IMOM vs. AVDE
Compare and contrast key facts about Alpha Architect International Quantitative Momentum ETF (IMOM) and Avantis International Equity ETF (AVDE).
IMOM and AVDE are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IMOM is a passively managed fund by EMPIRICAL FINANCE LLC that tracks the performance of the Alpha Architect Intern.Quan. Mome. (USD)(TR). It was launched on Dec 23, 2015. AVDE is a passively managed fund by American Century Investments that tracks the performance of the MSCI World ex-USA IMI Index. It was launched on Sep 24, 2019. Both IMOM and AVDE 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: IMOM or AVDE.
Key characteristics
| IMOM | AVDE | |
|---|---|---|
| YTD Return | 5.95% | 5.74% |
| 1Y Return | 12.16% | 13.65% |
| 3Y Return (Ann) | -4.59% | 1.75% |
| 5Y Return (Ann) | 3.85% | 6.28% |
| Sharpe Ratio | 0.93 | 1.27 |
| Sortino Ratio | 1.34 | 1.82 |
| Omega Ratio | 1.17 | 1.22 |
| Calmar Ratio | 0.56 | 1.97 |
| Martin Ratio | 3.84 | 7.14 |
| Ulcer Index | 4.07% | 2.35% |
| Daily Std Dev | 16.79% | 13.19% |
| Max Drawdown | -45.74% | -36.99% |
| Current Drawdown | -18.80% | -7.32% |
Correlation
The correlation between IMOM and AVDE is 0.82, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
IMOM vs. AVDE - Performance Comparison
The year-to-date returns for both stocks are quite close, with IMOM having a 5.95% return and AVDE slightly lower at 5.74%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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IMOM vs. AVDE - Expense Ratio Comparison
IMOM has a 0.59% expense ratio, which is higher than AVDE's 0.23% expense ratio.
Risk-Adjusted Performance
IMOM vs. AVDE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect International Quantitative Momentum ETF (IMOM) and Avantis International Equity ETF (AVDE). 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
IMOM vs. AVDE - Dividend Comparison
IMOM's dividend yield for the trailing twelve months is around 2.78%, less than AVDE's 3.10% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
IMOM Alpha Architect International Quantitative Momentum ETF | 2.78% | 2.95% | 6.06% | 1.27% | 0.59% | 1.17% | 0.78% | 1.11% | 0.54% | 0.01% |
AVDE Avantis International Equity ETF | 3.10% | 3.01% | 2.79% | 2.46% | 1.63% | 0.29% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
IMOM vs. AVDE - Drawdown Comparison
The maximum IMOM drawdown since its inception was -45.74%, which is greater than AVDE's maximum drawdown of -36.99%. Use the drawdown chart below to compare losses from any high point for IMOM and AVDE. For additional features, visit the drawdowns tool.
Volatility
IMOM vs. AVDE - Volatility Comparison
Alpha Architect International Quantitative Momentum ETF (IMOM) and Avantis International Equity ETF (AVDE) have volatilities of 4.12% and 3.94%, 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.