IVAL vs. IMOM
Compare and contrast key facts about Alpha Architect International Quantitative Value ETF (IVAL) and Alpha Architect International Quantitative Momentum ETF (IMOM).
IVAL and IMOM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. 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. Both IVAL and IMOM 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: IVAL or IMOM.
Key characteristics
| IVAL | IMOM | |
|---|---|---|
| YTD Return | 1.53% | 8.12% |
| 1Y Return | 12.75% | 19.14% |
| 3Y Return (Ann) | 3.16% | -3.96% |
| 5Y Return (Ann) | 1.35% | 4.29% |
| Sharpe Ratio | 0.86 | 1.21 |
| Sortino Ratio | 1.24 | 1.68 |
| Omega Ratio | 1.16 | 1.22 |
| Calmar Ratio | 0.75 | 0.67 |
| Martin Ratio | 3.10 | 5.02 |
| Ulcer Index | 4.30% | 4.05% |
| Daily Std Dev | 15.50% | 16.78% |
| Max Drawdown | -46.09% | -45.74% |
| Current Drawdown | -7.13% | -17.14% |
Correlation
The correlation between IVAL and IMOM 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
IVAL vs. IMOM - Performance Comparison
In the year-to-date period, IVAL achieves a 1.53% return, which is significantly lower than IMOM's 8.12% 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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IVAL vs. IMOM - Expense Ratio Comparison
Both IVAL and IMOM have an expense ratio of 0.59%.
Risk-Adjusted Performance
IVAL vs. IMOM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect International Quantitative Value ETF (IVAL) and Alpha Architect International Quantitative Momentum ETF (IMOM). 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
IVAL vs. IMOM - Dividend Comparison
IVAL's dividend yield for the trailing twelve months is around 3.85%, more than IMOM's 2.73% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
IMOM Alpha Architect International Quantitative Momentum ETF | 2.73% | 2.95% | 6.06% | 1.27% | 0.59% | 1.17% | 0.78% | 1.11% | 0.54% | 0.01% | 0.00% |
Drawdowns
IVAL vs. IMOM - Drawdown Comparison
The maximum IVAL drawdown since its inception was -46.09%, roughly equal to the maximum IMOM drawdown of -45.74%. Use the drawdown chart below to compare losses from any high point for IVAL and IMOM. For additional features, visit the drawdowns tool.
Volatility
IVAL vs. IMOM - Volatility Comparison
Alpha Architect International Quantitative Value ETF (IVAL) has a higher volatility of 4.38% compared to Alpha Architect International Quantitative Momentum ETF (IMOM) at 3.89%. This indicates that IVAL's price experiences larger fluctuations and is considered to be riskier than IMOM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.