DVOL

First Trust Dorsey Wright Momentum & Low Volatility ETF
*Unless otherwise stated, data provided by FactSet.

DVOL Fund Description

DVOL tracks an index of 50 large- and midcap, low-volatility stocks exhibiting relative strength. Holdings are weighted by the inverse of their volatility.

DVOL Factset Analytics Insight

DVOL combines two technical strategies: momentum and low volatility. The index initially whittles down its large- and midcap universe by conducting a relative strength analysis. A point and figure chart is created for each security, comparing the stock’s daily performance to that of the broader universe. Each stock is classified as a “buy” or a “sell” using this method, and the sells are filtered out. From this short list, DVOL selects the 50 securities with the lowest trailing 1-year volatility. Holdings are weighted by the inverse of volatility, such that low-vol holdings get more weight. DVOL is rebalanced quarterly.

DVOL MSCI ESG Analytics Insight

First Trust Dorsey Wright Momentum & Low Volatility ETF has an MSCI ESG Fund Rating of AA based on a score of 7.43 out of 10. The MSCI ESG Fund Rating measures the resiliency of portfolios to long-term risks and opportunities arising from environmental, social, and governance factors. ESG Fund Ratings range from best (AAA) to worst (CCC). Highly rated funds consist of companies that tend to show strong and/or improving management of financially relevant environmental, social and governance issues. These companies may be more resilient to disruptions arising from ESG events.

The fund’s Peer Rank reflects the ranking of a fund’s MSCI ESG Fund Quality Score against the scores of other funds within the same peer group, as defined by the Thomson Reuters Lipper Global Classification. First Trust Dorsey Wright Momentum & Low Volatility ETF ranks in the 60th percentile within its peer group and in the 43th percentile within the global universe of all funds covered by MSCI ESG Fund Ratings.

DVOL MSCI FaCS and Factor Box

MSCI FaCS is a standard method for evaluating and reporting the Factor characteristics of equity portfolios including ETFs. The Factor Box includes 6 Factors that MSCI has identified that historically provided a return premium. On the vertical axis, the Factor Groups, are displayed and the horizontal axis displays the Factor exposure, overweight, underweight or neutral.

PERFORMANCE [as of 01/26/22] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
DVOL -10.59% -6.14% -12.87% 12.46% 14.62% -- --
DVOL (NAV) -11.49% -7.22% -13.77% 11.86% 14.31% -- --
MSCI USA IMI -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

DVOL Summary Data

First Trust
09/05/18
Open-Ended Fund
0.60%
$121.90M
$689.98K
0.13%

DVOL Portfolio Data

$124.57B
32.69
6.75
0.54%
N/A
50

DVOL Index Data

Dorsey Wright Momentum Plus Low Volatility Index
Volatility
Technical
MSCI USA IMI

DVOL Portfolio Management

0.60%
--
--
--

DVOL Tax Exposures

20.00% / 39.60%
--
Qualified dividends
No

DVOL Fund Structure

Open-Ended Fund
No
No
-- / --
N/A
N/A
Low
Daily

DVOL Factset Analytics Block Liquidity

As of 01/27/22
5
4
3
2
1

This measurement shows how easy it is to trade a $1 million USD block of DVOL. DVOL is rated a 5 out of 5.

DVOL Tradability

22,767
$689.98K
14,892
$455.16K
0.13%
$0.04
-0.01%
0.32% / -0.27%
None
100.00%
50,000
0.30
0.03%
0.02%
7
$27.38
5

DVOL Countries


DVOL
Segment Benchmark
100.00%
99.92%
--
0.00%
--
0.08%

DVOL Regions


DVOL
Segment Benchmark
100.00%
100.00%
--
0.00%

DVOL Economic Development


DVOL
Segment Benchmark
100.00%
100.00%

DVOL Performance Statistics

0.76
0.90
0.97
0.87
0.49%
MSCI USA IMI

DVOL MSCI ESG Ratings

7.43 / 10
42.79
60.18
1.83%
--
65.94

DVOL Benchmark Comparison Holdings

50
2574
50
8.88%

DVOL Benchmark Comparison Summary


DVOL
Segment Benchmark
50
2574
$124.57B
$553.66B
32.69
27.76
6.75
4.35
1.31%
1.24%
Medium
Low

DVOL Benchmark Comparison Market Cap Size


DVOL
Segment Benchmark
91.11%
87.81%
8.89%
9.59%
0.00%
2.46%
0.00%
0.14%