IMOM vs. AVES
Compare and contrast key facts about Alpha Architect International Quantitative Momentum ETF (IMOM) and Avantis Emerging Markets Value ETF (AVES).
IMOM and AVES 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. AVES is an actively managed fund by American Century Investments. It was launched on Sep 28, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IMOM or AVES.
Key characteristics
| IMOM | AVES | |
|---|---|---|
| YTD Return | 6.98% | 7.00% |
| 1Y Return | 16.75% | 16.32% |
| 3Y Return (Ann) | -4.29% | 1.77% |
| Sharpe Ratio | 1.07 | 1.05 |
| Sortino Ratio | 1.50 | 1.52 |
| Omega Ratio | 1.19 | 1.19 |
| Calmar Ratio | 0.60 | 1.35 |
| Martin Ratio | 4.40 | 5.99 |
| Ulcer Index | 4.06% | 2.74% |
| Daily Std Dev | 16.79% | 15.61% |
| Max Drawdown | -45.74% | -27.40% |
| Current Drawdown | -18.01% | -8.25% |
Correlation
The correlation between IMOM and AVES is 0.70, 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.
Performance
IMOM vs. AVES - Performance Comparison
The year-to-date returns for both investments are quite close, with IMOM having a 6.98% return and AVES slightly higher at 7.00%. 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. AVES - Expense Ratio Comparison
IMOM has a 0.59% expense ratio, which is higher than AVES's 0.36% expense ratio.
Risk-Adjusted Performance
IMOM vs. AVES - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect International Quantitative Momentum ETF (IMOM) and Avantis Emerging Markets Value ETF (AVES). 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. AVES - Dividend Comparison
IMOM's dividend yield for the trailing twelve months is around 2.75%, less than AVES's 3.70% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
IMOM Alpha Architect International Quantitative Momentum ETF | 2.75% | 2.95% | 6.06% | 1.27% | 0.59% | 1.17% | 0.78% | 1.11% | 0.54% | 0.01% |
AVES Avantis Emerging Markets Value ETF | 3.70% | 3.96% | 3.70% | 0.62% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
IMOM vs. AVES - Drawdown Comparison
The maximum IMOM drawdown since its inception was -45.74%, which is greater than AVES's maximum drawdown of -27.40%. Use the drawdown chart below to compare losses from any high point for IMOM and AVES. For additional features, visit the drawdowns tool.
Volatility
IMOM vs. AVES - Volatility Comparison
The current volatility for Alpha Architect International Quantitative Momentum ETF (IMOM) is 4.02%, while Avantis Emerging Markets Value ETF (AVES) has a volatility of 5.59%. This indicates that IMOM experiences smaller price fluctuations and is considered to be less risky than AVES based on this measure. The chart below showcases a comparison of their rolling one-month volatility.