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IMTM vs. VT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

IMTM vs. VT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Intl Momentum Factor ETF (IMTM) and Vanguard Total World Stock ETF (VT). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-1.08%
6.85%
IMTM
VT

Returns By Period

In the year-to-date period, IMTM achieves a 13.55% return, which is significantly lower than VT's 17.34% return.


IMTM

YTD

13.55%

1M

-4.85%

6M

-1.08%

1Y

17.56%

5Y (annualized)

7.75%

10Y (annualized)

N/A

VT

YTD

17.34%

1M

-1.12%

6M

6.84%

1Y

24.86%

5Y (annualized)

11.06%

10Y (annualized)

9.21%

Key characteristics


IMTMVT
Sharpe Ratio1.182.19
Sortino Ratio1.643.00
Omega Ratio1.211.39
Calmar Ratio1.533.14
Martin Ratio5.8114.12
Ulcer Index3.15%1.81%
Daily Std Dev15.56%11.66%
Max Drawdown-30.68%-50.27%
Current Drawdown-6.56%-2.08%

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IMTM vs. VT - Expense Ratio Comparison

IMTM has a 0.30% expense ratio, which is higher than VT's 0.07% expense ratio.


IMTM
iShares MSCI Intl Momentum Factor ETF
Expense ratio chart for IMTM: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for VT: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Correlation

-0.50.00.51.00.8

The correlation between IMTM and VT is 0.78, 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.

Risk-Adjusted Performance

IMTM vs. VT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Momentum Factor ETF (IMTM) and Vanguard Total World Stock ETF (VT). 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.


Sharpe ratio
The chart of Sharpe ratio for IMTM, currently valued at 1.18, compared to the broader market0.002.004.001.182.14
The chart of Sortino ratio for IMTM, currently valued at 1.64, compared to the broader market-2.000.002.004.006.008.0010.001.642.93
The chart of Omega ratio for IMTM, currently valued at 1.21, compared to the broader market0.501.001.502.002.503.001.211.38
The chart of Calmar ratio for IMTM, currently valued at 1.53, compared to the broader market0.005.0010.0015.001.533.06
The chart of Martin ratio for IMTM, currently valued at 5.81, compared to the broader market0.0020.0040.0060.0080.00100.005.8113.70
IMTM
VT

The current IMTM Sharpe Ratio is 1.18, which is lower than the VT Sharpe Ratio of 2.19. The chart below compares the historical Sharpe Ratios of IMTM and VT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.18
2.14
IMTM
VT

Dividends

IMTM vs. VT - Dividend Comparison

IMTM's dividend yield for the trailing twelve months is around 2.26%, more than VT's 1.86% yield.


TTM20232022202120202019201820172016201520142013
IMTM
iShares MSCI Intl Momentum Factor ETF
2.26%2.29%2.68%5.41%0.97%2.13%2.36%1.91%2.75%1.56%0.00%0.00%
VT
Vanguard Total World Stock ETF
1.86%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%

Drawdowns

IMTM vs. VT - Drawdown Comparison

The maximum IMTM drawdown since its inception was -30.68%, smaller than the maximum VT drawdown of -50.27%. Use the drawdown chart below to compare losses from any high point for IMTM and VT. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.56%
-2.08%
IMTM
VT

Volatility

IMTM vs. VT - Volatility Comparison

iShares MSCI Intl Momentum Factor ETF (IMTM) and Vanguard Total World Stock ETF (VT) have volatilities of 3.40% and 3.28%, 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.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.40%
3.28%
IMTM
VT