EFG vs. IDMO
Compare and contrast key facts about iShares MSCI EAFE Growth ETF (EFG) and Invesco S&P International Developed Momentum ETF (IDMO).
EFG and IDMO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EFG is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Growth Index. It was launched on Aug 1, 2005. IDMO is a passively managed fund by Invesco that tracks the performance of the S&P Momentum Developed ex U.S. & South Korea LargeMidCap Index. It was launched on Feb 24, 2012. Both EFG and IDMO are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EFG or IDMO.
Performance
EFG vs. IDMO - Performance Comparison
Returns By Period
In the year-to-date period, EFG achieves a 1.93% return, which is significantly lower than IDMO's 14.30% return. Over the past 10 years, EFG has underperformed IDMO with an annualized return of 5.31%, while IDMO has yielded a comparatively higher 9.47% annualized return.
EFG
1.93%
-6.04%
-5.73%
10.01%
4.46%
5.31%
IDMO
14.30%
-1.97%
1.41%
22.43%
12.38%
9.47%
Key characteristics
| EFG | IDMO | |
|---|---|---|
| Sharpe Ratio | 0.69 | 1.46 |
| Sortino Ratio | 1.07 | 1.96 |
| Omega Ratio | 1.13 | 1.26 |
| Calmar Ratio | 0.55 | 2.02 |
| Martin Ratio | 3.06 | 8.45 |
| Ulcer Index | 3.28% | 2.73% |
| Daily Std Dev | 14.46% | 15.80% |
| Max Drawdown | -58.41% | -39.37% |
| Current Drawdown | -10.18% | -3.31% |
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EFG vs. IDMO - Expense Ratio Comparison
EFG has a 0.40% expense ratio, which is higher than IDMO's 0.25% expense ratio.
Correlation
The correlation between EFG and IDMO is 0.60, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
EFG vs. IDMO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE Growth ETF (EFG) and Invesco S&P International Developed Momentum ETF (IDMO). 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.
Dividends
EFG vs. IDMO - Dividend Comparison
EFG's dividend yield for the trailing twelve months is around 1.58%, less than IDMO's 2.28% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFG iShares MSCI EAFE Growth ETF | 1.58% | 1.63% | 1.27% | 1.54% | 0.85% | 1.69% | 1.98% | 1.56% | 2.20% | 1.75% | 2.34% | 1.86% |
IDMO Invesco S&P International Developed Momentum ETF | 2.28% | 2.89% | 3.66% | 1.81% | 1.64% | 2.10% | 3.27% | 3.08% | 2.18% | 2.52% | 2.18% | 1.70% |
Drawdowns
EFG vs. IDMO - Drawdown Comparison
The maximum EFG drawdown since its inception was -58.41%, which is greater than IDMO's maximum drawdown of -39.37%. Use the drawdown chart below to compare losses from any high point for EFG and IDMO. For additional features, visit the drawdowns tool.
Volatility
EFG vs. IDMO - Volatility Comparison
iShares MSCI EAFE Growth ETF (EFG) and Invesco S&P International Developed Momentum ETF (IDMO) have volatilities of 4.20% and 4.10%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.