IMTM vs. VEA
Compare and contrast key facts about iShares MSCI Intl Momentum Factor ETF (IMTM) and Vanguard FTSE Developed Markets ETF (VEA).
IMTM and VEA 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. VEA is a passively managed fund by Vanguard that tracks the performance of the MSCI EAFE Index. It was launched on Jul 20, 2007. Both IMTM and VEA are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IMTM or VEA.
Key characteristics
| IMTM | VEA | |
|---|---|---|
| YTD Return | 15.12% | 6.79% |
| 1Y Return | 25.40% | 18.86% |
| 3Y Return (Ann) | 2.29% | 1.54% |
| 5Y Return (Ann) | 8.09% | 6.20% |
| Sharpe Ratio | 1.61 | 1.45 |
| Sortino Ratio | 2.19 | 2.05 |
| Omega Ratio | 1.28 | 1.26 |
| Calmar Ratio | 1.68 | 1.49 |
| Martin Ratio | 8.54 | 8.01 |
| Ulcer Index | 2.97% | 2.35% |
| Daily Std Dev | 15.68% | 12.99% |
| Max Drawdown | -30.68% | -60.70% |
| Current Drawdown | -5.28% | -5.74% |
Correlation
The correlation between IMTM and VEA is 0.83, 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. VEA - Performance Comparison
In the year-to-date period, IMTM achieves a 15.12% return, which is significantly higher than VEA's 6.79% 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. VEA - Expense Ratio Comparison
IMTM has a 0.30% expense ratio, which is higher than VEA's 0.05% expense ratio.
Risk-Adjusted Performance
IMTM vs. VEA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Momentum Factor ETF (IMTM) and Vanguard FTSE Developed Markets ETF (VEA). 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. VEA - Dividend Comparison
IMTM's dividend yield for the trailing twelve months is around 2.23%, less than VEA's 2.99% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% |
VEA Vanguard FTSE Developed Markets ETF | 2.99% | 3.16% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% | 2.60% |
Drawdowns
IMTM vs. VEA - Drawdown Comparison
The maximum IMTM drawdown since its inception was -30.68%, smaller than the maximum VEA drawdown of -60.70%. Use the drawdown chart below to compare losses from any high point for IMTM and VEA. For additional features, visit the drawdowns tool.
Volatility
IMTM vs. VEA - Volatility Comparison
iShares MSCI Intl Momentum Factor ETF (IMTM) and Vanguard FTSE Developed Markets ETF (VEA) have volatilities of 3.67% and 3.75%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.