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

Correlation

The correlation between IMTM and VXUS is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.0
Correlation: 0.7

Performance

IMTM vs. VXUS - 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 International Stock ETF (VXUS). The values are adjusted to include any dividend payments, if applicable.

50.00%60.00%70.00%80.00%90.00%100.00%110.00%December2025FebruaryMarchAprilMay
109.87%
77.80%
IMTM
VXUS

Key characteristics

Sharpe Ratio

IMTM:

0.89

VXUS:

0.83

Sortino Ratio

IMTM:

1.31

VXUS:

1.27

Omega Ratio

IMTM:

1.18

VXUS:

1.17

Calmar Ratio

IMTM:

1.43

VXUS:

1.03

Martin Ratio

IMTM:

4.18

VXUS:

3.27

Ulcer Index

IMTM:

4.25%

VXUS:

4.29%

Daily Std Dev

IMTM:

19.92%

VXUS:

17.02%

Max Drawdown

IMTM:

-30.68%

VXUS:

-35.97%

Current Drawdown

IMTM:

0.00%

VXUS:

0.00%

Returns By Period

In the year-to-date period, IMTM achieves a 15.24% return, which is significantly higher than VXUS's 10.68% return. Over the past 10 years, IMTM has outperformed VXUS with an annualized return of 7.56%, while VXUS has yielded a comparatively lower 5.26% annualized return.


IMTM

YTD

15.24%

1M

6.82%

6M

12.32%

1Y

16.47%

5Y*

12.34%

10Y*

7.56%

VXUS

YTD

10.68%

1M

4.15%

6M

7.14%

1Y

12.19%

5Y*

11.48%

10Y*

5.26%

*Annualized

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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.


Expense ratio chart for IMTM: current value is 0.30%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IMTM: 0.30%
Expense ratio chart for VXUS: current value is 0.07%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
VXUS: 0.07%

Risk-Adjusted Performance

IMTM vs. VXUS — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

IMTM
The Risk-Adjusted Performance Rank of IMTM is 7979
Overall Rank
The Sharpe Ratio Rank of IMTM is 7676
Sharpe Ratio Rank
The Sortino Ratio Rank of IMTM is 7575
Sortino Ratio Rank
The Omega Ratio Rank of IMTM is 7575
Omega Ratio Rank
The Calmar Ratio Rank of IMTM is 8888
Calmar Ratio Rank
The Martin Ratio Rank of IMTM is 8080
Martin Ratio Rank

VXUS
The Risk-Adjusted Performance Rank of VXUS is 7676
Overall Rank
The Sharpe Ratio Rank of VXUS is 7474
Sharpe Ratio Rank
The Sortino Ratio Rank of VXUS is 7575
Sortino Ratio Rank
The Omega Ratio Rank of VXUS is 7373
Omega Ratio Rank
The Calmar Ratio Rank of VXUS is 8383
Calmar Ratio Rank
The Martin Ratio Rank of VXUS is 7575
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for IMTM, currently valued at 0.89, compared to the broader market-1.000.001.002.003.004.00
IMTM: 0.89
VXUS: 0.83
The chart of Sortino ratio for IMTM, currently valued at 1.31, compared to the broader market-2.000.002.004.006.008.00
IMTM: 1.31
VXUS: 1.27
The chart of Omega ratio for IMTM, currently valued at 1.18, compared to the broader market0.501.001.502.002.50
IMTM: 1.18
VXUS: 1.17
The chart of Calmar ratio for IMTM, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.0012.00
IMTM: 1.43
VXUS: 1.03
The chart of Martin ratio for IMTM, currently valued at 4.18, compared to the broader market0.0020.0040.0060.00
IMTM: 4.18
VXUS: 3.27

The current IMTM Sharpe Ratio is 0.89, which is comparable to the VXUS Sharpe Ratio of 0.83. 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 Ratio0.000.501.001.50December2025FebruaryMarchAprilMay
0.89
0.83
IMTM
VXUS

Dividends

IMTM vs. VXUS - Dividend Comparison

IMTM's dividend yield for the trailing twelve months is around 2.55%, less than VXUS's 3.00% yield.


TTM20242023202220212020201920182017201620152014
IMTM
iShares MSCI Intl Momentum Factor ETF
2.55%2.93%2.29%2.68%5.41%0.97%2.13%2.36%1.91%2.75%1.56%0.00%
VXUS
Vanguard Total International Stock ETF
3.00%3.37%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%

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.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2025FebruaryMarchAprilMay00
IMTM
VXUS

Volatility

IMTM vs. VXUS - Volatility Comparison

iShares MSCI Intl Momentum Factor ETF (IMTM) and Vanguard Total International Stock ETF (VXUS) have volatilities of 11.86% and 11.32%, 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%10.00%12.00%December2025FebruaryMarchAprilMay
11.86%
11.32%
IMTM
VXUS