QMOM vs. DVOL

Last updated Jun 4, 2026

QMOM (Alpha Architect U.S. Quantitative Momentum ETF) and DVOL (First Trust Dorsey Wright Momentum & Low Volatility ETF) are both Momentum funds. QMOM is actively managed, while DVOL is passively managed. Over the past 5 years, QMOM returned 11.55%/yr vs 6.82%/yr for DVOL. A 0.61 correlation means they provide meaningful diversification when combined. QMOM charges 0.28%/yr vs 0.60%/yr for DVOL.

Performance

QMOM vs. DVOL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Alpha Architect U.S. Quantitative Momentum ETF (QMOM) 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, QMOM achieves a 24.65% return, which is significantly higher than DVOL's 1.61% return.

QMOM

• 1D: -0.37%
• 1M: 6.10%
• YTD: 24.65%
• 6M: 26.71%
• 1Y: 31.51%
• 3Y*: 23.22%
• 5Y*: 11.55%
• 10Y*: 13.82%

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)

QMOM vs. DVOL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
QMOM Alpha Architect U.S. Quantitative Momentum ETF	24.65%	2.36%	30.43%	9.50%	-6.99%	-4.06%	61.94%	28.39%	-24.47%
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 QMOM and DVOL is 0.51, 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	0.51
Correlation (3Y) Calculated over the trailing 3-year period	0.60
Correlation (5Y) Calculated over the trailing 5-year period	0.62
Correlation (All Time) Calculated using the full available price history since Sep 10, 2018	0.61

The correlation between QMOM and DVOL shifts across timeframes, from 0.51 (1 year) to 0.62 (5 years), reflecting how their relationship changes across market environments.

QMOM vs. DVOL - Sectors Allocation Comparison

Sectors	QMOM	DVOL
Industrials	37.5%	16.6%
Technology	23.9%	4.7%
Basic Materials	9.0%	6.0%
Healthcare	8.9%	3.7%
Consumer Cyclical	7.4%	9.4%
Energy	5.5%	14.0%
Communication Services	4.2%	3.6%
Utilities	2.0%	3.0%
Financial Services	1.9%	18.8%
Consumer Defensive	1.6%	8.2%
Real Estate	-	12.1%

Return for Risk

QMOM vs. DVOL — Risk / Return Rank

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

QMOM

QMOM Risk / Return Rank: 42
QMOM Sharpe Ratio Rank: 37
QMOM Sortino Ratio Rank: 36
QMOM Omega Ratio Rank: 37
QMOM Calmar Ratio Rank: 50
QMOM Martin Ratio Rank: 53

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.

QMOM vs. DVOL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect U.S. Quantitative Momentum ETF (QMOM) 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.

	QMOM	DVOL	Difference
Sharpe ratio: Return per unit of total volatility	1.36	0.07	+1.29
Sortino ratio: Return per unit of downside risk	1.91	0.19	+1.72
Omega ratio: Gain probability vs. loss probability	1.25	1.02	+0.23
Calmar ratio: Return relative to maximum drawdown	2.50	0.08	+2.42
Martin ratio: Return relative to average drawdown	9.15	0.30	+8.85
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QMOM vs. DVOL - Sharpe Ratio Comparison

The current QMOM Sharpe Ratio is 1.36, which is higher than the DVOL Sharpe Ratio of 0.07. The chart below compares the historical Sharpe Ratios of QMOM 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

	QMOM	DVOL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.36	0.07	+1.29
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.48	0.48	0.00
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.52	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.52	0.50	+0.02

Drawdowns

QMOM vs. DVOL - Drawdown Comparison

The maximum QMOM drawdown since its inception was -39.13%, roughly equal to the maximum DVOL drawdown of -38.26%. Use the drawdown chart below to compare losses from any high point for QMOM and DVOL.

Drawdown Indicators

	QMOM	DVOL	Difference
Max Drawdown Largest peak-to-trough decline	-39.13%	-38.26%	-0.87%
Max Drawdown (1Y) Largest decline over 1 year	-12.65%	-9.82%	-2.83%
Max Drawdown (3Y) Largest decline over 3 years	-26.46%	-11.66%	-14.80%
Max Drawdown (5Y) Largest decline over 5 years	-26.82%	-24.65%	-2.17%
Max Drawdown (10Y) Largest decline over 10 years	-39.13%	—	—
Current Drawdown Current decline from peak	-0.37%	-4.85%	+4.48%
Average Drawdown Average peak-to-trough decline	-12.92%	-7.17%	-5.75%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.45%	2.87%	+0.58%

Volatility

QMOM vs. DVOL - Volatility Comparison

Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a higher volatility of 8.32% compared to First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) at 2.91%. This indicates that QMOM'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

	QMOM	DVOL	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.32%	2.91%	+5.41%
Volatility (6M) Calculated over the trailing 6-month period	19.78%	9.35%	+10.43%
Volatility (1Y) Calculated over the trailing 1-year period	23.30%	11.79%	+11.51%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.19%	14.40%	+9.79%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	26.49%	17.72%	+8.77%

QMOM vs. DVOL - Expense Ratio Comparison

QMOM has a 0.28% expense ratio, which is lower than DVOL's 0.60% expense ratio.

Dividends

QMOM vs. DVOL - Dividend Comparison

QMOM's dividend yield for the trailing twelve months is around 0.44%, less than DVOL's 0.68% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
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%
QMOM Alpha Architect U.S. Quantitative Momentum ETF	0.44%	0.54%	1.40%	0.87%	1.59%	0.12%	0.08%	0.01%	0.05%	0.13%	0.34%

Frequently Asked Questions

Can I hold both QMOM and DVOL in my portfolio?

QMOM and DVOL have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QMOM or DVOL?

QMOM has higher volatility (8.32%) compared to DVOL (2.91%). In terms of maximum drawdown, QMOM dropped -39.13% vs DVOL's -38.26%.

Which ETF is better, QMOM or DVOL?

On 5-year performance, QMOM leads with 11.55% vs 6.82% for DVOL. On fees, QMOM is cheaper at 0.28% 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, QMOM or DVOL?

Over the 5-year period, QMOM has performed better with a 11.55% return vs 6.82%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, QMOM or DVOL?

QMOM is cheaper with a 0.28% expense ratio, compared with 0.60% for DVOL.

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

DVOL has the higher dividend yield at 0.68%, compared with 0.44% for QMOM.

What is the main difference between QMOM and DVOL?

They also come from different issuers: Alpha Architect and First Trust. Their fees differ too: 0.28% for QMOM and 0.60% for DVOL.

Which has better risk-adjusted returns?

QMOM currently has the higher Sharpe Ratio (1.36 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.