- ISIN
- US02072L3006
- CUSIP
- 02072L300
- Issuer
- Alpha Architect
- Inception Date
- Dec 22, 2015
- Region
- Developed Markets (Broad)
- Category
- Momentum, Foreign Large Cap Equities
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Blend
- Assets Under Management
- $157M
Highlights
- Avg. Volume (1M)
- 16K
- Avg. Volume Value (1M)
- $645.03K
Share Price Chart
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Performance
IMOM Performance Chart
Alpha Architect International Quantitative Momentum ETF (IMOM) is up 6.1% since the beginning of the year. IMOM is currently trading at $40 per share. Investors who bought $1,000 worth of IMOM shares 5 years ago would now be looking at an investment worth $1,323.
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Returns By Period
Alpha Architect International Quantitative Momentum ETF (IMOM) has returned 6.07% so far this year and 24.42% over the past 12 months. Over the last ten years, IMOM has returned 6.46% per year, falling short of the S&P 500 Index benchmark, which averaged 13.26% annually.
Alpha Architect International Quantitative Momentum ETF
- 1D
- 1.01%
- 1M
- -5.82%
- 6M
- -2.57%
- YTD
- 6.07%
- 1Y
- 24.42%
- 3Y*
- 19.43%
- 5Y*
- 5.76%
- 10Y*
- 6.46%
- ALL TIME*
- 6.86%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
IMOM Monthly Returns History
Based on dividend-adjusted daily data since Jan 4, 2016, IMOM's average daily return is +0.03%, while the average monthly return is +0.69%. At this rate, an investment would double in approximately 8.4 years.
Historically, 61% of months were positive and 39% were negative. The best month was Nov 2020 with a return of +12.4%, while the worst month was Mar 2020 at -14.1%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, IMOM closed higher 50% of trading days. The best single day was Mar 24, 2020 with a return of +9.5%, while the worst single day was Mar 12, 2020 at -10.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 8.87% | 9.05% | -11.99% | 11.78% | 2.99% | -5.62% | -6.56% | 6.07% | |||||
| 2025 | 5.46% | 0.86% | -0.11% | 6.88% | 6.24% | 6.03% | -2.31% | 4.32% | 5.88% | -0.56% | 3.82% | 3.31% | 47.20% |
| 2024 | 3.72% | 3.77% | 2.78% | -6.17% | 5.77% | -4.56% | 1.99% | 2.02% | 0.21% | -3.61% | 1.67% | -1.73% | 5.22% |
| 2023 | 5.12% | -0.81% | 1.91% | 0.06% | -5.63% | 3.36% | 2.17% | -2.67% | -4.46% | -3.43% | 10.68% | 3.64% | 9.15% |
| 2022 | -11.79% | -2.38% | 1.02% | -6.42% | 0.41% | -10.91% | 7.22% | -2.61% | -11.20% | 5.62% | 11.43% | -1.76% | -21.92% |
| 2021 | 0.87% | -1.89% | -1.35% | 4.02% | -0.90% | -0.04% | 4.42% | 2.31% | -7.89% | 3.17% | -3.72% | 0.94% | -0.75% |
Benchmark Metrics
Alpha Architect International Quantitative Momentum ETF has an annualized alpha of -2.21%, beta of 0.79, and R2 of 0.48 versus S&P 500 Index. Calculated based on daily prices since January 04, 2016.
- This ETF participated in 101.12% of S&P 500 Index downside but only 76.61% of its upside - more exposed to losses than it benefited from rallies.
- R2 of 0.48 means the benchmark explains less than half of this ETF's behavior - treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- -2.21%
- Beta
- 0.79
- R²
- 0.48
- Upside Capture
- 76.61%
- Downside Capture
- 101.12%
Expense Ratio
IMOM has an expense ratio of 0.38%, placing it in the medium range.
Return for Risk
Risk / Return Rank
IMOM ranks 44 for risk / return — above 44% of ETFs peers on PortfoliosLab. Its historical combined result is near the middle of the peer group.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for Alpha Architect International Quantitative Momentum ETF (IMOM) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| IMOM | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.28 | ||
| Sortino ratioReturn per unit of downside risk | -0.32 | ||
| Omega ratioGain probability vs. loss probability | 1.22 | 1.25 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 1.50 | 2.00 | -0.51 |
| Martin ratioReturn relative to average drawdown | 4.93 | 8.49 | -3.56 |
Dividends
Dividend History
Alpha Architect International Quantitative Momentum ETF provided a 2.38% dividend yield over the last twelve months, with an annual payout of $0.96 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.96 | $0.96 | $1.20 | $0.78 | $1.51 | $0.43 | $0.20 | $0.32 | $0.18 | $0.34 | $0.12 |
Dividend yield | 2.38% | 2.53% | 4.52% | 2.95% | 6.06% | 1.27% | 0.59% | 1.17% | 0.78% | 1.11% | 0.54% |
Monthly Dividends
The table displays the monthly dividend distributions for Alpha Architect International Quantitative Momentum ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | |||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.96 | $0.96 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.20 | $1.20 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.78 | $0.78 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.51 | $1.51 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.07 | $0.00 | $0.00 | $0.36 | $0.43 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Alpha Architect International Quantitative Momentum ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Alpha Architect International Quantitative Momentum ETF was 45.74%, occurring on Mar 18, 2020. Recovery took 179 trading sessions.
The current Alpha Architect International Quantitative Momentum ETF drawdown is 12.35%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-45.74%Mar 2020 | 2y 1mo | 8mo 18d | 2y 10moJan 2018 - Dec 2020 | COVID crash2020 |
-39.27%Sep 2022 | 1y 14d | 2y 8mo | 3y 9moSep 2021 - Jun 2025 | Bear market2022 |
-16.75%Jul 2026 | 2mo 3d | — | 2mo 7dMay 2026 - now | — |
-16.48%Dec 2016 | 4mo 24d | 5mo 11d | 10mo 5dAug 2016 - Jun 2017 | — |
-16.22%Mar 2021 | 19d | 6mo 3d | 6mo 22dFeb 2021 - Sep 2021 | — |
Drawdown Indicators
| IMOM | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.74% | -56.78% | +11.04% |
Max Drawdown (1Y)Largest decline over 1 year | -16.75% | -9.10% | -7.65% |
Max Drawdown (3Y)Largest decline over 3 years | -17.51% | -18.90% | +1.39% |
Max Drawdown (5Y)Largest decline over 5 years | -39.27% | -25.43% | -13.84% |
Max Drawdown (10Y)Largest decline over 10 years | -45.74% | -33.92% | -11.82% |
Current DrawdownCurrent decline from peak | -12.35% | -1.58% | -10.77% |
Average DrawdownAverage peak-to-trough decline | -14.08% | -10.70% | -3.38% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.07% | 2.14% | +2.93% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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