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IVAL vs. IMOM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.7

Performance

IVAL vs. IMOM - Performance Comparison

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

-10.00%-5.00%0.00%5.00%AugustSeptemberOctoberNovemberDecember2025
-0.01%
3.64%
IVAL
IMOM

Key characteristics

Sharpe Ratio

IVAL:

0.03

IMOM:

0.30

Sortino Ratio

IVAL:

0.14

IMOM:

0.51

Omega Ratio

IVAL:

1.02

IMOM:

1.07

Calmar Ratio

IVAL:

0.03

IMOM:

0.18

Martin Ratio

IVAL:

0.08

IMOM:

1.11

Ulcer Index

IVAL:

5.65%

IMOM:

4.52%

Daily Std Dev

IVAL:

15.37%

IMOM:

16.61%

Max Drawdown

IVAL:

-46.09%

IMOM:

-45.74%

Current Drawdown

IVAL:

-7.56%

IMOM:

-16.65%

Returns By Period

In the year-to-date period, IVAL achieves a 1.75% return, which is significantly lower than IMOM's 3.35% return.


IVAL

YTD

1.75%

1M

1.16%

6M

-0.01%

1Y

-0.08%

5Y*

1.40%

10Y*

3.06%

IMOM

YTD

3.35%

1M

2.89%

6M

3.64%

1Y

5.62%

5Y*

3.17%

10Y*

N/A

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


IVAL vs. IMOM - Expense Ratio Comparison

Both IVAL and IMOM have an expense ratio of 0.59%.


IVAL
Alpha Architect International Quantitative Value ETF
Expense ratio chart for IVAL: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for IMOM: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%

Risk-Adjusted Performance

IVAL vs. IMOM — Risk-Adjusted Performance Rank

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

IVAL
The Risk-Adjusted Performance Rank of IVAL is 88
Overall Rank
The Sharpe Ratio Rank of IVAL is 88
Sharpe Ratio Rank
The Sortino Ratio Rank of IVAL is 77
Sortino Ratio Rank
The Omega Ratio Rank of IVAL is 77
Omega Ratio Rank
The Calmar Ratio Rank of IVAL is 88
Calmar Ratio Rank
The Martin Ratio Rank of IVAL is 88
Martin Ratio Rank

IMOM
The Risk-Adjusted Performance Rank of IMOM is 1313
Overall Rank
The Sharpe Ratio Rank of IMOM is 1313
Sharpe Ratio Rank
The Sortino Ratio Rank of IMOM is 1212
Sortino Ratio Rank
The Omega Ratio Rank of IMOM is 1212
Omega Ratio Rank
The Calmar Ratio Rank of IMOM is 1313
Calmar Ratio Rank
The Martin Ratio Rank of IMOM is 1515
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


Sharpe ratio
The chart of Sharpe ratio for IVAL, currently valued at 0.03, compared to the broader market0.002.004.000.030.30
The chart of Sortino ratio for IVAL, currently valued at 0.14, compared to the broader market0.005.0010.000.140.51
The chart of Omega ratio for IVAL, currently valued at 1.02, compared to the broader market0.501.001.502.002.503.001.021.07
The chart of Calmar ratio for IVAL, currently valued at 0.03, compared to the broader market0.005.0010.0015.0020.000.030.18
The chart of Martin ratio for IVAL, currently valued at 0.08, compared to the broader market0.0020.0040.0060.0080.00100.000.081.11
IVAL
IMOM

The current IVAL Sharpe Ratio is 0.03, which is lower than the IMOM Sharpe Ratio of 0.30. The chart below compares the historical Sharpe Ratios of IVAL and IMOM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.50AugustSeptemberOctoberNovemberDecember2025
0.03
0.30
IVAL
IMOM

Dividends

IVAL vs. IMOM - Dividend Comparison

IVAL's dividend yield for the trailing twelve months is around 3.54%, less than IMOM's 4.37% yield.


TTM20242023202220212020201920182017201620152014
IVAL
Alpha Architect International Quantitative Value ETF
3.54%3.61%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
4.37%4.52%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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-7.56%
-16.65%
IVAL
IMOM

Volatility

IVAL vs. IMOM - Volatility Comparison

The current volatility for Alpha Architect International Quantitative Value ETF (IVAL) is 3.61%, while Alpha Architect International Quantitative Momentum ETF (IMOM) has a volatility of 3.81%. This indicates that IVAL experiences smaller price fluctuations and is considered to be less risky than IMOM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%AugustSeptemberOctoberNovemberDecember2025
3.61%
3.81%
IVAL
IMOM
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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