IMOM vs. HDMV
Compare and contrast key facts about Alpha Architect International Quantitative Momentum ETF (IMOM) and First Trust Horizon Managed Volatility Developed Intl ETF (HDMV).
IMOM and HDMV 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. HDMV is an actively managed fund by First Trust. It was launched on Aug 24, 2016.
Performance
IMOM vs. HDMV - Performance Comparison
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IMOM vs. HDMV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IMOM Alpha Architect International Quantitative Momentum ETF | 4.48% | 47.20% | 5.22% | 9.15% | -21.92% | -0.75% | 28.39% | 18.26% | -23.07% | 34.83% |
HDMV First Trust Horizon Managed Volatility Developed Intl ETF | 4.18% | 29.31% | 2.99% | 9.62% | -11.47% | 7.39% | -9.42% | 15.00% | -7.60% | 27.49% |
Returns By Period
In the year-to-date period, IMOM achieves a 4.48% return, which is significantly higher than HDMV's 4.18% return.
IMOM
- 1D
- 4.18%
- 1M
- -11.99%
- YTD
- 4.48%
- 6M
- 11.43%
- 1Y
- 44.75%
- 3Y*
- 18.46%
- 5Y*
- 6.53%
- 10Y*
- 7.19%
HDMV
- 1D
- 2.14%
- 1M
- -6.09%
- YTD
- 4.18%
- 6M
- 7.46%
- 1Y
- 20.52%
- 3Y*
- 12.99%
- 5Y*
- 7.11%
- 10Y*
- —
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IMOM vs. HDMV - Expense Ratio Comparison
IMOM has a 0.59% expense ratio, which is lower than HDMV's 0.80% expense ratio.
Return for Risk
IMOM vs. HDMV — Risk / Return Rank
IMOM
HDMV
IMOM vs. HDMV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect International Quantitative Momentum ETF (IMOM) and First Trust Horizon Managed Volatility Developed Intl ETF (HDMV). 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.
| IMOM | HDMV | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.01 | 1.57 | +0.44 |
Sortino ratioReturn per unit of downside risk | 2.57 | 2.04 | +0.53 |
Omega ratioGain probability vs. loss probability | 1.39 | 1.31 | +0.08 |
Calmar ratioReturn relative to maximum drawdown | 2.72 | 2.28 | +0.44 |
Martin ratioReturn relative to average drawdown | 11.73 | 8.16 | +3.56 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| IMOM | HDMV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.01 | 1.57 | +0.44 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.33 | 0.60 | -0.27 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.36 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.34 | 0.41 | -0.07 |
Correlation
The correlation between IMOM and HDMV 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.
Dividends
IMOM vs. HDMV - Dividend Comparison
IMOM's dividend yield for the trailing twelve months is around 2.42%, less than HDMV's 4.70% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
IMOM Alpha Architect International Quantitative Momentum ETF | 2.42% | 2.53% | 4.52% | 2.95% | 6.06% | 1.27% | 0.59% | 1.17% | 0.78% | 1.11% | 0.54% |
HDMV First Trust Horizon Managed Volatility Developed Intl ETF | 4.70% | 5.09% | 3.24% | 3.14% | 3.53% | 3.11% | 1.45% | 3.63% | 2.88% | 3.23% | 0.18% |
Drawdowns
IMOM vs. HDMV - Drawdown Comparison
The maximum IMOM drawdown since its inception was -45.74%, which is greater than HDMV's maximum drawdown of -32.01%. Use the drawdown chart below to compare losses from any high point for IMOM and HDMV.
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Drawdown Indicators
| IMOM | HDMV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.74% | -32.01% | -13.73% |
Max Drawdown (1Y)Largest decline over 1 year | -15.61% | -8.73% | -6.88% |
Max Drawdown (5Y)Largest decline over 5 years | -39.27% | -24.11% | -15.16% |
Max Drawdown (10Y)Largest decline over 10 years | -45.74% | — | — |
Current DrawdownCurrent decline from peak | -12.08% | -6.09% | -5.99% |
Average DrawdownAverage peak-to-trough decline | -14.37% | -6.83% | -7.54% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.61% | 2.44% | +1.17% |
Volatility
IMOM vs. HDMV - Volatility Comparison
Alpha Architect International Quantitative Momentum ETF (IMOM) has a higher volatility of 10.61% compared to First Trust Horizon Managed Volatility Developed Intl ETF (HDMV) at 6.07%. This indicates that IMOM's price experiences larger fluctuations and is considered to be riskier than HDMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| IMOM | HDMV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.61% | 6.07% | +4.54% |
Volatility (6M)Calculated over the trailing 6-month period | 15.14% | 8.25% | +6.89% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.43% | 13.16% | +9.27% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.93% | 11.94% | +7.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.09% | 13.23% | +6.86% |