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IMTM vs. IDHQ
Performance
Return for Risk
Drawdowns
Volatility
Dividends

IMTM vs. IDHQ

Last updated Jun 9, 2026

IMTM (iShares MSCI Intl Momentum Factor ETF) and IDHQ (Invesco S&P International Developed High Quality ETF) are both exchange-traded funds - IMTM is a Momentum fund tracking the MSCI World ex USA Momentum, while IDHQ is a Foreign Large Cap Equities fund tracking the IDHQ-US - S&P Quality Developed Ex-U.S. LargeMidCap Index. Both are passively managed. Over the past 10 years, IMTM returned 9.71%/yr vs 10.00%/yr for IDHQ. A 0.76 correlation means they provide meaningful diversification when combined. IMTM charges 0.30%/yr vs 0.29%/yr for IDHQ.

Performance

IMTM vs. IDHQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Intl Momentum Factor ETF (IMTM) and Invesco S&P International Developed High Quality ETF (IDHQ). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, IMTM achieves a 8.92% return, which is significantly lower than IDHQ's 15.58% return. Both investments have delivered pretty close results over the past 10 years, with IMTM having a 9.71% annualized return and IDHQ not far ahead at 10.00%.

IMTM

1D
1.06%
1M
-1.02%
YTD
8.92%
6M
11.17%
1Y
20.71%
3Y*
20.62%
5Y*
8.73%
10Y*
9.71%

IDHQ

1D
2.46%
1M
-1.25%
YTD
15.58%
6M
17.77%
1Y
26.72%
3Y*
17.43%
5Y*
8.10%
10Y*
10.00%
*Multi-year figures are annualized to reflect compound growth (CAGR)

IMTM vs. IDHQ - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
IMTM
iShares MSCI Intl Momentum Factor ETF		8.92%34.50%12.17%13.89%-16.81%3.50%22.17%24.52%-14.31%25.46%
IDHQ
Invesco S&P International Developed High Quality ETF		15.58%27.46%1.33%18.80%-20.23%11.38%16.09%29.58%-13.38%28.16%

Correlation

The correlation between IMTM and IDHQ is 0.86, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.86

Correlation (3Y)
Calculated over the trailing 3-year period

0.87

Correlation (5Y)
Calculated over the trailing 5-year period

0.89

Correlation (10Y)
Calculated over the trailing 10-year period

0.82

Correlation (All Time)
Calculated using the full available price history since Jan 27, 2015

0.76

The correlation between IMTM and IDHQ shifts across timeframes, from 0.76 (all time) to 0.89 (5 years), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

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

iShares MSCI Intl Momentum Factor ETF

Invesco S&P International Developed High Quality ETF

Often compared with IMTM:
IMTM vs. SPMOIMTM vs. IMOMIMTM vs. IWFM.LIMTM vs. VXUSIMTM vs. IDMOIMTM vs. VTIMTM vs. IWMO.MI
Often compared with IDHQ:
IDHQ vs. IDMOIDHQ vs. VIGIIDHQ vs. INTFIDHQ vs. BKIEIDHQ vs. SPYIDHQ vs. FNDFIDHQ vs. VEA

Return for Risk

IMTM vs. IDHQ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
IMTM
IMTM Risk / Return Rank: 3838
Overall Rank
IMTM Sharpe Ratio Rank: 3737
Sharpe Ratio Rank
IMTM Sortino Ratio Rank: 3636
Sortino Ratio Rank
IMTM Omega Ratio Rank: 3737
Omega Ratio Rank
IMTM Calmar Ratio Rank: 3636
Calmar Ratio Rank
IMTM Martin Ratio Rank: 4444
Martin Ratio Rank
IDHQ
IDHQ Risk / Return Rank: 4646
Overall Rank
IDHQ Sharpe Ratio Rank: 4343
Sharpe Ratio Rank
IDHQ Sortino Ratio Rank: 4444
Sortino Ratio Rank
IDHQ Omega Ratio Rank: 4545
Omega Ratio Rank
IDHQ Calmar Ratio Rank: 4444
Calmar Ratio Rank
IDHQ Martin Ratio Rank: 5151
Martin Ratio Rank
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. IDHQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Momentum Factor ETF (IMTM) and Invesco S&P International Developed High Quality ETF (IDHQ). 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.

