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

Correlation

The correlation between IDMO and VIGI is 0.66, 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.


-0.50.00.51.00.7

Performance

IDMO vs. VIGI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P International Developed Momentum ETF (IDMO) and Vanguard International Dividend Appreciation ETF (VIGI). 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%JulyAugustSeptemberOctoberNovemberDecember
137.18%
89.33%
IDMO
VIGI

Key characteristics

Sharpe Ratio

IDMO:

0.99

VIGI:

0.46

Sortino Ratio

IDMO:

1.39

VIGI:

0.72

Omega Ratio

IDMO:

1.18

VIGI:

1.08

Calmar Ratio

IDMO:

1.39

VIGI:

0.53

Martin Ratio

IDMO:

5.63

VIGI:

1.67

Ulcer Index

IDMO:

2.82%

VIGI:

3.21%

Daily Std Dev

IDMO:

16.00%

VIGI:

11.64%

Max Drawdown

IDMO:

-39.37%

VIGI:

-31.01%

Current Drawdown

IDMO:

-5.43%

VIGI:

-10.21%

Returns By Period

In the year-to-date period, IDMO achieves a 13.83% return, which is significantly higher than VIGI's 2.17% return.


IDMO

YTD

13.83%

1M

-1.13%

6M

2.13%

1Y

16.81%

5Y*

11.47%

10Y*

9.53%

VIGI

YTD

2.17%

1M

-2.57%

6M

-0.39%

1Y

5.36%

5Y*

5.08%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


IDMO vs. VIGI - Expense Ratio Comparison

IDMO has a 0.25% expense ratio, which is higher than VIGI's 0.15% 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%.


IDMO
Invesco S&P International Developed Momentum ETF
Expense ratio chart for IDMO: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for VIGI: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

IDMO vs. VIGI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P International Developed Momentum ETF (IDMO) and Vanguard International Dividend Appreciation ETF (VIGI). 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.


Sharpe ratio
The chart of Sharpe ratio for IDMO, currently valued at 1.05, compared to the broader market0.002.004.001.050.46
The chart of Sortino ratio for IDMO, currently valued at 1.46, compared to the broader market-2.000.002.004.006.008.0010.001.460.72
The chart of Omega ratio for IDMO, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.08
The chart of Calmar ratio for IDMO, currently valued at 1.47, compared to the broader market0.005.0010.0015.001.470.53
The chart of Martin ratio for IDMO, currently valued at 5.92, compared to the broader market0.0020.0040.0060.0080.00100.005.921.67
IDMO
VIGI

The current IDMO Sharpe Ratio is 0.99, which is higher than the VIGI Sharpe Ratio of 0.46. The chart below compares the historical Sharpe Ratios of IDMO and VIGI, 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.05
0.46
IDMO
VIGI

Dividends

IDMO vs. VIGI - Dividend Comparison

IDMO's dividend yield for the trailing twelve months is around 1.98%, more than VIGI's 1.61% yield.


TTM20232022202120202019201820172016201520142013
IDMO
Invesco S&P International Developed Momentum ETF
1.98%2.89%3.66%1.81%1.64%2.10%3.27%3.08%2.18%2.52%2.18%1.70%
VIGI
Vanguard International Dividend Appreciation ETF
1.61%1.92%2.06%7.02%1.29%1.83%1.99%1.75%0.98%0.00%0.00%0.00%

Drawdowns

IDMO vs. VIGI - Drawdown Comparison

The maximum IDMO drawdown since its inception was -39.37%, which is greater than VIGI's maximum drawdown of -31.01%. Use the drawdown chart below to compare losses from any high point for IDMO and VIGI. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.43%
-10.21%
IDMO
VIGI

Volatility

IDMO vs. VIGI - Volatility Comparison

Invesco S&P International Developed Momentum ETF (IDMO) has a higher volatility of 4.29% compared to Vanguard International Dividend Appreciation ETF (VIGI) at 3.67%. This indicates that IDMO's price experiences larger fluctuations and is considered to be riskier than VIGI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
4.29%
3.67%
IDMO
VIGI
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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