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IMTM vs. PEMX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

IMTM vs. PEMX

Last updated Aug 2, 2026
Documentation

IMTM (iShares MSCI Intl Momentum Factor ETF) and PEMX (Putnam Emerging Markets Ex-China ETF) are both exchange-traded funds - IMTM is a Momentum fund tracking the MSCI World ex USA Momentum Index, while PEMX is a Emerging Markets Equities fund actively managed by Putnam. IMTM is passively managed, while PEMX is actively managed. Over the past 3 years, IMTM returned 19.82%/yr vs 28.43%/yr for PEMX. Their 0.73 correlation means they have sometimes moved together and sometimes differently. IMTM charges 0.30%/yr vs 0.85%/yr for PEMX.

Performance

IMTM vs. PEMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Intl Momentum Factor ETF (IMTM) and Putnam Emerging Markets Ex-China ETF (PEMX). 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 9.97% return, which is significantly lower than PEMX's 26.42% return.

IMTM

1D
-0.21%
1M
-0.69%
6M
4.07%
YTD
9.97%
1Y
22.34%
3Y*
19.82%
5Y*
9.20%
10Y*
9.68%
ALL TIME*
8.71%

PEMX

1D
1.09%
1M
-7.11%
6M
15.00%
YTD
26.42%
1Y
48.11%
3Y*
28.43%
5Y*
—
10Y*
—
ALL TIME*
29.45%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

IMTM

iShares MSCI Intl Momentum Factor ETF
$21.09M$19.87M$23.17M

PEMX

Putnam Emerging Markets Ex-China ETF
$78.06K$81.41K$258.35K

IMTM vs. PEMX - Yearly Performance Comparison

2026 (YTD)202520242023
IMTM
iShares MSCI Intl Momentum Factor ETF		9.97%34.50%12.17%5.44%
PEMX
Putnam Emerging Markets Ex-China ETF		26.42%34.01%17.21%15.13%

Correlation

The correlation between IMTM and PEMX is 0.77, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.77

Correlation (3Y)
Balances recent behavior with more history.

0.73

Correlation (All Time)
Calculated using the full available price history since May 18, 2023

0.73

The correlation between IMTM and PEMX has been stable across timeframes, ranging from 0.73 to 0.77 - a consistent structural relationship.

IMTM vs. PEMX - Sectors Allocation Comparison

Sectors
IMTM
PEMX

Financial Services

29.5%
24.1%

Technology

18.1%
49.1%

Industrials

14.6%
6.1%

Energy

9.0%
0.9%

Healthcare

8.9%
1.4%

Basic Materials

8.4%
1.5%

Utilities

5.4%
3.7%

Consumer Defensive

2.1%
1.0%

Consumer Cyclical

1.7%
3.8%

Communication Services

1.4%
6.0%

Real Estate

1.0%

-

Financial Services

IMTM
29.5%
PEMX
24.1%

Technology

IMTM
18.1%
PEMX
49.1%

Industrials

IMTM
14.6%
PEMX
6.1%

Energy

IMTM
9.0%
PEMX
0.9%

Healthcare

IMTM
8.9%
PEMX
1.4%

Basic Materials

IMTM
8.4%
PEMX
1.5%

Utilities

IMTM
5.4%
PEMX
3.7%

Consumer Defensive

IMTM
2.1%
PEMX
1.0%

Consumer Cyclical

IMTM
1.7%
PEMX
3.8%

Communication Services

IMTM
1.4%
PEMX
6.0%

Real Estate

IMTM
1.0%
PEMX

-

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

Putnam Emerging Markets Ex-China ETF

Often compared with IMTM:
IMTM vs. SPMOIMTM vs. IMOMIMTM vs. IDMOIMTM vs. VXUSIMTM vs. IWFM.LIMTM vs. IWMO.MIIMTM vs. VT
Often compared with PEMX:
PEMX vs. PPEMPEMX vs. AVESPEMX vs. AVEEPEMX vs. EMXCPEMX vs. PHYDPEMX vs. emxcPEMX vs. VWO

Return for Risk

IMTM vs. PEMX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
IMTM
IMTM Risk / Return Rank: 4949
Overall Rank
IMTM Sharpe Ratio Rank: 4848
Sharpe Ratio Rank
IMTM Sortino Ratio Rank: 4949
Sortino Ratio Rank
IMTM Omega Ratio Rank: 4747
Omega Ratio Rank
IMTM Calmar Ratio Rank: 4848
Calmar Ratio Rank
IMTM Martin Ratio Rank: 5454
Martin Ratio Rank
PEMX
PEMX Risk / Return Rank: 7373
Overall Rank
PEMX Sharpe Ratio Rank: 7777
Sharpe Ratio Rank
PEMX Sortino Ratio Rank: 7070
Sortino Ratio Rank
PEMX Omega Ratio Rank: 7676
Omega Ratio Rank
PEMX Calmar Ratio Rank: 7272
Calmar Ratio Rank
PEMX Martin Ratio Rank: 7373
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

