PEZ vs. DVOL

Last updated Aug 2, 2026

PEZ (Invesco DWA Consumer Cyclicals Momentum ETF) and DVOL (First Trust Dorsey Wright Momentum & Low Volatility ETF) are both Momentum funds - PEZ tracks the DWA Consumer Cyclicals Technical Leaders Index while DVOL tracks the Dorsey Wright Momentum Plus Low Volatility Index. Both are passively managed. Over the past 5 years, PEZ returned 3.14%/yr vs 6.77%/yr for DVOL. Their 0.57 correlation means they have sometimes moved together and sometimes differently. Both charge a 0.60% expense ratio.

Performance

PEZ vs. DVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DWA Consumer Cyclicals Momentum ETF (PEZ) 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, PEZ achieves a -1.42% return, which is significantly lower than DVOL's 8.15% return.

PEZ

• 1D: 0.17%
• 1M: 0.32%
• 6M: -0.38%
• YTD: -1.42%
• 1Y: 4.90%
• 3Y*: 11.93%
• 5Y*: 3.14%
• 10Y*: 9.57%
• ALL TIME*: 7.88%

DVOL

• 1D: 0.16%
• 1M: 2.33%
• 6M: 5.83%
• YTD: 8.15%
• 1Y: 10.88%
• 3Y*: 13.90%
• 5Y*: 6.77%
• 10Y*: —
• ALL TIME*: 9.44%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF	$232.56K	$170.69K	$310.57K
PEZ Invesco DWA Consumer Cyclicals Momentum ETF	$60.43K	$108.59K	$64.29K

PEZ vs. DVOL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
PEZ Invesco DWA Consumer Cyclicals Momentum ETF	-1.42%	5.40%	20.06%	29.55%	-29.59%	20.35%	38.97%	18.05%	-19.91%
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF	8.15%	4.30%	24.84%	5.39%	-16.10%	30.08%	11.15%	26.10%	-10.21%

Correlation

The correlation between PEZ and DVOL is 0.56, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.56
Correlation (3Y) Balances recent behavior with more history.	0.61
Correlation (5Y) Shows whether the relationship held over a longer period.	0.62
Correlation (All Time) Calculated using the full available price history since Sep 7, 2018	0.58

The correlation between PEZ and DVOL has been stable across timeframes, ranging from 0.56 to 0.62 - a consistent structural relationship.

PEZ vs. DVOL - Sectors Allocation Comparison

Sectors	PEZ	DVOL
Consumer Cyclical	70.1%	9.5%
Communication Services	11.7%	3.0%
Healthcare	7.3%	3.3%
Consumer Defensive	4.4%	8.0%
Technology	3.7%	4.7%
Real Estate	1.9%	12.4%
Industrials	1.0%	17.4%
Financial Services	0.6%	19.1%
Basic Materials	-	6.1%
Energy	-	13.7%
Utilities	-	3.0%

Return for Risk

PEZ vs. DVOL — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

PEZ

PEZ Risk / Return Rank: 14
PEZ Sharpe Ratio Rank: 14
PEZ Sortino Ratio Rank: 14
PEZ Omega Ratio Rank: 14
PEZ Calmar Ratio Rank: 14
PEZ Martin Ratio Rank: 14

DVOL

DVOL Risk / Return Rank: 35
DVOL Sharpe Ratio Rank: 36
DVOL Sortino Ratio Rank: 37
DVOL Omega Ratio Rank: 34
DVOL Calmar Ratio Rank: 32
DVOL Martin Ratio Rank: 37

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

PEZ vs. DVOL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DWA Consumer Cyclicals Momentum ETF (PEZ) 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.

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.

