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IDMO vs. EFG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IDMO and EFG is 0.54, 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.


-0.50.00.51.0
Correlation: 0.5

Performance

IDMO vs. EFG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P International Developed Momentum ETF (IDMO) and iShares MSCI EAFE Growth ETF (EFG). The values are adjusted to include any dividend payments, if applicable.

90.00%100.00%110.00%120.00%130.00%140.00%150.00%NovemberDecember2025FebruaryMarchApril
152.73%
122.28%
IDMO
EFG

Key characteristics

Sharpe Ratio

IDMO:

0.84

EFG:

0.27

Sortino Ratio

IDMO:

1.24

EFG:

0.52

Omega Ratio

IDMO:

1.17

EFG:

1.07

Calmar Ratio

IDMO:

1.38

EFG:

0.30

Martin Ratio

IDMO:

5.22

EFG:

0.91

Ulcer Index

IDMO:

3.34%

EFG:

5.65%

Daily Std Dev

IDMO:

20.84%

EFG:

19.07%

Max Drawdown

IDMO:

-39.36%

EFG:

-58.40%

Current Drawdown

IDMO:

0.00%

EFG:

-4.50%

Returns By Period

In the year-to-date period, IDMO achieves a 14.72% return, which is significantly higher than EFG's 6.73% return. Over the past 10 years, IDMO has outperformed EFG with an annualized return of 8.45%, while EFG has yielded a comparatively lower 5.10% annualized return.


IDMO

YTD

14.72%

1M

3.39%

6M

13.68%

1Y

19.14%

5Y*

16.50%

10Y*

8.45%

EFG

YTD

6.73%

1M

1.50%

6M

1.61%

1Y

5.94%

5Y*

8.17%

10Y*

5.10%

*Annualized

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IDMO vs. EFG - Expense Ratio Comparison

IDMO has a 0.25% expense ratio, which is lower than EFG's 0.40% expense ratio.


Expense ratio chart for EFG: current value is 0.40%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EFG: 0.40%
Expense ratio chart for IDMO: current value is 0.25%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IDMO: 0.25%

Risk-Adjusted Performance

IDMO vs. EFG — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

IDMO
The Risk-Adjusted Performance Rank of IDMO is 7979
Overall Rank
The Sharpe Ratio Rank of IDMO is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of IDMO is 7575
Sortino Ratio Rank
The Omega Ratio Rank of IDMO is 7474
Omega Ratio Rank
The Calmar Ratio Rank of IDMO is 8888
Calmar Ratio Rank
The Martin Ratio Rank of IDMO is 8585
Martin Ratio Rank

EFG
The Risk-Adjusted Performance Rank of EFG is 4040
Overall Rank
The Sharpe Ratio Rank of EFG is 3838
Sharpe Ratio Rank
The Sortino Ratio Rank of EFG is 4040
Sortino Ratio Rank
The Omega Ratio Rank of EFG is 3737
Omega Ratio Rank
The Calmar Ratio Rank of EFG is 4646
Calmar Ratio Rank
The Martin Ratio Rank of EFG is 3939
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

IDMO vs. EFG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P International Developed Momentum ETF (IDMO) and iShares MSCI EAFE Growth ETF (EFG). 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.


The chart of Sharpe ratio for IDMO, currently valued at 0.84, compared to the broader market-1.000.001.002.003.004.00
IDMO: 0.84
EFG: 0.27
The chart of Sortino ratio for IDMO, currently valued at 1.24, compared to the broader market-2.000.002.004.006.008.00
IDMO: 1.24
EFG: 0.52
The chart of Omega ratio for IDMO, currently valued at 1.17, compared to the broader market0.501.001.502.002.50
IDMO: 1.17
EFG: 1.07
The chart of Calmar ratio for IDMO, currently valued at 1.38, compared to the broader market0.002.004.006.008.0010.0012.00
IDMO: 1.38
EFG: 0.30
The chart of Martin ratio for IDMO, currently valued at 5.22, compared to the broader market0.0020.0040.0060.00
IDMO: 5.22
EFG: 0.91

The current IDMO Sharpe Ratio is 0.84, which is higher than the EFG Sharpe Ratio of 0.27. The chart below compares the historical Sharpe Ratios of IDMO and EFG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.84
0.27
IDMO
EFG

Dividends

IDMO vs. EFG - Dividend Comparison

IDMO's dividend yield for the trailing twelve months is around 1.79%, more than EFG's 1.53% yield.


TTM20242023202220212020201920182017201620152014
IDMO
Invesco S&P International Developed Momentum ETF
1.79%2.24%2.89%3.66%1.81%1.64%2.10%3.27%3.08%2.18%2.52%2.18%
EFG
iShares MSCI EAFE Growth ETF
1.53%1.64%1.63%1.27%1.54%0.85%1.69%1.98%1.56%2.20%1.75%2.34%

Drawdowns

IDMO vs. EFG - Drawdown Comparison

The maximum IDMO drawdown since its inception was -39.36%, smaller than the maximum EFG drawdown of -58.40%. Use the drawdown chart below to compare losses from any high point for IDMO and EFG. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril0
-4.50%
IDMO
EFG

Volatility

IDMO vs. EFG - Volatility Comparison

Invesco S&P International Developed Momentum ETF (IDMO) has a higher volatility of 13.05% compared to iShares MSCI EAFE Growth ETF (EFG) at 12.12%. This indicates that IDMO's price experiences larger fluctuations and is considered to be riskier than EFG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
13.05%
12.12%
IDMO
EFG