IMOM vs. AVDV
Compare and contrast key facts about Alpha Architect International Quantitative Momentum ETF (IMOM) and Avantis International Small Cap Value ETF (AVDV).
IMOM and AVDV 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. AVDV is an actively managed fund by American Century Investments. It was launched on Sep 24, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IMOM or AVDV.
Key characteristics
| IMOM | AVDV | |
|---|---|---|
| YTD Return | 7.66% | 9.82% |
| 1Y Return | 19.86% | 23.35% |
| 3Y Return (Ann) | -4.26% | 3.59% |
| 5Y Return (Ann) | 4.08% | 7.84% |
| Sharpe Ratio | 1.17 | 1.63 |
| Sortino Ratio | 1.63 | 2.24 |
| Omega Ratio | 1.21 | 1.28 |
| Calmar Ratio | 0.63 | 2.22 |
| Martin Ratio | 4.84 | 9.54 |
| Ulcer Index | 4.05% | 2.48% |
| Daily Std Dev | 16.77% | 14.50% |
| Max Drawdown | -45.74% | -43.01% |
| Current Drawdown | -17.49% | -5.24% |
Correlation
The correlation between IMOM and AVDV is 0.78, 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. AVDV - Performance Comparison
In the year-to-date period, IMOM achieves a 7.66% return, which is significantly lower than AVDV's 9.82% return. 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. AVDV - Expense Ratio Comparison
IMOM has a 0.59% expense ratio, which is higher than AVDV's 0.36% expense ratio.
Risk-Adjusted Performance
IMOM vs. AVDV - 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 Small Cap Value ETF (AVDV). 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. AVDV - Dividend Comparison
IMOM's dividend yield for the trailing twelve months is around 2.74%, less than AVDV's 3.07% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
IMOM Alpha Architect International Quantitative Momentum ETF | 2.74% | 2.95% | 6.06% | 1.27% | 0.59% | 1.17% | 0.78% | 1.11% | 0.54% | 0.01% |
AVDV Avantis International Small Cap Value ETF | 3.07% | 3.29% | 3.17% | 2.39% | 1.67% | 0.36% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
IMOM vs. AVDV - Drawdown Comparison
The maximum IMOM drawdown since its inception was -45.74%, which is greater than AVDV's maximum drawdown of -43.01%. Use the drawdown chart below to compare losses from any high point for IMOM and AVDV. For additional features, visit the drawdowns tool.
Volatility
IMOM vs. AVDV - Volatility Comparison
Alpha Architect International Quantitative Momentum ETF (IMOM) has a higher volatility of 4.00% compared to Avantis International Small Cap Value ETF (AVDV) at 3.77%. This indicates that IMOM's price experiences larger fluctuations and is considered to be riskier than AVDV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.