IDMO vs. HEFA
Compare and contrast key facts about Invesco S&P International Developed Momentum ETF (IDMO) and iShares Currency Hedged MSCI EAFE ETF (HEFA).
IDMO and HEFA 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. HEFA is a passively managed fund by iShares that tracks the performance of the MSCI EAFE 100% Hedged to USD Index. It was launched on Jan 31, 2014. Both IDMO and HEFA 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 HEFA.
Performance
IDMO vs. HEFA - Performance Comparison
Returns By Period
In the year-to-date period, IDMO achieves a 14.30% return, which is significantly higher than HEFA's 12.34% return. Over the past 10 years, IDMO has outperformed HEFA with an annualized return of 9.47%, while HEFA has yielded a comparatively lower 8.59% annualized return.
IDMO
14.30%
-1.97%
1.41%
22.43%
12.38%
9.47%
HEFA
12.34%
-2.05%
-1.28%
16.99%
9.81%
8.59%
Key characteristics
| IDMO | HEFA | |
|---|---|---|
| Sharpe Ratio | 1.46 | 1.54 |
| Sortino Ratio | 1.96 | 2.06 |
| Omega Ratio | 1.26 | 1.28 |
| Calmar Ratio | 2.02 | 1.72 |
| Martin Ratio | 8.45 | 8.07 |
| Ulcer Index | 2.73% | 2.09% |
| Daily Std Dev | 15.80% | 10.92% |
| Max Drawdown | -39.37% | -32.39% |
| Current Drawdown | -3.31% | -2.96% |
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IDMO vs. HEFA - Expense Ratio Comparison
IDMO has a 0.25% expense ratio, which is lower than HEFA's 0.35% expense ratio.
Correlation
The correlation between IDMO and HEFA 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.
Risk-Adjusted Performance
IDMO vs. HEFA - 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 Currency Hedged MSCI EAFE ETF (HEFA). 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. HEFA - Dividend Comparison
IDMO's dividend yield for the trailing twelve months is around 2.28%, less than HEFA's 2.87% 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% |
HEFA iShares Currency Hedged MSCI EAFE ETF | 2.87% | 3.01% | 25.14% | 3.06% | 2.10% | 5.37% | 4.58% | 2.55% | 3.17% | 3.54% | 3.39% | 0.00% |
Drawdowns
IDMO vs. HEFA - Drawdown Comparison
The maximum IDMO drawdown since its inception was -39.37%, which is greater than HEFA's maximum drawdown of -32.39%. Use the drawdown chart below to compare losses from any high point for IDMO and HEFA. For additional features, visit the drawdowns tool.
Volatility
IDMO vs. HEFA - Volatility Comparison
Invesco S&P International Developed Momentum ETF (IDMO) has a higher volatility of 4.10% compared to iShares Currency Hedged MSCI EAFE ETF (HEFA) at 2.96%. This indicates that IDMO's price experiences larger fluctuations and is considered to be riskier than HEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.