FV vs. VSMV
Compare and contrast key facts about First Trust Dorsey Wright Focus 5 ETF (FV) and VictoryShares US Multi-Factor Minimum Volatility ETF (VSMV).
FV and VSMV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FV is a passively managed fund by First Trust that tracks the performance of the Dorsey Wright Focus Five Index. It was launched on Mar 5, 2014. VSMV is a passively managed fund by Crestview that tracks the performance of the Nasdaq Victory Multi-Factor Minimum Volatility Index. It was launched on Jun 22, 2017. Both FV and VSMV 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: FV or VSMV.
Key characteristics
| FV | VSMV | |
|---|---|---|
| YTD Return | 18.93% | 20.03% |
| 1Y Return | 37.31% | 25.82% |
| 3Y Return (Ann) | 7.00% | 9.06% |
| 5Y Return (Ann) | 15.72% | 11.12% |
| Sharpe Ratio | 2.04 | 3.10 |
| Sortino Ratio | 2.72 | 4.31 |
| Omega Ratio | 1.36 | 1.59 |
| Calmar Ratio | 2.87 | 5.33 |
| Martin Ratio | 10.15 | 18.65 |
| Ulcer Index | 4.00% | 1.47% |
| Daily Std Dev | 19.79% | 8.77% |
| Max Drawdown | -34.04% | -31.33% |
| Current Drawdown | -0.18% | -0.23% |
Correlation
The correlation between FV and VSMV is 0.68, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
FV vs. VSMV - Performance Comparison
In the year-to-date period, FV achieves a 18.93% return, which is significantly lower than VSMV's 20.03% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FV vs. VSMV - Expense Ratio Comparison
FV has a 0.87% expense ratio, which is higher than VSMV's 0.35% expense ratio.
Risk-Adjusted Performance
FV vs. VSMV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Dorsey Wright Focus 5 ETF (FV) and VictoryShares US Multi-Factor Minimum Volatility ETF (VSMV). 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
FV vs. VSMV - Dividend Comparison
FV's dividend yield for the trailing twelve months is around 0.15%, less than VSMV's 1.35% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
FV First Trust Dorsey Wright Focus 5 ETF | 0.15% | 0.48% | 1.38% | 0.11% | 0.06% | 0.56% | 0.19% | 0.67% | 0.96% | 0.14% | 0.10% |
VSMV VictoryShares US Multi-Factor Minimum Volatility ETF | 1.35% | 1.77% | 1.99% | 1.36% | 2.01% | 2.00% | 2.42% | 1.14% | 0.00% | 0.00% | 0.00% |
Drawdowns
FV vs. VSMV - Drawdown Comparison
The maximum FV drawdown since its inception was -34.04%, which is greater than VSMV's maximum drawdown of -31.33%. Use the drawdown chart below to compare losses from any high point for FV and VSMV. For additional features, visit the drawdowns tool.
Volatility
FV vs. VSMV - Volatility Comparison
First Trust Dorsey Wright Focus 5 ETF (FV) has a higher volatility of 5.22% compared to VictoryShares US Multi-Factor Minimum Volatility ETF (VSMV) at 3.14%. This indicates that FV's price experiences larger fluctuations and is considered to be riskier than VSMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.