IMTM vs. JIRE
Compare and contrast key facts about iShares MSCI Intl Momentum Factor ETF (IMTM) and JPMorgan International Research Enhanced Equity ETF (JIRE).
IMTM and JIRE are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. JIRE is an actively managed fund by JPMorgan. It was launched on Oct 28, 1992.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IMTM or JIRE.
Key characteristics
| IMTM | JIRE | |
|---|---|---|
| YTD Return | 15.12% | 6.76% |
| 1Y Return | 25.40% | 17.40% |
| Sharpe Ratio | 1.61 | 1.35 |
| Sortino Ratio | 2.19 | 1.94 |
| Omega Ratio | 1.28 | 1.24 |
| Calmar Ratio | 1.68 | 2.36 |
| Martin Ratio | 8.54 | 7.29 |
| Ulcer Index | 2.97% | 2.47% |
| Daily Std Dev | 15.68% | 13.32% |
| Max Drawdown | -30.68% | -16.11% |
| Current Drawdown | -5.28% | -6.67% |
Correlation
The correlation between IMTM and JIRE is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
IMTM vs. JIRE - Performance Comparison
In the year-to-date period, IMTM achieves a 15.12% return, which is significantly higher than JIRE's 6.76% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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IMTM vs. JIRE - Expense Ratio Comparison
IMTM has a 0.30% expense ratio, which is higher than JIRE's 0.24% expense ratio.
Risk-Adjusted Performance
IMTM vs. JIRE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Momentum Factor ETF (IMTM) and JPMorgan International Research Enhanced Equity ETF (JIRE). 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.
Dividends
IMTM vs. JIRE - Dividend Comparison
IMTM's dividend yield for the trailing twelve months is around 2.23%, less than JIRE's 2.56% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
IMTM iShares MSCI Intl Momentum Factor ETF | 2.23% | 2.29% | 2.68% | 5.41% | 0.97% | 2.13% | 2.36% | 1.91% | 2.75% | 1.56% |
JIRE JPMorgan International Research Enhanced Equity ETF | 2.56% | 2.74% | 2.62% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
IMTM vs. JIRE - Drawdown Comparison
The maximum IMTM drawdown since its inception was -30.68%, which is greater than JIRE's maximum drawdown of -16.11%. Use the drawdown chart below to compare losses from any high point for IMTM and JIRE. For additional features, visit the drawdowns tool.
Volatility
IMTM vs. JIRE - Volatility Comparison
The current volatility for iShares MSCI Intl Momentum Factor ETF (IMTM) is 3.67%, while JPMorgan International Research Enhanced Equity ETF (JIRE) has a volatility of 4.36%. This indicates that IMTM experiences smaller price fluctuations and is considered to be less risky than JIRE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.