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iShares MSCI Intl Momentum Factor ETF (IMTM)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

ISIN

US46434V4499

CUSIP

46434V449

Issuer

iShares

Inception Date

Jan 13, 2015

Region

Developed Markets (Broad)

Leveraged

1x

Index Tracked

MSCI World ex USA Momentum

Asset Class

Equity

Asset Class Size

Large-Cap

Asset Class Style

Blend

Expense Ratio

IMTM features an expense ratio of 0.30%, falling within the medium range.


Expense ratio chart for IMTM: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Share Price Chart


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Compare to other instruments

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


Popular comparisons:
IMTM vs. IMOM IMTM vs. IWFM.L IMTM vs. VYM IMTM vs. JIRE IMTM vs. SPMO IMTM vs. WCMIX IMTM vs. FNDF IMTM vs. VXUS IMTM vs. VT IMTM vs. VEA
Popular comparisons:
IMTM vs. IMOM IMTM vs. IWFM.L IMTM vs. VYM IMTM vs. JIRE IMTM vs. SPMO IMTM vs. WCMIX IMTM vs. FNDF IMTM vs. VXUS IMTM vs. VT IMTM vs. VEA

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in iShares MSCI Intl Momentum Factor ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


80.00%100.00%120.00%140.00%160.00%180.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
81.73%
196.22%
IMTM (iShares MSCI Intl Momentum Factor ETF)
Benchmark (^GSPC)

Returns By Period

iShares MSCI Intl Momentum Factor ETF had a return of 11.93% year-to-date (YTD) and 13.25% in the last 12 months.


IMTM

YTD

11.93%

1M

-1.40%

6M

-0.68%

1Y

13.25%

5Y*

6.78%

10Y*

N/A

^GSPC (Benchmark)

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

Monthly Returns

The table below presents the monthly returns of IMTM, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.06%5.40%5.32%-4.05%4.81%-0.64%2.27%1.69%0.35%-4.01%1.24%11.93%
20235.25%-2.53%2.18%3.47%-4.70%5.56%1.90%-3.49%-3.58%-1.51%7.95%3.53%13.89%
2022-5.65%-3.46%2.37%-8.01%1.81%-8.56%3.11%-4.54%-8.83%6.88%10.32%-1.54%-16.81%
2021-1.01%0.37%0.51%3.80%1.72%-1.80%1.19%1.02%-3.69%4.94%-4.63%4.43%6.54%
20201.03%-6.95%-9.69%6.99%6.75%4.58%5.04%3.37%-0.24%-3.68%9.41%5.55%22.17%
20196.80%2.60%1.85%1.62%-2.38%6.46%-1.31%-0.20%0.44%2.42%1.13%3.12%24.52%
20186.09%-4.63%-0.91%0.69%-0.49%-2.01%1.48%-0.40%1.60%-9.75%-0.27%-5.82%-14.31%
20175.24%0.50%3.08%1.15%2.78%1.25%2.77%0.73%3.50%2.09%-0.73%0.67%25.45%
2016-4.17%-1.49%4.93%3.00%0.75%0.92%1.97%-0.34%-0.56%-3.85%-2.50%2.20%0.45%
2015-0.27%3.74%0.18%3.30%-1.49%1.02%-0.58%-6.22%-5.43%4.75%-0.13%-0.36%-2.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of IMTM is 51, indicating average performance compared to other ETFs on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of IMTM is 5151
Overall Rank
The Sharpe Ratio Rank of IMTM is 5151
Sharpe Ratio Rank
The Sortino Ratio Rank of IMTM is 4949
Sortino Ratio Rank
The Omega Ratio Rank of IMTM is 4949
Omega Ratio Rank
The Calmar Ratio Rank of IMTM is 5757
Calmar Ratio Rank
The Martin Ratio Rank of IMTM is 5050
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.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for iShares MSCI Intl Momentum Factor ETF (IMTM) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


