IDMO vs. DFALX
IDMO (Invesco S&P International Developed Momentum ETF) and DFALX (DFA Large Cap International Portfolio) are both funds - IDMO is a Momentum fund tracking the S&P Momentum Developed ex U.S. & South Korea LargeMidCap Index, while DFALX is a Foreign Large Cap Equities fund managed by Dimensional. Over the past 10 years, IDMO returned 12.02%/yr vs 9.57%/yr for DFALX. A 0.66 correlation means they provide meaningful diversification when combined. IDMO charges 0.25%/yr vs 0.18%/yr for DFALX.
Performance
IDMO vs. DFALX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, IDMO achieves a 5.33% return, which is significantly lower than DFALX's 7.88% return. Over the past 10 years, IDMO has outperformed DFALX with an annualized return of 12.02%, while DFALX has yielded a comparatively lower 9.57% annualized return.
IDMO
- 1D
- 0.67%
- 1M
- -3.78%
- YTD
- 5.33%
- 6M
- 8.93%
- 1Y
- 19.27%
- 3Y*
- 24.47%
- 5Y*
- 15.15%
- 10Y*
- 12.02%
DFALX
- 1D
- -2.41%
- 1M
- -1.66%
- YTD
- 7.88%
- 6M
- 10.41%
- 1Y
- 22.50%
- 3Y*
- 17.50%
- 5Y*
- 9.00%
- 10Y*
- 9.57%
IDMO vs. DFALX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IDMO Invesco S&P International Developed Momentum ETF | 5.33% | 42.17% | 12.79% | 20.16% | -12.03% | 14.31% | 22.01% | 26.09% | -16.66% | 29.21% |
DFALX DFA Large Cap International Portfolio | 7.88% | 33.60% | 4.55% | 17.88% | -13.04% | 12.79% | 8.13% | 22.05% | -14.15% | 25.35% |
Correlation
The correlation between IDMO and DFALX is 0.88, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.88 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.88 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.91 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.76 |
Correlation (All Time) Calculated using the full available price history since Feb 27, 2012 | 0.66 |
Over the past year, IDMO and DFALX have become more correlated (0.88) than their long-term average of 0.66, meaning their price movements have been converging.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
IDMO vs. DFALX — Risk / Return Rank
IDMO
DFALX
IDMO vs. DFALX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P International Developed Momentum ETF (IDMO) and DFA Large Cap International Portfolio (DFALX). 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.
| IDMO | DFALX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.49 | ||
| Sortino ratioReturn per unit of downside risk | -0.58 | ||
| Omega ratioGain probability vs. loss probability | 1.21 | 1.29 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 1.57 | 2.15 | -0.58 |
| Martin ratioReturn relative to average drawdown | 6.49 | 8.36 | -1.87 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| IDMO | DFALX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.12 | 1.61 | -0.49 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.85 | 0.58 | +0.27 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.67 | 0.59 | +0.07 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.44 | 0.37 | +0.07 |
Drawdowns
IDMO vs. DFALX - Drawdown Comparison
The maximum IDMO drawdown since its inception was -39.38%, smaller than the maximum DFALX drawdown of -59.76%. Use the drawdown chart below to compare losses from any high point for IDMO and DFALX.
Loading charts...
Drawdown Indicators
| IDMO | DFALX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.38% | -59.76% | +20.38% |
Max Drawdown (1Y)Largest decline over 1 year | -12.31% | -10.70% | -1.61% |
Max Drawdown (3Y)Largest decline over 3 years | -12.65% | -13.11% | +0.46% |
Max Drawdown (5Y)Largest decline over 5 years | -27.07% | -27.52% | +0.45% |
Max Drawdown (10Y)Largest decline over 10 years | -31.34% | -35.58% | +4.24% |
Current DrawdownCurrent decline from peak | -4.49% | -2.74% | -1.75% |
Average DrawdownAverage peak-to-trough decline | -9.75% | -12.00% | +2.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.99% | 2.74% | +0.25% |
Volatility
IDMO vs. DFALX - Volatility Comparison
Invesco S&P International Developed Momentum ETF (IDMO) has a higher volatility of 6.18% compared to DFA Large Cap International Portfolio (DFALX) at 4.21%. This indicates that IDMO's price experiences larger fluctuations and is considered to be riskier than DFALX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| IDMO | DFALX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.18% | 4.21% | +1.97% |
Volatility (6M)Calculated over the trailing 6-month period | 15.28% | 11.69% | +3.59% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.25% | 14.29% | +2.96% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.90% | 15.71% | +2.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.14% | 16.19% | +1.95% |
IDMO vs. DFALX - Expense Ratio Comparison
IDMO has a 0.25% expense ratio, which is higher than DFALX's 0.18% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
IDMO vs. DFALX - Dividend Comparison
IDMO's dividend yield for the trailing twelve months is around 3.61%, more than DFALX's 2.80% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFALX DFA Large Cap International Portfolio | 2.80% | 2.89% | 3.18% | 3.24% | 2.86% | 3.00% | 1.88% | 2.88% | 3.07% | 2.55% | 2.89% | 2.94% |
IDMO Invesco S&P International Developed Momentum ETF | 3.61% | 3.71% | 2.24% | 2.89% | 3.66% | 1.81% | 1.63% | 2.78% | 3.27% | 3.08% | 2.18% | 2.52% |
Frequently Asked Questions
IDMO and DFALX have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IDMO has higher volatility (6.18%) compared to DFALX (4.21%). In terms of maximum drawdown, IDMO dropped -39.38% vs DFALX's -59.76%.
DFALX currently has the higher Sharpe Ratio (1.61 vs 1.12), 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.
Find the right allocation for IDMO and DFALX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer