GLOF vs. IDMO
Compare and contrast key facts about iShares Global Equity Factor ETF (GLOF) and Invesco S&P International Developed Momentum ETF (IDMO).
GLOF and IDMO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. GLOF is a passively managed fund by iShares that tracks the performance of the STOXX Global Equity Factor Index. It was launched on Apr 28, 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 GLOF 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: GLOF or IDMO.
Key characteristics
| GLOF | IDMO | |
|---|---|---|
| YTD Return | 18.70% | 15.18% |
| 1Y Return | 26.80% | 23.99% |
| 3Y Return (Ann) | 7.02% | 6.29% |
| 5Y Return (Ann) | 10.36% | 12.57% |
| Sharpe Ratio | 2.31 | 1.47 |
| Sortino Ratio | 3.11 | 1.98 |
| Omega Ratio | 1.41 | 1.26 |
| Calmar Ratio | 3.08 | 2.04 |
| Martin Ratio | 14.19 | 8.54 |
| Ulcer Index | 1.89% | 2.72% |
| Daily Std Dev | 11.63% | 15.80% |
| Max Drawdown | -34.12% | -39.37% |
| Current Drawdown | -1.74% | -2.56% |
Correlation
The correlation between GLOF and IDMO is 0.59, 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.
Performance
GLOF vs. IDMO - Performance Comparison
In the year-to-date period, GLOF achieves a 18.70% return, which is significantly higher than IDMO's 15.18% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
GLOF vs. IDMO - Expense Ratio Comparison
GLOF has a 0.20% expense ratio, which is lower than IDMO's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
GLOF vs. IDMO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Global Equity Factor ETF (GLOF) 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
GLOF vs. IDMO - Dividend Comparison
GLOF's dividend yield for the trailing twelve months is around 2.27%, which matches IDMO's 2.26% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GLOF iShares Global Equity Factor ETF | 2.27% | 2.51% | 2.53% | 1.90% | 1.73% | 2.41% | 2.03% | 1.94% | 1.94% | 0.92% | 0.00% | 0.00% |
IDMO Invesco S&P International Developed Momentum ETF | 2.26% | 2.89% | 3.66% | 1.81% | 1.64% | 2.10% | 3.27% | 3.08% | 2.18% | 2.52% | 2.18% | 1.70% |
Drawdowns
GLOF vs. IDMO - Drawdown Comparison
The maximum GLOF drawdown since its inception was -34.12%, smaller than the maximum IDMO drawdown of -39.37%. Use the drawdown chart below to compare losses from any high point for GLOF and IDMO. For additional features, visit the drawdowns tool.
Volatility
GLOF vs. IDMO - Volatility Comparison
The current volatility for iShares Global Equity Factor ETF (GLOF) is 2.95%, while Invesco S&P International Developed Momentum ETF (IDMO) has a volatility of 4.06%. This indicates that GLOF experiences smaller price fluctuations and is considered to be less risky than IDMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.