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IMTM vs. VXUS
Performance
Return for Risk
Drawdowns
Volatility
Dividends

IMTM vs. VXUS

Last updated Aug 2, 2026
Documentation

IMTM (iShares MSCI Intl Momentum Factor ETF) and VXUS (Vanguard Total International Stock ETF) are both exchange-traded funds - IMTM is a Momentum fund tracking the MSCI World ex USA Momentum Index, while VXUS is a Global Equities fund tracking the FTSE Global All Cap ex US Index. Both are passively managed. Over the past 10 years, IMTM returned 9.68%/yr vs 9.44%/yr for VXUS. Their correlation of 0.83 means they have usually moved in the same direction. IMTM charges 0.30%/yr vs 0.05%/yr for VXUS.

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.

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Returns By Period

In the year-to-date period, IMTM achieves a 9.97% return, which is significantly lower than VXUS's 12.75% return. Both investments have delivered pretty close results over the past 10 years, with IMTM having a 9.68% annualized return and VXUS not far behind at 9.44%.

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%

VXUS

1D
-0.21%
1M
-0.29%
6M
6.78%
YTD
12.75%
1Y
27.56%
3Y*
17.23%
5Y*
8.78%
10Y*
9.44%
ALL TIME*
6.55%
*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

VXUS

Vanguard Total International Stock ETF
$362.62M$406.11M$507.75M

IMTM vs. VXUS - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
IMTM
iShares MSCI Intl Momentum Factor ETF		9.97%34.50%12.17%13.89%-16.81%3.50%22.17%24.52%-14.31%25.46%
VXUS
Vanguard Total International Stock ETF		12.75%32.35%5.08%15.86%-16.08%8.98%10.66%21.75%-14.43%27.46%

Correlation

The correlation between IMTM and VXUS is 0.92, meaning they have usually moved in the same direction, including during past declines.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.92

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

0.90

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

0.92

Correlation (10Y)
Provides a long-term view across more market conditions.

0.89

Correlation (All Time)
Calculated using the full available price history since Jan 26, 2015

0.83

The correlation between IMTM and VXUS has been stable across timeframes, ranging from 0.83 to 0.92 - a consistent structural relationship.

IMTM vs. VXUS - Sectors Allocation Comparison

Sectors
IMTM
VXUS

Financial Services

29.5%
23.2%

Technology

18.1%
23.7%

Industrials

14.6%
14.5%

Energy

9.0%
4.2%

Healthcare

8.9%
6.8%

Basic Materials

8.4%
6.6%

Utilities

5.4%
2.9%

Consumer Defensive

2.1%
4.8%

Consumer Cyclical

1.7%
6.8%

Communication Services

1.4%
3.8%

Real Estate

1.0%
1.7%

Financial Services

IMTM
29.5%
VXUS
23.2%

Technology

IMTM
18.1%
VXUS
23.7%

Industrials

IMTM
14.6%
VXUS
14.5%

Energy

IMTM
9.0%
VXUS
4.2%

Healthcare

IMTM
8.9%
VXUS
6.8%

Basic Materials

IMTM
8.4%
VXUS
6.6%

Utilities

IMTM
5.4%
VXUS
2.9%

Consumer Defensive

IMTM
2.1%
VXUS
4.8%

Consumer Cyclical

IMTM
1.7%
VXUS
6.8%

Communication Services

IMTM
1.4%
VXUS
3.8%

Real Estate

IMTM
1.0%
VXUS
1.7%

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 Total International Stock ETF

Often compared with IMTM:
IMTM vs. SPMOIMTM vs. IMOMIMTM vs. IDMOIMTM vs. IWFM.LIMTM vs. IWMO.MIIMTM vs. VTIMTM vs. JIRE
Often compared with VXUS:
VXUS vs. VTIVXUS vs. VOOVXUS vs. VTVXUS vs. VEAVXUS vs. FZILXVXUS vs. VEUVXUS vs. SCHF

Return for Risk

IMTM vs. VXUS — 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
VXUS
VXUS Risk / Return Rank: 7171
Overall Rank
VXUS Sharpe Ratio Rank: 7272
Sharpe Ratio Rank
VXUS Sortino Ratio Rank: 6969
Sortino Ratio Rank
VXUS Omega Ratio Rank: 7272
Omega Ratio Rank
VXUS Calmar Ratio Rank: 7171
Calmar Ratio Rank
VXUS Martin Ratio Rank: 7272
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. VXUS - Risk-Adjusted Trends 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.

