PFI vs. DVOL

Last updated Jun 24, 2026

PFI (Invesco Dorsey Wright Financial Momentum ETF) and DVOL (First Trust Dorsey Wright Momentum & Low Volatility ETF) are both Momentum funds - PFI tracks the Dorsey Wright Financials Technical Leaders Index while DVOL tracks the Dorsey Wright Momentum Plus Low Volatility Index. Both are passively managed. Over the past 5 years, PFI returned 5.43%/yr vs 7.45%/yr for DVOL. A 0.73 correlation means they provide meaningful diversification when combined. Both charge a 0.60% expense ratio.

Performance

PFI vs. DVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dorsey Wright Financial Momentum ETF (PFI) 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, PFI achieves a 7.04% return, which is significantly higher than DVOL's 4.76% return.

PFI

• 1D: 0.56%
• 1M: 4.63%
• YTD: 7.04%
• 6M: 4.43%
• 1Y: 12.22%
• 3Y*: 16.97%
• 5Y*: 5.43%
• 10Y*: 9.22%

DVOL

• 1D: 0.71%
• 1M: 0.26%
• YTD: 4.76%
• 6M: 3.40%
• 1Y: 5.26%
• 3Y*: 13.38%
• 5Y*: 7.45%
• 10Y*: —

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

PFI vs. DVOL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
PFI Invesco Dorsey Wright Financial Momentum ETF	7.04%	1.98%	30.58%	12.58%	-24.09%	28.70%	13.85%	36.54%	-18.90%
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF	4.76%	4.30%	24.84%	5.39%	-16.10%	30.08%	11.15%	26.10%	-10.21%

Correlation

The correlation between PFI and DVOL is 0.69, 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	0.69
Correlation (3Y) Calculated over the trailing 3-year period	0.73
Correlation (5Y) Calculated over the trailing 5-year period	0.76
Correlation (All Time) Calculated using the full available price history since Sep 7, 2018	0.73

The correlation between PFI and DVOL has been stable across timeframes, ranging from 0.69 to 0.76 - a consistent structural relationship.

PFI vs. DVOL - Sectors Allocation Comparison

Sectors	PFI	DVOL
Financial Services	81.2%	19.2%
Real Estate	18.8%	12.0%
Basic Materials	-	6.1%
Communication Services	-	3.5%
Consumer Cyclical	-	9.7%
Consumer Defensive	-	8.3%
Energy	-	13.6%
Healthcare	-	3.3%
Industrials	-	16.7%
Technology	-	4.5%
Utilities	-	2.9%

Return for Risk

PFI vs. DVOL — Risk / Return Rank

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

PFI

PFI Risk / Return Rank: 20
PFI Sharpe Ratio Rank: 20
PFI Sortino Ratio Rank: 19
PFI Omega Ratio Rank: 19
PFI Calmar Ratio Rank: 20
PFI Martin Ratio Rank: 22

DVOL

DVOL Risk / Return Rank: 15
DVOL Sharpe Ratio Rank: 16
DVOL Sortino Ratio Rank: 15
DVOL Omega Ratio Rank: 14
DVOL Calmar Ratio Rank: 15
DVOL Martin Ratio Rank: 18

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.

PFI vs. DVOL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dorsey Wright Financial Momentum ETF (PFI) 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.

	PFI	DVOL	Difference
Sharpe ratio: Return per unit of total volatility	0.66	0.45	+0.21
Sortino ratio: Return per unit of downside risk	0.99	0.73	+0.25
Omega ratio: Gain probability vs. loss probability	1.12	1.08	+0.04
Calmar ratio: Return relative to maximum drawdown	0.89	0.54	+0.35
Martin ratio: Return relative to average drawdown	2.65	1.87	+0.78

PFI vs. DVOL - Sharpe Ratio Comparison

The current PFI Sharpe Ratio is 0.66, which is higher than the DVOL Sharpe Ratio of 0.45. The chart below compares the historical Sharpe Ratios of PFI 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

PFI vs. DVOL - Drawdown Comparison

The maximum PFI drawdown since its inception was -59.53%, which is greater than DVOL's maximum drawdown of -38.26%. Use the drawdown chart below to compare losses from any high point for PFI and DVOL.

Drawdown Indicators

	PFI	DVOL	Difference
Max Drawdown Largest peak-to-trough decline	-59.53%	-38.26%	-21.27%
Max Drawdown (1Y) Largest decline over 1 year	-13.86%	-9.82%	-4.04%
Max Drawdown (3Y) Largest decline over 3 years	-24.82%	-11.66%	-13.16%
Max Drawdown (5Y) Largest decline over 5 years	-35.43%	-24.65%	-10.78%
Max Drawdown (10Y) Largest decline over 10 years	-43.09%	—	—
Current Drawdown Current decline from peak	-1.04%	-1.90%	+0.86%
Average Drawdown Average peak-to-trough decline	-14.47%	-7.14%	-7.33%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.62%	2.82%	+1.80%

Volatility

PFI vs. DVOL - Volatility Comparison

Invesco Dorsey Wright Financial Momentum ETF (PFI) has a higher volatility of 4.05% compared to First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) at 3.36%. This indicates that PFI'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

	PFI	DVOL	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.05%	3.36%	+0.69%
Volatility (6M) Calculated over the trailing 6-month period	13.70%	9.50%	+4.20%
Volatility (1Y) Calculated over the trailing 1-year period	18.77%	11.87%	+6.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.84%	14.40%	+7.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.26%	17.68%	+4.58%

PFI vs. DVOL - Expense Ratio Comparison

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

Dividends

PFI vs. DVOL - Dividend Comparison

PFI's dividend yield for the trailing twelve months is around 1.00%, more than DVOL's 0.66% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DVOL First Trust Dorsey Wright Momentum & Low Volatility ETF	0.66%	0.86%	0.67%	1.28%	1.37%	0.47%	0.60%	1.79%	0.39%	0.00%	0.00%	0.00%
PFI Invesco Dorsey Wright Financial Momentum ETF	1.00%	0.68%	2.77%	1.85%	1.93%	1.28%	1.56%	0.92%	1.98%	0.35%	2.16%	1.44%

Frequently Asked Questions

Can I hold both PFI and DVOL in my portfolio?

PFI and DVOL have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PFI or DVOL?

PFI has higher volatility (4.05%) compared to DVOL (3.36%). In terms of maximum drawdown, PFI dropped -59.53% vs DVOL's -38.26%.

Which ETF is better, PFI or DVOL?

On 5-year performance, DVOL leads with 7.45% vs 5.43% for PFI. Both ETFs have the same 0.60% expense ratio. On volatility, DVOL has been the lower-risk option at 3.36%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PFI or DVOL?

Over the 5-year period, DVOL has performed better with a 7.45% return vs 5.43%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PFI or DVOL?

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

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

PFI has the higher dividend yield at 1.00%, compared with 0.66% for DVOL.

What is the main difference between PFI and DVOL?

PFI tracks Dorsey Wright Financials 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?

PFI currently has the higher Sharpe Ratio (0.66 vs 0.45), 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.