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IMTM vs. VFMO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

IMTM vs. VFMO

Last updated Aug 2, 2026
Documentation

IMTM (iShares MSCI Intl Momentum Factor ETF) and VFMO (Vanguard U.S. Momentum Factor ETF) are both Momentum funds. IMTM is passively managed, while VFMO is actively managed. Over the past 5 years, IMTM returned 9.20%/yr vs 12.83%/yr for VFMO. Their 0.76 correlation means they have sometimes moved together and sometimes differently. IMTM charges 0.30%/yr vs 0.13%/yr for VFMO.

Performance

IMTM vs. VFMO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Intl Momentum Factor ETF (IMTM) and Vanguard U.S. Momentum Factor ETF (VFMO). 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 VFMO's 17.34% 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%

VFMO

1D
-0.07%
1M
-5.28%
6M
11.12%
YTD
17.34%
1Y
31.08%
3Y*
22.39%
5Y*
12.83%
10Y*
—
ALL TIME*
14.45%
*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

VFMO

Vanguard U.S. Momentum Factor ETF
$16.62M$18.12M$17.04M

IMTM vs. VFMO - Yearly Performance Comparison

2026 (YTD)20252024202320222021202020192018
IMTM
iShares MSCI Intl Momentum Factor ETF		9.97%34.50%12.17%13.89%-16.81%3.50%22.17%24.52%-15.11%
VFMO
Vanguard U.S. Momentum Factor ETF		17.34%17.39%26.14%16.25%-12.84%19.16%31.36%28.22%-11.41%

Correlation

The correlation between IMTM and VFMO is 0.79, 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.

0.79

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

0.72

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.76

Correlation (All Time)
Calculated using the full available price history since Feb 15, 2018

0.76

The correlation between IMTM and VFMO has been stable across timeframes, ranging from 0.72 to 0.79 - a consistent structural relationship.

IMTM vs. VFMO - Sectors Allocation Comparison

Sectors
IMTM
VFMO

Financial Services

29.5%
6.5%

Technology

18.1%
17.5%

Industrials

14.6%
24.7%

Energy

9.0%
7.3%

Healthcare

8.9%
22.9%

Basic Materials

8.4%
6.4%

Utilities

5.4%
0.2%

Consumer Defensive

2.1%
2.5%

Consumer Cyclical

1.7%
8.7%

Communication Services

1.4%
3.4%

Real Estate

1.0%
0.1%

Financial Services

IMTM
29.5%
VFMO
6.5%

Technology

IMTM
18.1%
VFMO
17.5%

Industrials

IMTM
14.6%
VFMO
24.7%

Energy

IMTM
9.0%
VFMO
7.3%

Healthcare

IMTM
8.9%
VFMO
22.9%

Basic Materials

IMTM
8.4%
VFMO
6.4%

Utilities

IMTM
5.4%
VFMO
0.2%

Consumer Defensive

IMTM
2.1%
VFMO
2.5%

Consumer Cyclical

IMTM
1.7%
VFMO
8.7%

Communication Services

IMTM
1.4%
VFMO
3.4%

Real Estate

IMTM
1.0%
VFMO
0.1%

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

Vanguard U.S. Momentum Factor 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 VFMO:
VFMO vs. SPMOVFMO vs. MTUMVFMO vs. VOOVFMO vs. VFMFVFMO vs. QMOMVFMO vs. AVUVVFMO vs. QQQ

Return for Risk

IMTM vs. VFMO — 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
VFMO
VFMO Risk / Return Rank: 5454
Overall Rank
VFMO Sharpe Ratio Rank: 5050
Sharpe Ratio Rank
VFMO Sortino Ratio Rank: 4848
Sortino Ratio Rank
VFMO Omega Ratio Rank: 4747
Omega Ratio Rank
VFMO Calmar Ratio Rank: 6060
Calmar Ratio Rank
VFMO Martin Ratio Rank: 6464
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. VFMO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Momentum Factor ETF (IMTM) and Vanguard U.S. Momentum Factor ETF (VFMO). 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.

