IDMO vs. EFG
Compare and contrast key facts about Invesco S&P International Developed Momentum ETF (IDMO) and iShares MSCI EAFE Growth ETF (EFG).
IDMO and EFG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. 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. Both IDMO and EFG 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: IDMO or EFG.
Performance
IDMO vs. EFG - Performance Comparison
Returns By Period
In the year-to-date period, IDMO achieves a 14.30% return, which is significantly higher than EFG's 1.93% return. Over the past 10 years, IDMO has outperformed EFG with an annualized return of 9.47%, while EFG has yielded a comparatively lower 5.38% annualized return.
IDMO
14.30%
-1.97%
1.41%
22.43%
12.38%
9.47%
EFG
1.93%
-6.86%
-5.73%
8.83%
4.43%
5.38%
Key characteristics
| IDMO | EFG | |
|---|---|---|
| Sharpe Ratio | 1.46 | 0.69 |
| Sortino Ratio | 1.96 | 1.07 |
| Omega Ratio | 1.26 | 1.13 |
| Calmar Ratio | 2.02 | 0.55 |
| Martin Ratio | 8.45 | 3.06 |
| Ulcer Index | 2.73% | 3.28% |
| Daily Std Dev | 15.80% | 14.46% |
| Max Drawdown | -39.37% | -58.41% |
| Current Drawdown | -3.31% | -10.18% |
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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.
Correlation
The correlation between IDMO and EFG 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
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.
Dividends
IDMO vs. EFG - Dividend Comparison
IDMO's dividend yield for the trailing twelve months is around 2.28%, more than EFG's 1.58% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
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% |
Drawdowns
IDMO vs. EFG - Drawdown Comparison
The maximum IDMO drawdown since its inception was -39.37%, smaller than the maximum EFG drawdown of -58.41%. Use the drawdown chart below to compare losses from any high point for IDMO and EFG. For additional features, visit the drawdowns tool.
Volatility
IDMO vs. EFG - Volatility Comparison
Invesco S&P International Developed Momentum ETF (IDMO) and iShares MSCI EAFE Growth ETF (EFG) have volatilities of 4.10% and 4.20%, 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.