Sharpe ratio
The chart of Sharpe ratio for IMTM, currently valued at 0.96, compared to the broader market0.002.004.000.962.10
The chart of Sortino ratio for IMTM, currently valued at 1.35, compared to the broader market-2.000.002.004.006.008.0010.001.352.80
The chart of Omega ratio for IMTM, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.39
The chart of Calmar ratio for IMTM, currently valued at 1.26, compared to the broader market0.005.0010.0015.001.263.09
The chart of Martin ratio for IMTM, currently valued at 4.30, compared to the broader market0.0020.0040.0060.0080.00100.004.3013.49
IMTM
^GSPC

The current iShares MSCI Intl Momentum Factor ETF Sharpe ratio is 0.96. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of iShares MSCI Intl Momentum Factor ETF with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.96
2.10
IMTM (iShares MSCI Intl Momentum Factor ETF)
Benchmark (^GSPC)

Dividends

Dividend History

iShares MSCI Intl Momentum Factor ETF provided a 2.94% dividend yield over the last twelve months, with an annual payout of $1.10 per share.


1.00%2.00%3.00%4.00%5.00%$0.00$0.50$1.00$1.50$2.00201520162017201820192020202120222023
Dividends
Dividend Yield
PeriodTTM202320222021202020192018201720162015
Dividend$1.10$0.79$0.83$2.06$0.37$0.66$0.60$0.58$0.68$0.40

Dividend yield

2.94%2.29%2.68%5.41%0.97%2.13%2.36%1.91%2.75%1.56%

Monthly Dividends

The table displays the monthly dividend distributions for iShares MSCI Intl Momentum Factor ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.00$0.00$0.00$0.52$0.00$0.00$0.00$0.00$0.00$0.58$1.10
2023$0.00$0.00$0.00$0.00$0.00$0.43$0.00$0.00$0.00$0.00$0.00$0.35$0.79
2022$0.00$0.00$0.00$0.00$0.00$0.47$0.00$0.00$0.00$0.00$0.00$0.35$0.83
2021$0.00$0.00$0.00$0.00$0.00$0.31$0.00$0.00$0.00$0.00$0.00$1.75$2.06
2020$0.00$0.00$0.00$0.00$0.00$0.22$0.00$0.00$0.00$0.00$0.00$0.14$0.37
2019$0.00$0.00$0.00$0.00$0.00$0.46$0.00$0.00$0.00$0.00$0.00$0.21$0.66
2018$0.00$0.00$0.00$0.00$0.00$0.38$0.00$0.00$0.00$0.00$0.00$0.22$0.60
2017$0.00$0.00$0.00$0.00$0.00$0.35$0.00$0.00$0.00$0.00$0.00$0.24$0.58
2016$0.00$0.00$0.00$0.00$0.00$0.34$0.00$0.00$0.00$0.00$0.00$0.35$0.68
2015$0.30$0.00$0.00$0.00$0.00$0.00$0.10$0.40

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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.90%
-2.62%
IMTM (iShares MSCI Intl Momentum Factor ETF)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the iShares MSCI Intl Momentum Factor 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 iShares MSCI Intl Momentum Factor ETF was 30.68%, occurring on Sep 27, 2022. Recovery took 352 trading sessions.

The current iShares MSCI Intl Momentum Factor ETF drawdown is 7.90%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-30.68%Nov 9, 2021222Sep 27, 2022352Feb 22, 2024574
-29.79%Feb 20, 202023Mar 23, 202076Jul 10, 202099
-23.04%Jan 29, 2018229Dec 24, 2018265Jan 14, 2020494
-19.89%May 22, 2015110Feb 11, 2016254Apr 25, 2017364
-12%Jul 17, 202414Aug 5, 202437Sep 26, 202451

Volatility

Volatility Chart

The current iShares MSCI Intl Momentum Factor ETF volatility is 4.04%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.04%
3.79%
IMTM (iShares MSCI Intl Momentum Factor ETF)
Benchmark (^GSPC)
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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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