IMTM vs. FITMX

Last updated Jun 4, 2026

IMTM (iShares MSCI Intl Momentum Factor ETF) and FITMX (Fidelity SAI International Momentum Index Fund) are both funds - IMTM is a Momentum fund tracking the MSCI World ex USA Momentum, while FITMX is a Foreign Large Cap Equities fund managed by Fidelity. Over the past 5 years, IMTM returned 9.00%/yr vs 10.98%/yr for FITMX. Their correlation of 0.94 suggests significant overlap in exposure. IMTM charges 0.30%/yr vs 0.18%/yr for FITMX.

Performance

IMTM vs. FITMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Intl Momentum Factor ETF (IMTM) and Fidelity SAI International Momentum Index Fund (FITMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, IMTM achieves a 11.05% return, which is significantly lower than FITMX's 11.85% return.

IMTM

• 1D: -0.39%
• 1M: 4.43%
• YTD: 11.05%
• 6M: 14.04%
• 1Y: 23.92%
• 3Y*: 21.55%
• 5Y*: 9.00%
• 10Y*: 10.29%

FITMX

• 1D: 1.05%
• 1M: 4.42%
• YTD: 11.85%
• 6M: 13.53%
• 1Y: 26.03%
• 3Y*: 22.30%
• 5Y*: 10.98%
• 10Y*: —

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

IMTM vs. FITMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
IMTM iShares MSCI Intl Momentum Factor ETF	11.05%	34.50%	12.17%	13.89%	-16.81%	3.50%	32.96%
FITMX Fidelity SAI International Momentum Index Fund	11.85%	36.56%	8.97%	21.03%	-21.45%	12.88%	31.10%

Correlation

The correlation between IMTM and FITMX is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.95
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (All Time) Calculated using the full available price history since May 13, 2020	0.94

The correlation between IMTM and FITMX has been stable across timeframes, ranging from 0.94 to 0.95 - a consistent structural relationship.

Return for Risk

IMTM vs. FITMX — Risk / Return Rank

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

IMTM

IMTM Risk / Return Rank: 40
IMTM Sharpe Ratio Rank: 39
IMTM Sortino Ratio Rank: 39
IMTM Omega Ratio Rank: 39
IMTM Calmar Ratio Rank: 37
IMTM Martin Ratio Rank: 45

FITMX

FITMX Risk / Return Rank: 27
FITMX Sharpe Ratio Rank: 25
FITMX Sortino Ratio Rank: 25
FITMX Omega Ratio Rank: 26
FITMX Calmar Ratio Rank: 27
FITMX Martin Ratio Rank: 34

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.

IMTM vs. FITMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Momentum Factor ETF (IMTM) and Fidelity SAI International Momentum Index Fund (FITMX). 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	FITMX	Difference
Sharpe ratio: Return per unit of total volatility	1.41	1.42	-0.01
Sortino ratio: Return per unit of downside risk	2.07	2.09	-0.02
Omega ratio: Gain probability vs. loss probability	1.26	1.26	-0.01
Calmar ratio: Return relative to maximum drawdown	1.87	1.93	-0.06
Martin ratio: Return relative to average drawdown	7.46	7.73	-0.27
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

IMTM vs. FITMX - Sharpe Ratio Comparison

The current IMTM Sharpe Ratio is 1.41, which is comparable to the FITMX Sharpe Ratio of 1.42. The chart below compares the historical Sharpe Ratios of IMTM and FITMX, 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

	IMTM	FITMX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.41	1.42	-0.01
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.51	0.62	-0.11
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.58	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.50	0.87	-0.37

Drawdowns

IMTM vs. FITMX - Drawdown Comparison

The maximum IMTM drawdown since its inception was -32.66%, roughly equal to the maximum FITMX drawdown of -34.28%. Use the drawdown chart below to compare losses from any high point for IMTM and FITMX.

Drawdown Indicators

	IMTM	FITMX	Difference
Max Drawdown Largest peak-to-trough decline	-32.66%	-34.28%	+1.62%
Max Drawdown (1Y) Largest decline over 1 year	-12.85%	-13.12%	+0.27%
Max Drawdown (3Y) Largest decline over 3 years	-12.85%	-14.10%	+1.25%
Max Drawdown (5Y) Largest decline over 5 years	-32.66%	-34.28%	+1.62%
Max Drawdown (10Y) Largest decline over 10 years	-32.66%	—	—
Current Drawdown Current decline from peak	-0.39%	-0.44%	+0.05%
Average Drawdown Average peak-to-trough decline	-7.45%	-7.23%	-0.22%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.21%	3.27%	-0.06%

Volatility

IMTM vs. FITMX - Volatility Comparison

The current volatility for iShares MSCI Intl Momentum Factor ETF (IMTM) is 5.48%, while Fidelity SAI International Momentum Index Fund (FITMX) has a volatility of 6.50%. This indicates that IMTM experiences smaller price fluctuations and is considered to be less risky than FITMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	IMTM	FITMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.48%	6.50%	-1.02%
Volatility (6M) Calculated over the trailing 6-month period	14.98%	15.49%	-0.51%
Volatility (1Y) Calculated over the trailing 1-year period	17.04%	17.82%	-0.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.64%	17.76%	-0.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.64%	17.43%	+0.21%

IMTM vs. FITMX - Expense Ratio Comparison

IMTM has a 0.30% expense ratio, which is higher than FITMX's 0.18% expense ratio.

Dividends

IMTM vs. FITMX - Dividend Comparison

IMTM's dividend yield for the trailing twelve months is around 4.23%, more than FITMX's 2.34% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FITMX Fidelity SAI International Momentum Index Fund	2.34%	2.62%	3.50%	3.39%	2.42%	2.52%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
IMTM iShares MSCI Intl Momentum Factor ETF	4.23%	4.70%	2.93%	2.29%	2.68%	2.51%	0.97%	2.13%	2.36%	1.92%	2.75%	1.56%

Frequently Asked Questions

Can I hold both IMTM and FITMX in my portfolio?

With a correlation of 0.95, IMTM and FITMX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, IMTM or FITMX?

FITMX has higher volatility (6.50%) compared to IMTM (5.48%). In terms of maximum drawdown, IMTM dropped -32.66% vs FITMX's -34.28%.

Which has better risk-adjusted returns?

FITMX currently has the higher Sharpe Ratio (1.42 vs 1.41), 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.