DVOL: Unusual Strategy With Unconvincing Results
Source: SeekingAlpha
2025-05-09 13:15:36 ET
Summary
- First Trust Dorsey Wright Momentum & Low Volatility ETF holds 50 stocks with high price relative strength and low price volatility.
- DVOL is overweight in financials, but the sector breakdown may vary with sector momentum.
- Since its inception, DVOL has underperformed the Russell 1000 in return and Sharpe ratio, with a deeper maximum drawdown.
- LGLV and FDLO are more compelling low-volatility ETFs than DVOL, offering better returns, lower volatility, higher liquidity, and cheaper fees.
- It makes more sense to split money in two single-factor ETFs targeting separately high momentum and low volatility.
DVOL strategy
First Trust Dorsey Wright Momentum & Low Volatility ETF ( DVOL ) was launched on 9/5/2018 and tracks the Dorsey Wright Momentum Plus Low Volatility™ Index. DVOL has 50 holdings, a 30-day SEC yield of 1.05% and an expense ratio of 0.60%....
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DVOL: Unusual Strategy With Unconvincing Results
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