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

Key characteristics


IMTMVXUS
YTD Return13.79%6.85%
1Y Return22.75%16.98%
3Y Return (Ann)1.74%0.52%
5Y Return (Ann)7.86%5.59%
Sharpe Ratio1.471.33
Sortino Ratio2.011.90
Omega Ratio1.261.24
Calmar Ratio1.631.23
Martin Ratio7.707.70
Ulcer Index3.01%2.24%
Daily Std Dev15.75%12.95%
Max Drawdown-30.68%-35.97%
Current Drawdown-6.37%-6.76%

Correlation

-0.50.00.51.00.8

The correlation between IMTM and VXUS is 0.82, 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. VXUS - Performance Comparison

In the year-to-date period, IMTM achieves a 13.79% return, which is significantly higher than VXUS's 6.85% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-0.72%
-0.72%
IMTM
VXUS

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IMTM vs. VXUS - Expense Ratio Comparison

IMTM has a 0.30% expense ratio, which is higher than VXUS'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 VXUS: 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%

Risk-Adjusted Performance

IMTM vs. VXUS - 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 International Stock ETF (VXUS). 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.


IMTM
Sharpe ratio
The chart of Sharpe ratio for IMTM, currently valued at 1.47, compared to the broader market-2.000.002.004.006.001.47
Sortino ratio
The chart of Sortino ratio for IMTM, currently valued at 2.01, compared to the broader market-2.000.002.004.006.008.0010.0012.002.01
Omega ratio
The chart of Omega ratio for IMTM, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for IMTM, currently valued at 1.63, compared to the broader market0.005.0010.0015.001.63
Martin ratio
The chart of Martin ratio for IMTM, currently valued at 7.70, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.70
VXUS
Sharpe ratio
The chart of Sharpe ratio for VXUS, currently valued at 1.33, compared to the broader market-2.000.002.004.006.001.33
Sortino ratio
The chart of Sortino ratio for VXUS, currently valued at 1.90, compared to the broader market-2.000.002.004.006.008.0010.0012.001.90
Omega ratio
The chart of Omega ratio for VXUS, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for VXUS, currently valued at 1.23, compared to the broader market0.005.0010.0015.001.23
Martin ratio
The chart of Martin ratio for VXUS, currently valued at 7.70, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.70

IMTM vs. VXUS - Sharpe Ratio Comparison

The current IMTM Sharpe Ratio is 1.47, which is comparable to the VXUS Sharpe Ratio of 1.33. The chart below compares the historical Sharpe Ratios of IMTM and VXUS, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.47
1.33
IMTM
VXUS

Dividends

IMTM vs. VXUS - Dividend Comparison

IMTM's dividend yield for the trailing twelve months is around 2.26%, less than VXUS's 3.00% 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%
VXUS
Vanguard Total International Stock ETF
3.00%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%2.70%

Drawdowns

IMTM vs. VXUS - Drawdown Comparison

The maximum IMTM drawdown since its inception was -30.68%, smaller than the maximum VXUS drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for IMTM and VXUS. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.37%
-6.76%
IMTM
VXUS

Volatility

IMTM vs. VXUS - Volatility Comparison

The current volatility for iShares MSCI Intl Momentum Factor ETF (IMTM) is 3.81%, while Vanguard Total International Stock ETF (VXUS) has a volatility of 4.21%. This indicates that IMTM experiences smaller price fluctuations and is considered to be less risky than VXUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
3.81%
4.21%
IMTM
VXUS