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.

IMTMVXUSDifference
Sharpe ratioReturn per unit of total volatility
1.16
1.62

-0.46

Sortino ratioReturn per unit of downside risk
1.74
2.24

-0.50

Omega ratioGain probability vs. loss probability

1.22

1.30

-0.08

Calmar ratioReturn relative to maximum drawdown

1.73

2.42

-0.69

Martin ratioReturn relative to average drawdown

6.39

8.87

-2.48

IMTM vs. VXUS - Sharpe Ratio Comparison

The current IMTM Sharpe Ratio is 1.16, which is comparable to the VXUS Sharpe Ratio of 1.62. The chart below compares the historical Sharpe Ratios of IMTM and VXUS, 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. VXUS - Drawdown Comparison

The maximum IMTM drawdown since its inception was -32.66%, 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.

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Drawdown Indicators

IMTMVXUSDifference

Max Drawdown

Largest peak-to-trough decline

-32.66%

-35.97%

+3.31%

Max Drawdown (1Y)

Largest decline over 1 year

-12.85%

-11.27%

-1.58%

Max Drawdown (3Y)

Largest decline over 3 years

-12.85%

-13.58%

+0.73%

Max Drawdown (5Y)

Largest decline over 5 years

-32.66%

-29.44%

-3.22%

Max Drawdown (10Y)

Largest decline over 10 years

-32.66%

-35.97%

+3.31%

Current Drawdown

Current decline from peak

-4.03%

-2.84%

-1.19%

Average Drawdown

Average peak-to-trough decline

-7.38%

-8.16%

+0.78%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.47%

3.07%

+0.40%

Volatility

IMTM vs. VXUS - Volatility Comparison

iShares MSCI Intl Momentum Factor ETF (IMTM) has a higher volatility of 6.44% compared to Vanguard Total International Stock ETF (VXUS) at 5.29%. This indicates that IMTM's price experiences larger fluctuations and is considered to be riskier than VXUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

IMTMVXUSDifference

Volatility (1M)

Calculated over the trailing 1-month period

6.44%

5.29%

+1.15%

Volatility (6M)

Calculated over the trailing 6-month period

17.36%

15.06%

+2.30%

Volatility (1Y)

Calculated over the trailing 1-year period

19.10%

16.86%

+2.24%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.95%

16.35%

+1.60%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.70%

17.03%

+0.67%

IMTM vs. VXUS - Expense Ratio Comparison

IMTM has a 0.30% expense ratio, which is higher than VXUS's 0.05% expense ratio.

Dividends

IMTM vs. VXUS - Dividend Comparison

IMTM's dividend yield for the trailing twelve months is around 4.45%, more than VXUS's 2.59% 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%
VXUS
Vanguard Total International Stock ETF		2.59%3.18%3.37%3.24%3.09%3.10%2.14%3.06%3.18%2.73%2.93%2.83%

Frequently Asked Questions

With a correlation of 0.92, IMTM and VXUS move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

IMTM has higher volatility (6.44%) compared to VXUS (5.29%). In terms of maximum drawdown, IMTM dropped -32.66% vs VXUS's -35.97%.

On 10-year performance, IMTM leads with 9.68% vs 9.44% for VXUS. On fees, VXUS is cheaper at 0.05% per year. On volatility, VXUS has been the lower-risk option at 5.29%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, IMTM has performed better with a 9.68% return vs 9.44%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

VXUS is cheaper with a 0.05% expense ratio, compared with 0.30% for IMTM.

IMTM has the higher dividend yield at 4.45%, compared with 2.59% for VXUS.

IMTM is categorized as Momentum, while VXUS is Global Equities. IMTM tracks MSCI World ex USA Momentum Index, while VXUS tracks FTSE Global All Cap ex US Index. They also come from different issuers: iShares and Vanguard. Their fees differ too: 0.30% for IMTM and 0.05% for VXUS.

VXUS currently has the higher Sharpe Ratio (1.62 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.

Portfolio Optimizer

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