IMTM vs. EXG
Compare and contrast key facts about iShares MSCI Intl Momentum Factor ETF (IMTM) and Eaton Vance Tax-Managed Global Diversified Equity Income Fund (EXG).
IMTM is a passively managed fund by iShares that tracks the performance of the MSCI World ex USA Momentum. It was launched on Jan 13, 2015. EXG is an actively managed fund by Eaton Vance. It was launched on Feb 27, 2007.
Performance
IMTM vs. EXG - Performance Comparison
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IMTM vs. EXG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IMTM iShares MSCI Intl Momentum Factor ETF | 0.10% | 34.50% | 12.17% | 13.89% | -16.81% | 3.50% | 22.17% | 24.52% | -14.31% | 25.46% |
EXG Eaton Vance Tax-Managed Global Diversified Equity Income Fund | -7.20% | 27.79% | 16.04% | 11.46% | -22.24% | 31.53% | 10.19% | 28.71% | -12.09% | 29.58% |
Returns By Period
In the year-to-date period, IMTM achieves a 0.10% return, which is significantly higher than EXG's -7.20% return. Both investments have delivered pretty close results over the past 10 years, with IMTM having a 9.46% annualized return and EXG not far ahead at 9.69%.
IMTM
- 1D
- 3.80%
- 1M
- -8.90%
- YTD
- 0.10%
- 6M
- 3.92%
- 1Y
- 26.08%
- 3Y*
- 17.95%
- 5Y*
- 7.77%
- 10Y*
- 9.46%
EXG
- 1D
- 4.59%
- 1M
- -9.69%
- YTD
- -7.20%
- 6M
- -0.71%
- 1Y
- 16.23%
- 3Y*
- 13.21%
- 5Y*
- 7.59%
- 10Y*
- 9.69%
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IMTM vs. EXG - Expense Ratio Comparison
IMTM has a 0.30% expense ratio, which is lower than EXG's 1.07% expense ratio.
Return for Risk
IMTM vs. EXG — Risk / Return Rank
IMTM
EXG
IMTM vs. EXG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Momentum Factor ETF (IMTM) and Eaton Vance Tax-Managed Global Diversified Equity Income Fund (EXG). 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.
| IMTM | EXG | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.40 | 0.89 | +0.50 |
Sortino ratioReturn per unit of downside risk | 1.96 | 1.37 | +0.60 |
Omega ratioGain probability vs. loss probability | 1.28 | 1.21 | +0.08 |
Calmar ratioReturn relative to maximum drawdown | 1.99 | 1.12 | +0.87 |
Martin ratioReturn relative to average drawdown | 8.03 | 5.00 | +3.03 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| IMTM | EXG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.40 | 0.89 | +0.50 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.45 | 0.44 | +0.01 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.54 | 0.49 | +0.05 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.46 | 0.29 | +0.17 |
Correlation
The correlation between IMTM and EXG is 0.59, 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.
Dividends
IMTM vs. EXG - Dividend Comparison
IMTM's dividend yield for the trailing twelve months is around 4.70%, less than EXG's 9.10% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IMTM iShares MSCI Intl Momentum Factor ETF | 4.70% | 4.70% | 2.93% | 2.29% | 2.68% | 2.51% | 0.97% | 2.13% | 2.36% | 1.92% | 2.75% | 1.56% |
EXG Eaton Vance Tax-Managed Global Diversified Equity Income Fund | 9.10% | 8.27% | 9.27% | 8.60% | 10.59% | 7.27% | 8.43% | 8.42% | 12.23% | 9.84% | 12.16% | 11.02% |
Drawdowns
IMTM vs. EXG - Drawdown Comparison
The maximum IMTM drawdown since its inception was -32.66%, smaller than the maximum EXG drawdown of -58.45%. Use the drawdown chart below to compare losses from any high point for IMTM and EXG.
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Drawdown Indicators
| IMTM | EXG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.66% | -58.45% | +25.79% |
Max Drawdown (1Y)Largest decline over 1 year | -12.85% | -14.28% | +1.43% |
Max Drawdown (5Y)Largest decline over 5 years | -32.66% | -27.82% | -4.84% |
Max Drawdown (10Y)Largest decline over 10 years | -32.66% | -45.36% | +12.70% |
Current DrawdownCurrent decline from peak | -9.53% | -10.34% | +0.81% |
Average DrawdownAverage peak-to-trough decline | -7.53% | -9.68% | +2.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.19% | 3.19% | 0.00% |
Volatility
IMTM vs. EXG - Volatility Comparison
iShares MSCI Intl Momentum Factor ETF (IMTM) has a higher volatility of 9.54% compared to Eaton Vance Tax-Managed Global Diversified Equity Income Fund (EXG) at 7.18%. This indicates that IMTM's price experiences larger fluctuations and is considered to be riskier than EXG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| IMTM | EXG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.54% | 7.18% | +2.36% |
Volatility (6M)Calculated over the trailing 6-month period | 12.89% | 10.46% | +2.43% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.75% | 18.24% | +0.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.43% | 17.35% | +0.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.50% | 19.93% | -2.43% |