IMTMIDHQDifference
Sharpe ratioReturn per unit of total volatility
1.19
1.38

-0.19

Sortino ratioReturn per unit of downside risk
1.75
2.00

-0.25

Omega ratioGain probability vs. loss probability

1.22

1.26

-0.04

Calmar ratioReturn relative to maximum drawdown

1.62

2.00

-0.38

Martin ratioReturn relative to average drawdown

6.45

7.90

-1.45

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. IDHQ - Sharpe Ratio Comparison

The current IMTM Sharpe Ratio is 1.19, which is comparable to the IDHQ Sharpe Ratio of 1.38. The chart below compares the historical Sharpe Ratios of IMTM and IDHQ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

IMTMIDHQDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.19

1.38

-0.19

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.50

0.46

+0.03

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.55

0.56

-0.01

Sharpe Ratio (All Time)

Calculated using the full available price history

0.49

0.20

+0.29

Drawdowns

IMTM vs. IDHQ - Drawdown Comparison

The maximum IMTM drawdown since its inception was -32.66%, smaller than the maximum IDHQ drawdown of -73.84%. Use the drawdown chart below to compare losses from any high point for IMTM and IDHQ.

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Drawdown Indicators

IMTMIDHQDifference

Max Drawdown

Largest peak-to-trough decline

-32.66%

-73.84%

+41.18%

Max Drawdown (1Y)

Largest decline over 1 year

-12.85%

-13.44%

+0.59%

Max Drawdown (3Y)

Largest decline over 3 years

-12.85%

-14.07%

+1.22%

Max Drawdown (5Y)

Largest decline over 5 years

-32.66%

-33.54%

+0.88%

Max Drawdown (10Y)

Largest decline over 10 years

-32.66%

-33.54%

+0.88%

Current Drawdown

Current decline from peak

-2.56%

-3.38%

+0.82%

Average Drawdown

Average peak-to-trough decline

-7.44%

-21.18%

+13.74%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.22%

3.39%

-0.17%

Volatility

IMTM vs. IDHQ - Volatility Comparison

The current volatility for iShares MSCI Intl Momentum Factor ETF (IMTM) is 5.93%, while Invesco S&P International Developed High Quality ETF (IDHQ) has a volatility of 8.85%. This indicates that IMTM experiences smaller price fluctuations and is considered to be less risky than IDHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

IMTMIDHQDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.93%

8.85%

-2.92%

Volatility (6M)

Calculated over the trailing 6-month period

15.47%

17.46%

-1.99%

Volatility (1Y)

Calculated over the trailing 1-year period

17.48%

19.46%

-1.98%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.71%

17.58%

+0.13%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.63%

18.02%

-0.39%

IMTM vs. IDHQ - Expense Ratio Comparison

IMTM has a 0.30% expense ratio, which is higher than IDHQ's 0.29% expense ratio.

Dividends

IMTM vs. IDHQ - Dividend Comparison

IMTM's dividend yield for the trailing twelve months is around 4.32%, more than IDHQ's 2.09% yield.

PositionTTM20252024202320222021202020192018201720162015
IDHQ
Invesco S&P International Developed High Quality ETF		2.09%2.46%2.41%2.52%3.33%2.10%1.60%2.10%2.67%1.68%2.36%1.71%
IMTM
iShares MSCI Intl Momentum Factor ETF		4.32%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

IMTM and IDHQ have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

IDHQ has higher volatility (8.85%) compared to IMTM (5.93%). In terms of maximum drawdown, IMTM dropped -32.66% vs IDHQ's -73.84%.

On 10-year performance, IDHQ leads with 10.00% vs 9.71% for IMTM. On fees, IDHQ is cheaper at 0.29% per year. On volatility, IMTM has been the lower-risk option at 5.93%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, IDHQ has performed better with a 10.00% return vs 9.71%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

IDHQ is cheaper with a 0.29% expense ratio, compared with 0.30% for IMTM.

IMTM has the higher dividend yield at 4.32%, compared with 2.09% for IDHQ.

IMTM is categorized as Momentum, while IDHQ is Foreign Large Cap Equities. IMTM tracks MSCI World ex USA Momentum, while IDHQ tracks IDHQ-US - S&P Quality Developed Ex-U.S. LargeMidCap Index. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.30% for IMTM and 0.29% for IDHQ.

IDHQ currently has the higher Sharpe Ratio (1.38 vs 1.19), 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.

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