GMOM vs. IMFL
GMOM (Cambria Global Momentum ETF) and IMFL (Invesco International Developed Dynamic Multifactor ETF) are both exchange-traded funds - GMOM is a Momentum fund actively managed by Cambria, while IMFL is a Global Equities fund tracking the FTSE Developed ex US Invesco Dynamic Multifactor Index. GMOM is actively managed, while IMFL is passively managed. Over the past 5 years, GMOM returned 7.70%/yr vs 9.05%/yr for IMFL. Their 0.63 correlation means they have sometimes moved together and sometimes differently. GMOM charges 0.96%/yr vs 0.34%/yr for IMFL.
Performance
GMOM vs. IMFL - Performance Comparison
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Returns By Period
In the year-to-date period, GMOM achieves a 10.11% return, which is significantly lower than IMFL's 16.64% return.
GMOM
- 1D
- -0.01%
- 1M
- 3.87%
- 6M
- 2.59%
- YTD
- 10.11%
- 1Y
- 25.71%
- 3Y*
- 11.80%
- 5Y*
- 7.70%
- 10Y*
- 7.09%
- ALL TIME*
- 5.82%
IMFL
- 1D
- -0.84%
- 1M
- 0.47%
- 6M
- 8.85%
- YTD
- 16.64%
- 1Y
- 31.79%
- 3Y*
- 15.43%
- 5Y*
- 9.05%
- 10Y*
- —
- ALL TIME*
- 9.47%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $399.63K | $320.17K | $293.32K | |
| $3.20M | $3.16M | $2.56M |
GMOM vs. IMFL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
GMOM Cambria Global Momentum ETF | 10.11% | 20.63% | 6.75% | 0.65% | -2.82% | 9.09% |
IMFL Invesco International Developed Dynamic Multifactor ETF | 16.64% | 30.89% | -3.57% | 25.51% | -17.32% | 7.00% |
Correlation
The correlation between GMOM and IMFL is 0.74, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.74 |
Correlation (3Y) Balances recent behavior with more history. | 0.64 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.61 |
Correlation (All Time) Calculated using the full available price history since Feb 24, 2021 | 0.63 |
The correlation between GMOM and IMFL shifts across timeframes, from 0.61 (5 years) to 0.74 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
GMOM vs. IMFL — Risk / Return Rank
GMOM
IMFL
GMOM vs. IMFL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cambria Global Momentum ETF (GMOM) and Invesco International Developed Dynamic Multifactor ETF (IMFL). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| GMOM | IMFL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.09 | ||
| Sortino ratioReturn per unit of downside risk | -0.15 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.33 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.68 | 2.64 | +0.04 |
| Martin ratioReturn relative to average drawdown | 8.08 | 9.10 | -1.02 |
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Drawdowns
GMOM vs. IMFL - Drawdown Comparison
The maximum GMOM drawdown since its inception was -25.03%, smaller than the maximum IMFL drawdown of -33.26%. Use the drawdown chart below to compare losses from any high point for GMOM and IMFL.
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Drawdown Indicators
| GMOM | IMFL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.03% | -33.26% | +8.23% |
Max Drawdown (1Y)Largest decline over 1 year | -9.57% | -11.77% | +2.20% |
Max Drawdown (3Y)Largest decline over 3 years | -13.73% | -13.52% | -0.21% |
Max Drawdown (5Y)Largest decline over 5 years | -19.16% | -33.26% | +14.10% |
Max Drawdown (10Y)Largest decline over 10 years | -25.03% | — | — |
Current DrawdownCurrent decline from peak | -3.35% | -1.54% | -1.81% |
Average DrawdownAverage peak-to-trough decline | -7.77% | -7.09% | -0.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.17% | 3.41% | -0.24% |
Volatility
GMOM vs. IMFL - Volatility Comparison
The current volatility for Cambria Global Momentum ETF (GMOM) is 3.35%, while Invesco International Developed Dynamic Multifactor ETF (IMFL) has a volatility of 4.40%. This indicates that GMOM experiences smaller price fluctuations and is considered to be less risky than IMFL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GMOM | IMFL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.35% | 4.40% | -1.05% |
Volatility (6M)Calculated over the trailing 6-month period | 11.89% | 14.68% | -2.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.71% | 16.97% | -2.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.37% | 16.22% | -1.85% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.94% | 16.11% | -3.17% |
GMOM vs. IMFL - Expense Ratio Comparison
GMOM has a 0.96% expense ratio, which is higher than IMFL's 0.34% expense ratio.
Dividends
GMOM vs. IMFL - Dividend Comparison
GMOM's dividend yield for the trailing twelve months is around 1.48%, less than IMFL's 2.90% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMOM Cambria Global Momentum ETF | 1.48% | 3.01% | 2.16% | 3.63% | 2.52% | 3.42% | 1.24% | 2.60% | 1.90% | 2.05% | 1.77% | 1.88% |
IMFL Invesco International Developed Dynamic Multifactor ETF | 2.90% | 2.88% | 3.56% | 3.85% | 3.35% | 3.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
GMOM and IMFL have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IMFL has higher volatility (4.40%) compared to GMOM (3.35%). In terms of maximum drawdown, GMOM dropped -25.03% vs IMFL's -33.26%.
On 5-year performance, IMFL leads with 9.05% vs 7.70% for GMOM. On fees, IMFL is cheaper at 0.34% per year. On volatility, GMOM has been the lower-risk option at 3.35%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, IMFL has performed better with a 9.05% return vs 7.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IMFL is cheaper with a 0.34% expense ratio, compared with 0.96% for GMOM.
IMFL has the higher dividend yield at 2.90%, compared with 1.48% for GMOM.
GMOM is categorized as Momentum, while IMFL is Global Equities. They also come from different issuers: Cambria and Invesco. Their fees differ too: 0.96% for GMOM and 0.34% for IMFL.
IMFL currently has the higher Sharpe Ratio (1.84 vs 1.74), 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.
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