IDMO vs. VTSAX
Compare and contrast key facts about Invesco S&P International Developed Momentum ETF (IDMO) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX).
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. VTSAX is managed by Vanguard. It was launched on Nov 13, 2000.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IDMO or VTSAX.
Performance
IDMO vs. VTSAX - Performance Comparison
Returns By Period
In the year-to-date period, IDMO achieves a 14.30% return, which is significantly lower than VTSAX's 23.58% return. Over the past 10 years, IDMO has underperformed VTSAX with an annualized return of 9.47%, while VTSAX has yielded a comparatively higher 12.59% annualized return.
IDMO
14.30%
-1.97%
1.41%
22.43%
12.38%
9.47%
VTSAX
23.58%
0.83%
11.42%
32.29%
14.64%
12.59%
Key characteristics
| IDMO | VTSAX | |
|---|---|---|
| Sharpe Ratio | 1.46 | 2.57 |
| Sortino Ratio | 1.96 | 3.44 |
| Omega Ratio | 1.26 | 1.47 |
| Calmar Ratio | 2.02 | 3.77 |
| Martin Ratio | 8.45 | 16.47 |
| Ulcer Index | 2.73% | 1.96% |
| Daily Std Dev | 15.80% | 12.55% |
| Max Drawdown | -39.37% | -55.34% |
| Current Drawdown | -3.31% | -2.42% |
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IDMO vs. VTSAX - Expense Ratio Comparison
IDMO has a 0.25% expense ratio, which is higher than VTSAX's 0.04% 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%.
Correlation
The correlation between IDMO and VTSAX is 0.50, 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. VTSAX - 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 Total Stock Market Index Fund Admiral Shares (VTSAX). 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. VTSAX - Dividend Comparison
IDMO's dividend yield for the trailing twelve months is around 2.28%, more than VTSAX's 1.28% 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% |
VTSAX Vanguard Total Stock Market Index Fund Admiral Shares | 1.28% | 1.43% | 1.65% | 1.20% | 1.41% | 1.77% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% |
Drawdowns
IDMO vs. VTSAX - Drawdown Comparison
The maximum IDMO drawdown since its inception was -39.37%, smaller than the maximum VTSAX drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for IDMO and VTSAX. For additional features, visit the drawdowns tool.
Volatility
IDMO vs. VTSAX - Volatility Comparison
Invesco S&P International Developed Momentum ETF (IDMO) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) have volatilities of 4.10% and 4.25%, 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.