: -0.32%
• 1M: 7.12%
• YTD: 15.24%
• 6M: 14.87%
• 1Y: 32.96%
• 3Y*: 28.59%
• 5Y*: 16.35%
• 10Y*: —

DVOL

• 1D: 0.41%
• 1M: -3.19%
• YTD: 1.61%
• 6M: 2.02%
• 1Y: 0.82%
• 3Y*: 12.78%
• 5Y*: 6.82%
• 10Y*: —

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

FDMO vs. DVOL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
FDMO Fidelity Momentum Factor ETF	15.24%	21.43%	32.78%	24.79%	-19.32%	22.23%	21.71%	25.29%	-14.29%
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF	1.61%	4.30%	24.84%	5.39%	-16.10%	30.08%	11.15%	26.10%	-9.89%

Correlation

The correlation between FDMO and DVOL is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.48
Correlation (3Y) Calculated over the trailing 3-year period	0.58
Correlation (5Y) Calculated over the trailing 5-year period	0.69
Correlation (All Time) Calculated using the full available price history since Sep 10, 2018	0.70

Over the past year, the correlation between FDMO and DVOL has dropped to 0.48 - well below their long-term average of 0.70, suggesting their price drivers have been diverging.

FDMO vs. DVOL - Sectors Allocation Comparison

Sectors	FDMO	DVOL
Technology	35.7%	4.7%
Financial Services	11.7%	18.8%
Consumer Cyclical	10.1%	9.4%
Industrials	10.1%	16.6%
Communication Services	9.8%	3.6%
Healthcare	8.8%	3.7%
Consumer Defensive	4.0%	8.2%
Energy	3.5%	14.0%
Utilities	2.3%	3.0%
Real Estate	2.0%	12.1%
Basic Materials	2.0%	6.0%

Return for Risk

FDMO vs. DVOL — Risk / Return Rank

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

FDMO

FDMO Risk / Return Rank: 57
FDMO Sharpe Ratio Rank: 58
FDMO Sortino Ratio Rank: 56
FDMO Omega Ratio Rank: 56
FDMO Calmar Ratio Rank: 54
FDMO Martin Ratio Rank: 60

DVOL

DVOL Risk / Return Rank: 9
DVOL Sharpe Ratio Rank: 9
DVOL Sortino Ratio Rank: 9
DVOL Omega Ratio Rank: 9
DVOL Calmar Ratio Rank: 10
DVOL Martin Ratio Rank: 10

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.

FDMO vs. DVOL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Momentum Factor ETF (FDMO) and First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL). 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.

	FDMO	DVOL	Difference
Sharpe ratio: Return per unit of total volatility	2.01	0.07	+1.94
Sortino ratio: Return per unit of downside risk	2.74	0.19	+2.55
Omega ratio: Gain probability vs. loss probability	1.35	1.02	+0.33
Calmar ratio: Return relative to maximum drawdown	2.71	0.08	+2.63
Martin ratio: Return relative to average drawdown	10.79	0.30	+10.50
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FDMO vs. DVOL - Sharpe Ratio Comparison

The current FDMO Sharpe Ratio is 2.01, which is higher than the DVOL Sharpe Ratio of 0.07. The chart below compares the historical Sharpe Ratios of FDMO and DVOL, 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

	FDMO	DVOL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.01	0.07	+1.94
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.87	0.48	+0.39
Sharpe Ratio (All Time) Calculated using the full available price history	0.82	0.50	+0.32

Drawdowns

FDMO vs. DVOL - Drawdown Comparison

The maximum FDMO drawdown since its inception was -33.94%, smaller than the maximum DVOL drawdown of -38.26%. Use the drawdown chart below to compare losses from any high point for FDMO and DVOL.

Drawdown Indicators

	FDMO	DVOL	Difference
Max Drawdown Largest peak-to-trough decline	-33.94%	-38.26%	+4.32%
Max Drawdown (1Y) Largest decline over 1 year	-12.22%	-9.82%	-2.40%
Max Drawdown (3Y) Largest decline over 3 years	-21.88%	-11.66%	-10.22%
Max Drawdown (5Y) Largest decline over 5 years	-25.44%	-24.65%	-0.79%
Current Drawdown Current decline from peak	-0.32%	-4.85%	+4.53%
Average Drawdown Average peak-to-trough decline	-5.42%	-7.17%	+1.75%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.06%	2.87%	+0.19%

Volatility

FDMO vs. DVOL - Volatility Comparison

Fidelity Momentum Factor ETF (FDMO) has a higher volatility of 4.82% compared to First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) at 2.91%. This indicates that FDMO's price experiences larger fluctuations and is considered to be riskier than DVOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FDMO	DVOL	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.82%	2.91%	+1.91%
Volatility (6M) Calculated over the trailing 6-month period	13.11%	9.35%	+3.76%
Volatility (1Y) Calculated over the trailing 1-year period	16.50%	11.79%	+4.71%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.00%	14.40%	+4.60%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.51%	17.72%	+1.79%

FDMO vs. DVOL - Expense Ratio Comparison

FDMO has a 0.29% expense ratio, which is lower than DVOL's 0.60% expense ratio.

Dividends

FDMO vs. DVOL - Dividend Comparison

FDMO's dividend yield for the trailing twelve months is around 0.56%, less than DVOL's 0.68% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF	0.68%	0.86%	0.67%	1.28%	1.37%	0.47%	0.60%	1.79%	0.39%	0.00%	0.00%
FDMO Fidelity Momentum Factor ETF	0.56%	0.61%	0.90%	0.87%	1.19%	0.60%	0.77%	1.23%	1.22%	1.09%	0.45%

Frequently Asked Questions

Can I hold both FDMO and DVOL in my portfolio?

FDMO and DVOL have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FDMO or DVOL?

FDMO has higher volatility (4.82%) compared to DVOL (2.91%). In terms of maximum drawdown, FDMO dropped -33.94% vs DVOL's -38.26%.

Which ETF is better, FDMO or DVOL?

On 5-year performance, FDMO leads with 16.35% vs 6.82% for DVOL. On fees, FDMO is cheaper at 0.29% per year. On volatility, DVOL has been the lower-risk option at 2.91%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FDMO or DVOL?

Over the 5-year period, FDMO has performed better with a 16.35% return vs 6.82%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FDMO or DVOL?

FDMO is cheaper with a 0.29% expense ratio, compared with 0.60% for DVOL.

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

DVOL has the higher dividend yield at 0.68%, compared with 0.56% for FDMO.

What is the main difference between FDMO and DVOL?

FDMO tracks Fidelity U.S. Momentum Factor Index, while DVOL tracks Dorsey Wright Momentum Plus Low Volatility Index. They also come from different issuers: Fidelity and First Trust. Their fees differ too: 0.29% for FDMO and 0.60% for DVOL.

Which has better risk-adjusted returns?

FDMO currently has the higher Sharpe Ratio (2.01 vs 0.07), 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.