IMTM vs. DVOL

Last updated Jun 4, 2026

IMTM (iShares MSCI Intl Momentum Factor ETF) and DVOL (First Trust Dorsey Wright Momentum & Low Volatility ETF) are both Momentum funds - IMTM tracks the MSCI World ex USA Momentum while DVOL tracks the Dorsey Wright Momentum Plus Low Volatility Index. Both are passively managed. Over the past 5 years, IMTM returned 9.00%/yr vs 6.82%/yr for DVOL. A 0.63 correlation means they provide meaningful diversification when combined. IMTM charges 0.30%/yr vs 0.60%/yr for DVOL.

Performance

IMTM vs. DVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Intl Momentum Factor ETF (IMTM) 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, IMTM achieves a 11.05% return, which is significantly higher than DVOL's 1.61% return.

IMTM

• 1D: -0.39%
• 1M: 4.43%
• YTD: 11.05%
• 6M: 14.04%
• 1Y: 23.92%
• 3Y*: 21.55%
• 5Y*: 9.00%
• 10Y*: 10.29%

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)

IMTM vs. DVOL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
IMTM iShares MSCI Intl Momentum Factor ETF	11.05%	34.50%	12.17%	13.89%	-16.81%	3.50%	22.17%	24.52%	-11.14%
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 IMTM and DVOL is 0.55, 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	0.55
Correlation (3Y) Calculated over the trailing 3-year period	0.58
Correlation (5Y) Calculated over the trailing 5-year period	0.63
Correlation (All Time) Calculated using the full available price history since Sep 10, 2018	0.63

The correlation between IMTM and DVOL has been stable across timeframes, ranging from 0.55 to 0.63 - a consistent structural relationship.

IMTM vs. DVOL - Sectors Allocation Comparison

Sectors	IMTM	DVOL
Financial Services	29.6%	18.8%
Industrials	17.5%	16.6%
Technology	11.4%	4.7%
Energy	9.4%	14.0%
Basic Materials	9.3%	6.0%
Healthcare	9.0%	3.7%
Utilities	6.4%	3.0%
Consumer Defensive	2.4%	8.2%
Communication Services	1.9%	3.6%
Consumer Cyclical	1.8%	9.4%
Real Estate	1.2%	12.1%

Return for Risk

IMTM vs. DVOL — Risk / Return Rank

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

IMTM

IMTM Risk / Return Rank: 40
IMTM Sharpe Ratio Rank: 39
IMTM Sortino Ratio Rank: 39
IMTM Omega Ratio Rank: 39
IMTM Calmar Ratio Rank: 37
IMTM Martin Ratio Rank: 45

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.

IMTM vs. DVOL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Momentum Factor ETF (IMTM) 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.

	IMTM	DVOL	Difference
Sharpe ratio: Return per unit of total volatility	1.41	0.07	+1.34
Sortino ratio: Return per unit of downside risk	2.07	0.19	+1.88
Omega ratio: Gain probability vs. loss probability	1.26	1.02	+0.24
Calmar ratio: Return relative to maximum drawdown	1.87	0.08	+1.79
Martin ratio: Return relative to average drawdown	7.46	0.30	+7.17
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

IMTM vs. DVOL - Sharpe Ratio Comparison

The current IMTM Sharpe Ratio is 1.41, which is higher than the DVOL Sharpe Ratio of 0.07. The chart below compares the historical Sharpe Ratios of IMTM 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

	IMTM	DVOL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.41	0.07	+1.34
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.51	0.48	+0.04
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.58	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.50	0.50	0.00

Drawdowns

IMTM vs. DVOL - Drawdown Comparison

The maximum IMTM drawdown since its inception was -32.66%, smaller than the maximum DVOL drawdown of -38.26%. Use the drawdown chart below to compare losses from any high point for IMTM and DVOL.

Drawdown Indicators

	IMTM	DVOL	Difference
Max Drawdown Largest peak-to-trough decline	-32.66%	-38.26%	+5.60%
Max Drawdown (1Y) Largest decline over 1 year	-12.85%	-9.82%	-3.03%
Max Drawdown (3Y) Largest decline over 3 years	-12.85%	-11.66%	-1.19%
Max Drawdown (5Y) Largest decline over 5 years	-32.66%	-24.65%	-8.01%
Max Drawdown (10Y) Largest decline over 10 years	-32.66%	—	—
Current Drawdown Current decline from peak	-0.39%	-4.85%	+4.46%
Average Drawdown Average peak-to-trough decline	-7.45%	-7.17%	-0.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.21%	2.87%	+0.34%

Volatility

IMTM vs. DVOL - Volatility Comparison

iShares MSCI Intl Momentum Factor ETF (IMTM) has a higher volatility of 5.48% compared to First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) at 2.91%. This indicates that IMTM'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

	IMTM	DVOL	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.48%	2.91%	+2.57%
Volatility (6M) Calculated over the trailing 6-month period	14.98%	9.35%	+5.63%
Volatility (1Y) Calculated over the trailing 1-year period	17.04%	11.79%	+5.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.64%	14.40%	+3.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.64%	17.72%	-0.08%

IMTM vs. DVOL - Expense Ratio Comparison

IMTM has a 0.30% expense ratio, which is lower than DVOL's 0.60% expense ratio.

Dividends

IMTM vs. DVOL - Dividend Comparison

IMTM's dividend yield for the trailing twelve months is around 4.23%, more than DVOL's 0.68% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%	0.00%
IMTM iShares MSCI Intl Momentum Factor ETF	4.23%	4.70%	2.93%	2.29%	2.68%	2.51%	0.97%	2.13%	2.36%	1.92%	2.75%	1.56%

Frequently Asked Questions

Can I hold both IMTM and DVOL in my portfolio?

IMTM and DVOL have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, IMTM or DVOL?

IMTM has higher volatility (5.48%) compared to DVOL (2.91%). In terms of maximum drawdown, IMTM dropped -32.66% vs DVOL's -38.26%.

Which ETF is better, IMTM or DVOL?

On 5-year performance, IMTM leads with 9.00% vs 6.82% for DVOL. On fees, IMTM is cheaper at 0.30% 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, IMTM or DVOL?

Over the 5-year period, IMTM has performed better with a 9.00% return vs 6.82%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, IMTM or DVOL?

IMTM is cheaper with a 0.30% expense ratio, compared with 0.60% for DVOL.

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

IMTM has the higher dividend yield at 4.23%, compared with 0.68% for DVOL.

What is the main difference between IMTM and DVOL?

IMTM tracks MSCI World ex USA Momentum, while DVOL tracks Dorsey Wright Momentum Plus Low Volatility Index. They also come from different issuers: iShares and First Trust. Their fees differ too: 0.30% for IMTM and 0.60% for DVOL.

Which has better risk-adjusted returns?

IMTM currently has the higher Sharpe Ratio (1.41 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.