IMOM vs. IVAL
Compare and contrast key facts about Alpha Architect International Quantitative Momentum ETF (IMOM) and Alpha Architect International Quantitative Value ETF (IVAL).
IMOM and IVAL 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. IVAL is a passively managed fund by EMPIRICAL FINANCE LLC that tracks the performance of the IVAL-US - Alpha Architect International Quantitative Value Index. It was launched on Dec 17, 2014. Both IMOM and IVAL 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 IVAL.
Key characteristics
| IMOM | IVAL | |
|---|---|---|
| YTD Return | 7.66% | 1.57% |
| 1Y Return | 19.86% | 13.36% |
| 3Y Return (Ann) | -4.26% | 2.92% |
| 5Y Return (Ann) | 4.08% | 1.32% |
| Sharpe Ratio | 1.17 | 0.90 |
| Sortino Ratio | 1.63 | 1.28 |
| Omega Ratio | 1.21 | 1.17 |
| Calmar Ratio | 0.63 | 0.77 |
| Martin Ratio | 4.84 | 3.25 |
| Ulcer Index | 4.05% | 4.28% |
| Daily Std Dev | 16.77% | 15.48% |
| Max Drawdown | -45.74% | -46.09% |
| Current Drawdown | -17.49% | -7.09% |
Correlation
The correlation between IMOM and IVAL is 0.67, 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. IVAL - Performance Comparison
In the year-to-date period, IMOM achieves a 7.66% return, which is significantly higher than IVAL's 1.57% 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. IVAL - Expense Ratio Comparison
Both IMOM and IVAL have an expense ratio of 0.59%.
Risk-Adjusted Performance
IMOM vs. IVAL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect International Quantitative Momentum ETF (IMOM) and Alpha Architect International Quantitative Value ETF (IVAL). 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. IVAL - Dividend Comparison
IMOM's dividend yield for the trailing twelve months is around 2.74%, less than IVAL's 3.85% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% |
IVAL Alpha Architect International Quantitative Value ETF | 3.85% | 5.14% | 8.00% | 3.95% | 2.07% | 2.51% | 2.93% | 1.73% | 2.02% | 1.86% | 0.21% |
Drawdowns
IMOM vs. IVAL - Drawdown Comparison
The maximum IMOM drawdown since its inception was -45.74%, roughly equal to the maximum IVAL drawdown of -46.09%. Use the drawdown chart below to compare losses from any high point for IMOM and IVAL. For additional features, visit the drawdowns tool.
Volatility
IMOM vs. IVAL - Volatility Comparison
The current volatility for Alpha Architect International Quantitative Momentum ETF (IMOM) is 4.00%, while Alpha Architect International Quantitative Value ETF (IVAL) has a volatility of 4.41%. This indicates that IMOM experiences smaller price fluctuations and is considered to be less risky than IVAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.