IMOM vs. MBOX

Last updated Jun 5, 2026

IMOM (Alpha Architect International Quantitative Momentum ETF) and MBOX (Freedom Day Dividend ETF) are both exchange-traded funds - IMOM is a Momentum fund tracking the Alpha Architect Intern.Quan. Mome. (USD)(TR), while MBOX is a Dividend fund actively managed by EMPIRICAL FINANCE LLC. IMOM is passively managed, while MBOX is actively managed. Over the past 5 years, IMOM returned 8.31%/yr vs 12.07%/yr for MBOX. A 0.60 correlation means they provide meaningful diversification when combined. IMOM charges 0.38%/yr vs 0.39%/yr for MBOX.

Performance

IMOM vs. MBOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Alpha Architect International Quantitative Momentum ETF (IMOM) and Freedom Day Dividend ETF (MBOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with IMOM having a 17.37% return and MBOX slightly lower at 16.59%.

IMOM

• 1D: -0.58%
• 1M: -0.16%
• YTD: 17.37%
• 6M: 21.81%
• 1Y: 40.53%
• 3Y*: 25.09%
• 5Y*: 8.31%
• 10Y*: 7.87%

MBOX

• 1D: 0.96%
• 1M: 5.18%
• YTD: 16.59%
• 6M: 16.07%
• 1Y: 25.86%
• 3Y*: 20.24%
• 5Y*: 12.07%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

IMOM vs. MBOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
IMOM Alpha Architect International Quantitative Momentum ETF	17.37%	47.20%	5.22%	9.15%	-21.92%	-0.55%
MBOX Freedom Day Dividend ETF	16.59%	8.72%	16.39%	15.84%	-4.32%	9.48%

Correlation

The correlation between IMOM and MBOX is 0.50, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.50
Correlation (3Y) Calculated over the trailing 3-year period	0.55
Correlation (5Y) Calculated over the trailing 5-year period	0.60
Correlation (All Time) Calculated using the full available price history since May 6, 2021	0.60

The correlation between IMOM and MBOX shifts across timeframes, from 0.50 (1 year) to 0.60 (5 years), reflecting how their relationship changes across market environments.

IMOM vs. MBOX - Sectors Allocation Comparison

Sectors	IMOM	MBOX
Industrials	33.2%	8.2%
Basic Materials	19.4%	3.8%
Technology	15.8%	18.3%
Utilities	12.4%	2.2%
Real Estate	4.2%	3.4%
Financial Services	4.1%	25.0%
Communication Services	3.9%	2.0%
Healthcare	3.3%	13.4%
Energy	1.9%	14.1%
Consumer Cyclical	1.7%	1.7%
Consumer Defensive	-	8.0%

Return for Risk

IMOM vs. MBOX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

IMOM

IMOM Risk / Return Rank: 61
IMOM Sharpe Ratio Rank: 64
IMOM Sortino Ratio Rank: 61
IMOM Omega Ratio Rank: 64
IMOM Calmar Ratio Rank: 54
IMOM Martin Ratio Rank: 62

MBOX

MBOX Risk / Return Rank: 78
MBOX Sharpe Ratio Rank: 75
MBOX Sortino Ratio Rank: 79
MBOX Omega Ratio Rank: 73
MBOX Calmar Ratio Rank: 84
MBOX Martin Ratio Rank: 78

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

IMOM vs. MBOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect International Quantitative Momentum ETF (IMOM) and Freedom Day Dividend ETF (MBOX). 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	MBOX	Difference
Sharpe ratio: Return per unit of total volatility	2.09	2.41	-0.32
Sortino ratio: Return per unit of downside risk	2.82	3.49	-0.68
Omega ratio: Gain probability vs. loss probability	1.38	1.43	-0.04
Calmar ratio: Return relative to maximum drawdown	2.61	4.52	-1.91
Martin ratio: Return relative to average drawdown	10.98	14.98	-4.01
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

IMOM vs. MBOX - Sharpe Ratio Comparison

The current IMOM Sharpe Ratio is 2.09, which is comparable to the MBOX Sharpe Ratio of 2.41. The chart below compares the historical Sharpe Ratios of IMOM and MBOX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	IMOM	MBOX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.09	2.41	-0.32
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.42	0.84	-0.42
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.39	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.84	-0.45

Drawdowns

IMOM vs. MBOX - Drawdown Comparison

The maximum IMOM drawdown since its inception was -45.74%, which is greater than MBOX's maximum drawdown of -16.42%. Use the drawdown chart below to compare losses from any high point for IMOM and MBOX.