IMTM vs. PEMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Momentum Factor ETF (IMTM) and Putnam Emerging Markets Ex-China ETF (PEMX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

IMTMPEMXDifference
Sharpe ratioReturn per unit of total volatility
1.16
1.75

-0.59

Sortino ratioReturn per unit of downside risk
1.74
2.27

-0.52

Omega ratioGain probability vs. loss probability

1.22

1.31

-0.10

Calmar ratioReturn relative to maximum drawdown

1.73

2.50

-0.77

Martin ratioReturn relative to average drawdown

6.39

9.02

-2.63

IMTM vs. PEMX - Sharpe Ratio Comparison

The current IMTM Sharpe Ratio is 1.16, which is lower than the PEMX Sharpe Ratio of 1.75. The chart below compares the historical Sharpe Ratios of IMTM and PEMX, 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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Drawdowns

IMTM vs. PEMX - Drawdown Comparison

The maximum IMTM drawdown since its inception was -32.66%, which is greater than PEMX's maximum drawdown of -19.04%. Use the drawdown chart below to compare losses from any high point for IMTM and PEMX.

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Drawdown Indicators

IMTMPEMXDifference

Max Drawdown

Largest peak-to-trough decline

-32.66%

-19.04%

-13.62%

Max Drawdown (1Y)

Largest decline over 1 year

-12.85%

-19.04%

+6.19%

Max Drawdown (3Y)

Largest decline over 3 years

-12.85%

-19.04%

+6.19%

Max Drawdown (5Y)

Largest decline over 5 years

-32.66%

—

—

Max Drawdown (10Y)

Largest decline over 10 years

-32.66%

—

—

Current Drawdown

Current decline from peak

-4.03%

-14.50%

+10.47%

Average Drawdown

Average peak-to-trough decline

-7.38%

-3.11%

-4.27%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.47%

5.27%

-1.80%

Volatility

IMTM vs. PEMX - Volatility Comparison

The current volatility for iShares MSCI Intl Momentum Factor ETF (IMTM) is 6.44%, while Putnam Emerging Markets Ex-China ETF (PEMX) has a volatility of 10.79%. This indicates that IMTM experiences smaller price fluctuations and is considered to be less risky than PEMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

IMTMPEMXDifference

Volatility (1M)

Calculated over the trailing 1-month period

6.44%

10.79%

-4.35%

Volatility (6M)

Calculated over the trailing 6-month period

17.36%

25.23%

-7.87%

Volatility (1Y)

Calculated over the trailing 1-year period

19.10%

27.22%

-8.12%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.95%

20.23%

-2.28%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.70%

20.23%

-2.53%

IMTM vs. PEMX - Expense Ratio Comparison

IMTM has a 0.30% expense ratio, which is lower than PEMX's 0.85% expense ratio.

Dividends

IMTM vs. PEMX - Dividend Comparison

IMTM's dividend yield for the trailing twelve months is around 4.45%, less than PEMX's 5.54% yield.

PositionTTM20252024202320222021202020192018201720162015
IMTM
iShares MSCI Intl Momentum Factor ETF		4.45%4.70%2.93%2.29%2.68%2.51%0.97%2.13%2.36%1.92%2.75%1.56%
PEMX
Putnam Emerging Markets Ex-China ETF		5.54%7.00%5.00%0.72%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

IMTM and PEMX have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

PEMX has higher volatility (10.79%) compared to IMTM (6.44%). In terms of maximum drawdown, IMTM dropped -32.66% vs PEMX's -19.04%.

On 3-year performance, PEMX leads with 28.43% vs 19.82% for IMTM. On fees, IMTM is cheaper at 0.30% per year. On volatility, IMTM has been the lower-risk option at 6.44%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 3-year period, PEMX has performed better with a 28.43% return vs 19.82%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

IMTM is cheaper with a 0.30% expense ratio, compared with 0.85% for PEMX.

PEMX has the higher dividend yield at 5.54%, compared with 4.45% for IMTM.

IMTM is categorized as Momentum, while PEMX is Emerging Markets Equities. They also come from different issuers: iShares and Putnam. Their fees differ too: 0.30% for IMTM and 0.85% for PEMX.

PEMX currently has the higher Sharpe Ratio (1.75 vs 1.16), 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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