IMTMVFMODifference
Sharpe ratioReturn per unit of total volatility
1.16
1.21

-0.04

Sortino ratioReturn per unit of downside risk
1.74
1.71

+0.03

Omega ratioGain probability vs. loss probability

1.22

1.21

0.00

Calmar ratioReturn relative to maximum drawdown

1.73

2.07

-0.34

Martin ratioReturn relative to average drawdown

6.39

7.71

-1.32

IMTM vs. VFMO - Sharpe Ratio Comparison

The current IMTM Sharpe Ratio is 1.16, which is comparable to the VFMO Sharpe Ratio of 1.21. The chart below compares the historical Sharpe Ratios of IMTM and VFMO, 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. VFMO - Drawdown Comparison

The maximum IMTM drawdown since its inception was -32.66%, smaller than the maximum VFMO drawdown of -36.77%. Use the drawdown chart below to compare losses from any high point for IMTM and VFMO.

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Drawdown Indicators

IMTMVFMODifference

Max Drawdown

Largest peak-to-trough decline

-32.66%

-36.77%

+4.11%

Max Drawdown (1Y)

Largest decline over 1 year

-12.85%

-13.97%

+1.12%

Max Drawdown (3Y)

Largest decline over 3 years

-12.85%

-24.40%

+11.55%

Max Drawdown (5Y)

Largest decline over 5 years

-32.66%

-25.80%

-6.86%

Max Drawdown (10Y)

Largest decline over 10 years

-32.66%

—

—

Current Drawdown

Current decline from peak

-4.03%

-10.34%

+6.31%

Average Drawdown

Average peak-to-trough decline

-7.38%

-7.71%

+0.33%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.47%

3.75%

-0.28%

Volatility

IMTM vs. VFMO - Volatility Comparison

The current volatility for iShares MSCI Intl Momentum Factor ETF (IMTM) is 6.44%, while Vanguard U.S. Momentum Factor ETF (VFMO) has a volatility of 8.87%. This indicates that IMTM experiences smaller price fluctuations and is considered to be less risky than VFMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

IMTMVFMODifference

Volatility (1M)

Calculated over the trailing 1-month period

6.44%

8.87%

-2.43%

Volatility (6M)

Calculated over the trailing 6-month period

17.36%

19.51%

-2.15%

Volatility (1Y)

Calculated over the trailing 1-year period

19.10%

24.04%

-4.94%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.95%

22.11%

-4.16%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.70%

23.74%

-6.04%

IMTM vs. VFMO - Expense Ratio Comparison

IMTM has a 0.30% expense ratio, which is higher than VFMO's 0.13% expense ratio.

Dividends

IMTM vs. VFMO - Dividend Comparison

IMTM's dividend yield for the trailing twelve months is around 4.45%, more than VFMO's 0.63% 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%
VFMO
Vanguard U.S. Momentum Factor ETF		0.63%0.82%0.72%0.89%1.72%0.81%0.45%1.22%0.70%0.00%0.00%0.00%

Frequently Asked Questions

IMTM and VFMO have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

VFMO has higher volatility (8.87%) compared to IMTM (6.44%). In terms of maximum drawdown, IMTM dropped -32.66% vs VFMO's -36.77%.

On 5-year performance, VFMO leads with 12.83% vs 9.20% for IMTM. On fees, VFMO is cheaper at 0.13% 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 5-year period, VFMO has performed better with a 12.83% return vs 9.20%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

VFMO is cheaper with a 0.13% expense ratio, compared with 0.30% for IMTM.

IMTM has the higher dividend yield at 4.45%, compared with 0.63% for VFMO.

They also come from different issuers: iShares and Vanguard. Their fees differ too: 0.30% for IMTM and 0.13% for VFMO.

VFMO currently has the higher Sharpe Ratio (1.21 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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