Drawdown Indicators

	IMOM	MBOX	Difference
Max Drawdown Largest peak-to-trough decline	-45.74%	-16.42%	-29.32%
Max Drawdown (1Y) Largest decline over 1 year	-15.61%	-5.75%	-9.86%
Max Drawdown (3Y) Largest decline over 3 years	-17.51%	-16.37%	-1.14%
Max Drawdown (5Y) Largest decline over 5 years	-39.27%	-16.42%	-22.85%
Max Drawdown (10Y) Largest decline over 10 years	-45.74%	—	—
Current Drawdown Current decline from peak	-3.01%	0.00%	-3.01%
Average Drawdown Average peak-to-trough decline	-14.17%	-3.46%	-10.71%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.70%	1.73%	+1.97%

Volatility

IMOM vs. MBOX - Volatility Comparison

Alpha Architect International Quantitative Momentum ETF (IMOM) has a higher volatility of 6.17% compared to Freedom Day Dividend ETF (MBOX) at 3.17%. This indicates that IMOM's price experiences larger fluctuations and is considered to be riskier than MBOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	IMOM	MBOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.17%	3.17%	+3.00%
Volatility (6M) Calculated over the trailing 6-month period	16.75%	7.84%	+8.91%
Volatility (1Y) Calculated over the trailing 1-year period	19.48%	10.78%	+8.70%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.84%	14.50%	+5.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.20%	14.47%	+5.73%

IMOM vs. MBOX - Expense Ratio Comparison

IMOM has a 0.38% expense ratio, which is lower than MBOX's 0.39% expense ratio.

Dividends

IMOM vs. MBOX - Dividend Comparison

IMOM's dividend yield for the trailing twelve months is around 2.15%, more than MBOX's 1.87% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
IMOM Alpha Architect International Quantitative Momentum ETF	2.15%	2.53%	4.52%	2.95%	6.06%	1.27%	0.59%	1.17%	0.78%	1.11%	0.54%
MBOX Freedom Day Dividend ETF	1.87%	1.94%	1.60%	2.13%	2.87%	1.17%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both IMOM and MBOX in my portfolio?

IMOM and MBOX have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, IMOM or MBOX?

IMOM has higher volatility (6.17%) compared to MBOX (3.17%). In terms of maximum drawdown, IMOM dropped -45.74% vs MBOX's -16.42%.

Which ETF is better, IMOM or MBOX?

On 5-year performance, MBOX leads with 12.07% vs 8.31% for IMOM. On fees, IMOM is cheaper at 0.38% per year. On volatility, MBOX has been the lower-risk option at 3.17%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, IMOM or MBOX?

Over the 5-year period, MBOX has performed better with a 12.07% return vs 8.31%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, IMOM or MBOX?

IMOM is cheaper with a 0.38% expense ratio, compared with 0.39% for MBOX.

Which ETF pays a higher dividend yield, IMOM or MBOX?

IMOM has the higher dividend yield at 2.15%, compared with 1.87% for MBOX.

What is the main difference between IMOM and MBOX?

IMOM is categorized as Momentum, while MBOX is Dividend. They also come from different issuers: Alpha Architect and EMPIRICAL FINANCE LLC. Their fees differ too: 0.38% for IMOM and 0.39% for MBOX.

Which has better risk-adjusted returns?

MBOX currently has the higher Sharpe Ratio (2.41 vs 2.09), 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.