IMOM vs. DGS
IMOM (Alpha Architect International Quantitative Momentum ETF) and DGS (WisdomTree Emerging Markets SmallCap Dividend Fund) are both exchange-traded funds - IMOM is a Momentum fund tracking the Alpha Architect Intern.Quan. Mome. (USD)(TR), while DGS is a Emerging Markets Diversified fund tracking the WisdomTree Emerging Markets SmallCap Dividend Index. Both are passively managed. Over the past 10 years, IMOM returned 7.70%/yr vs 10.20%/yr for DGS. A 0.61 correlation means they provide meaningful diversification when combined. IMOM charges 0.38%/yr vs 0.58%/yr for DGS.
Performance
IMOM vs. DGS - Performance Comparison
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Returns By Period
In the year-to-date period, IMOM achieves a 17.21% return, which is significantly higher than DGS's 16.30% return. Over the past 10 years, IMOM has underperformed DGS with an annualized return of 7.70%, while DGS has yielded a comparatively higher 10.20% annualized return.
IMOM
- 1D
- 1.08%
- 1M
- -0.40%
- YTD
- 17.21%
- 6M
- 17.04%
- 1Y
- 40.78%
- 3Y*
- 24.53%
- 5Y*
- 9.06%
- 10Y*
- 7.70%
DGS
- 1D
- -0.18%
- 1M
- 2.28%
- YTD
- 16.30%
- 6M
- 17.62%
- 1Y
- 28.60%
- 3Y*
- 16.75%
- 5Y*
- 8.53%
- 10Y*
- 10.20%
IMOM vs. DGS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IMOM Alpha Architect International Quantitative Momentum ETF | 17.21% | 47.20% | 5.22% | 9.15% | -21.92% | -0.75% | 28.39% | 18.26% | -23.07% | 34.83% |
DGS WisdomTree Emerging Markets SmallCap Dividend Fund | 16.30% | 21.18% | 1.13% | 19.08% | -12.35% | 15.33% | 4.06% | 18.90% | -16.52% | 37.47% |
Correlation
The correlation between IMOM and DGS is 0.69, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.69 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.65 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.70 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.63 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016 | 0.61 |
The correlation between IMOM and DGS has been stable across timeframes, ranging from 0.61 to 0.70 - a consistent structural relationship.
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Return for Risk
IMOM vs. DGS — Risk / Return Rank
IMOM
DGS
IMOM vs. DGS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect International Quantitative Momentum ETF (IMOM) and WisdomTree Emerging Markets SmallCap Dividend Fund (DGS). 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.
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 | DGS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.27 | ||
| Sortino ratioReturn per unit of downside risk | +0.30 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.32 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 2.63 | 2.86 | -0.23 |
| Martin ratioReturn relative to average drawdown | 10.55 | 9.43 | +1.12 |
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Drawdowns
IMOM vs. DGS - Drawdown Comparison
The maximum IMOM drawdown since its inception was -45.74%, smaller than the maximum DGS drawdown of -61.83%. Use the drawdown chart below to compare losses from any high point for IMOM and DGS.
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Drawdown Indicators
| IMOM | DGS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.74% | -61.83% | +16.09% |
Max Drawdown (1Y)Largest decline over 1 year | -15.61% | -10.06% | -5.55% |
Max Drawdown (3Y)Largest decline over 3 years | -17.51% | -19.31% | +1.80% |
Max Drawdown (5Y)Largest decline over 5 years | -39.27% | -24.86% | -14.41% |
Max Drawdown (10Y)Largest decline over 10 years | -45.74% | -44.08% | -1.66% |
Current DrawdownCurrent decline from peak | -3.14% | -0.38% | -2.76% |
Average DrawdownAverage peak-to-trough decline | -14.13% | -12.56% | -1.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.88% | 3.04% | +0.84% |
Volatility
IMOM vs. DGS - Volatility Comparison
Alpha Architect International Quantitative Momentum ETF (IMOM) has a higher volatility of 7.84% compared to WisdomTree Emerging Markets SmallCap Dividend Fund (DGS) at 7.20%. This indicates that IMOM's price experiences larger fluctuations and is considered to be riskier than DGS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| IMOM | DGS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.84% | 7.20% | +0.64% |
Volatility (6M)Calculated over the trailing 6-month period | 17.99% | 14.41% | +3.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.51% | 16.63% | +3.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.03% | 15.13% | +4.90% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.26% | 17.39% | +2.87% |
IMOM vs. DGS - Expense Ratio Comparison
IMOM has a 0.38% expense ratio, which is lower than DGS's 0.58% expense ratio.
Dividends
IMOM vs. DGS - Dividend Comparison
IMOM's dividend yield for the trailing twelve months is around 2.16%, less than DGS's 3.16% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGS WisdomTree Emerging Markets SmallCap Dividend Fund | 3.16% | 3.45% | 3.36% | 4.55% | 5.34% | 3.98% | 3.69% | 3.95% | 4.24% | 2.81% | 3.42% | 3.28% |
IMOM Alpha Architect International Quantitative Momentum ETF | 2.16% | 2.53% | 4.52% | 2.95% | 6.06% | 1.27% | 0.59% | 1.17% | 0.78% | 1.11% | 0.54% | 0.00% |
Frequently Asked Questions
IMOM and DGS have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IMOM has higher volatility (7.84%) compared to DGS (7.20%). In terms of maximum drawdown, IMOM dropped -45.74% vs DGS's -61.83%.
On 10-year performance, DGS leads with 10.20% vs 7.70% for IMOM. On fees, IMOM is cheaper at 0.38% per year. On volatility, DGS has been the lower-risk option at 7.20%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, DGS has performed better with a 10.20% return vs 7.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IMOM is cheaper with a 0.38% expense ratio, compared with 0.58% for DGS.
DGS has the higher dividend yield at 3.16%, compared with 2.16% for IMOM.
IMOM is categorized as Momentum, while DGS is Emerging Markets Diversified. IMOM tracks Alpha Architect Intern.Quan. Mome. (USD)(TR), while DGS tracks WisdomTree Emerging Markets SmallCap Dividend Index. They also come from different issuers: Alpha Architect and WisdomTree. Their fees differ too: 0.38% for IMOM and 0.58% for DGS.
IMOM currently has the higher Sharpe Ratio (2.00 vs 1.73), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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