	PEZ	DVOL	Difference
Sharpe ratio: Return per unit of total volatility	0.15	0.90	-0.75
Sortino ratio: Return per unit of downside risk	0.37	1.39	-1.02
Omega ratio: Gain probability vs. loss probability	1.04	1.16	-0.12
Calmar ratio: Return relative to maximum drawdown	0.19	1.09	-0.89
Martin ratio: Return relative to average drawdown	0.46	3.81	-3.35

PEZ vs. DVOL - Sharpe Ratio Comparison

The current PEZ Sharpe Ratio is 0.15, which is lower than the DVOL Sharpe Ratio of 0.90. The chart below compares the historical Sharpe Ratios of PEZ 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.

Drawdowns

PEZ vs. DVOL - Drawdown Comparison

The maximum PEZ drawdown since its inception was -58.39%, which is greater than DVOL's maximum drawdown of -38.26%. Use the drawdown chart below to compare losses from any high point for PEZ and DVOL.

Drawdown Indicators

	PEZ	DVOL	Difference
Max Drawdown Largest peak-to-trough decline	-58.39%	-38.26%	-20.13%
Max Drawdown (1Y) Largest decline over 1 year	-15.83%	-9.82%	-6.01%
Max Drawdown (3Y) Largest decline over 3 years	-31.48%	-11.66%	-19.82%
Max Drawdown (5Y) Largest decline over 5 years	-41.72%	-24.65%	-17.07%
Max Drawdown (10Y) Largest decline over 10 years	-52.05%	—	—
Current Drawdown Current decline from peak	-8.64%	-1.02%	-7.62%
Average Drawdown Average peak-to-trough decline	-13.82%	-7.06%	-6.76%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.66%	2.79%	+3.87%

Volatility

PEZ vs. DVOL - Volatility Comparison

Invesco DWA Consumer Cyclicals Momentum ETF (PEZ) has a higher volatility of 4.24% compared to First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) at 3.31%. This indicates that PEZ'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

	PEZ	DVOL	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.24%	3.31%	+0.93%
Volatility (6M) Calculated over the trailing 6-month period	14.72%	9.42%	+5.30%
Volatility (1Y) Calculated over the trailing 1-year period	20.09%	11.82%	+8.27%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.14%	14.36%	+9.78%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.06%	17.60%	+7.46%

PEZ vs. DVOL - Expense Ratio Comparison

Both PEZ and DVOL have an expense ratio of 0.60%.

Dividends

PEZ vs. DVOL - Dividend Comparison

PEZ's dividend yield for the trailing twelve months is around 0.24%, less than DVOL's 0.75% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF	0.75%	0.86%	0.67%	1.28%	1.37%	0.47%	0.60%	1.79%	0.39%	0.00%	0.00%	0.00%
PEZ Invesco DWA Consumer Cyclicals Momentum ETF	0.24%	0.11%	0.12%	0.60%	0.43%	0.23%	0.39%	0.01%	0.40%	0.42%	0.83%	0.64%

Frequently Asked Questions

Can I hold both PEZ and DVOL in my portfolio?

PEZ and DVOL have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PEZ or DVOL?

PEZ has higher volatility (4.24%) compared to DVOL (3.31%). In terms of maximum drawdown, PEZ dropped -58.39% vs DVOL's -38.26%.

Which ETF is better, PEZ or DVOL?

On 5-year performance, DVOL leads with 6.77% vs 3.14% for PEZ. Both ETFs have the same 0.60% expense ratio. On volatility, DVOL has been the lower-risk option at 3.31%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PEZ or DVOL?

Over the 5-year period, DVOL has performed better with a 6.77% return vs 3.14%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PEZ or DVOL?

PEZ and DVOL have the same expense ratio: 0.60% per year.

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

DVOL has the higher dividend yield at 0.75%, compared with 0.24% for PEZ.

What is the main difference between PEZ and DVOL?

PEZ tracks DWA Consumer Cyclicals Technical Leaders Index, while DVOL tracks Dorsey Wright Momentum Plus Low Volatility Index. They also come from different issuers: Invesco and First Trust.

Which has better risk-adjusted returns?

DVOL currently has the higher Sharpe Ratio (0.90 vs 0.15), 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.