MMTM vs. DVOL

Last updated Jun 4, 2026

MMTM (SPDR S&P 1500 Momentum Tilt ETF) and DVOL (First Trust Dorsey Wright Momentum & Low Volatility ETF) are both Momentum funds - MMTM tracks the S&P 1500 Positive Momentum Tilt Index while DVOL tracks the Dorsey Wright Momentum Plus Low Volatility Index. Both are passively managed. Over the past 5 years, MMTM returned 13.50%/yr vs 6.82%/yr for DVOL. A 0.70 correlation means they provide meaningful diversification when combined. MMTM charges 0.12%/yr vs 0.60%/yr for DVOL.

Performance

MMTM vs. DVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 1500 Momentum Tilt ETF (MMTM) 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, MMTM achieves a 9.16% return, which is significantly higher than DVOL's 1.61% return.

MMTM

• 1D: -1.07%
• 1M: 2.46%
• YTD: 9.16%
• 6M: 9.58%
• 1Y: 24.27%
• 3Y*: 22.46%
• 5Y*: 13.50%
• 10Y*: 15.00%

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)

MMTM vs. DVOL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
MMTM SPDR S&P 1500 Momentum Tilt ETF	9.16%	13.26%	29.94%	22.49%	-16.12%	26.33%	19.27%	29.98%	-14.27%
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 MMTM 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	0.70
Correlation (All Time) Calculated using the full available price history since Sep 10, 2018	0.70

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

MMTM vs. DVOL - Sectors Allocation Comparison

Sectors	MMTM	DVOL
Technology	29.5%	4.7%
Financial Services	16.0%	18.8%
Consumer Cyclical	12.4%	9.4%
Healthcare	10.8%	3.7%
Communication Services	7.7%	3.6%
Industrials	7.6%	16.6%
Consumer Defensive	6.7%	8.2%
Real Estate	3.1%	12.1%
Utilities	2.6%	3.0%
Basic Materials	2.0%	6.0%
Energy	1.7%	14.0%

Return for Risk

MMTM vs. DVOL — Risk / Return Rank

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

MMTM

MMTM Risk / Return Rank: 51
MMTM Sharpe Ratio Rank: 49
MMTM Sortino Ratio Rank: 48
MMTM Omega Ratio Rank: 49
MMTM Calmar Ratio Rank: 49
MMTM Martin Ratio Rank: 62

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.

MMTM vs. DVOL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 1500 Momentum Tilt ETF (MMTM) 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.

	MMTM	DVOL	Difference
Sharpe ratio: Return per unit of total volatility	1.72	0.07	+1.65
Sortino ratio: Return per unit of downside risk	2.40	0.19	+2.21
Omega ratio: Gain probability vs. loss probability	1.31	1.02	+0.29
Calmar ratio: Return relative to maximum drawdown	2.46	0.08	+2.38
Martin ratio: Return relative to average drawdown	11.15	0.30	+10.85
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MMTM vs. DVOL - Sharpe Ratio Comparison

The current MMTM Sharpe Ratio is 1.72, which is higher than the DVOL Sharpe Ratio of 0.07. The chart below compares the historical Sharpe Ratios of MMTM 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

	MMTM	DVOL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.72	0.07	+1.65
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.75	0.48	+0.27
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.81	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.85	0.50	+0.35

Drawdowns

MMTM vs. DVOL - Drawdown Comparison

The maximum MMTM drawdown since its inception was -33.85%, smaller than the maximum DVOL drawdown of -38.26%. Use the drawdown chart below to compare losses from any high point for MMTM and DVOL.

Drawdown Indicators

	MMTM	DVOL	Difference
Max Drawdown Largest peak-to-trough decline	-33.85%	-38.26%	+4.41%
Max Drawdown (1Y) Largest decline over 1 year	-9.89%	-9.82%	-0.07%
Max Drawdown (3Y) Largest decline over 3 years	-22.08%	-11.66%	-10.42%
Max Drawdown (5Y) Largest decline over 5 years	-23.72%	-24.65%	+0.93%
Max Drawdown (10Y) Largest decline over 10 years	-33.85%	—	—
Current Drawdown Current decline from peak	-1.48%	-4.85%	+3.37%
Average Drawdown Average peak-to-trough decline	-4.20%	-7.17%	+2.97%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.18%	2.87%	-0.69%

Volatility

MMTM vs. DVOL - Volatility Comparison

The current volatility for SPDR S&P 1500 Momentum Tilt ETF (MMTM) is 2.35%, while First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) has a volatility of 2.91%. This indicates that MMTM experiences smaller price fluctuations and is considered to be less risky than DVOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MMTM	DVOL	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.35%	2.91%	-0.56%
Volatility (6M) Calculated over the trailing 6-month period	10.73%	9.35%	+1.38%
Volatility (1Y) Calculated over the trailing 1-year period	14.19%	11.79%	+2.40%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.20%	14.40%	+3.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.65%	17.72%	+0.93%

MMTM vs. DVOL - Expense Ratio Comparison

MMTM has a 0.12% expense ratio, which is lower than DVOL's 0.60% expense ratio.

Dividends

MMTM vs. DVOL - Dividend Comparison

MMTM's dividend yield for the trailing twelve months is around 0.78%, 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%
MMTM SPDR S&P 1500 Momentum Tilt ETF	0.78%	0.86%	0.83%	1.16%	1.67%	0.95%	1.14%	1.55%	1.64%	1.52%	1.98%	1.68%

Frequently Asked Questions

Can I hold both MMTM and DVOL in my portfolio?

MMTM 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, MMTM or DVOL?

DVOL has higher volatility (2.91%) compared to MMTM (2.35%). In terms of maximum drawdown, MMTM dropped -33.85% vs DVOL's -38.26%.

Which ETF is better, MMTM or DVOL?

On 5-year performance, MMTM leads with 13.50% vs 6.82% for DVOL. On fees, MMTM is cheaper at 0.12% per year. On volatility, MMTM has been the lower-risk option at 2.35%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, MMTM or DVOL?

Over the 5-year period, MMTM has performed better with a 13.50% return vs 6.82%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MMTM or DVOL?

MMTM is cheaper with a 0.12% expense ratio, compared with 0.60% for DVOL.

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

MMTM has the higher dividend yield at 0.78%, compared with 0.68% for DVOL.

What is the main difference between MMTM and DVOL?

MMTM tracks S&P 1500 Positive Momentum Tilt Index, while DVOL tracks Dorsey Wright Momentum Plus Low Volatility Index. They also come from different issuers: State Street and First Trust. Their fees differ too: 0.12% for MMTM and 0.60% for DVOL.

Which has better risk-adjusted returns?

MMTM currently has the higher Sharpe Ratio (1.72 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.