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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.


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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Key characteristics

Sharpe Ratio

IMTM:

0.76

VXUS:

0.65

Sortino Ratio

IMTM:

1.17

VXUS:

1.00

Omega Ratio

IMTM:

1.16

VXUS:

1.13

Calmar Ratio

IMTM:

1.24

VXUS:

0.78

Martin Ratio

IMTM:

3.63

VXUS:

2.47

Ulcer Index

IMTM:

4.25%

VXUS:

4.29%

Daily Std Dev

IMTM:

19.85%

VXUS:

16.94%

Max Drawdown

IMTM:

-30.68%

VXUS:

-35.97%

Current Drawdown

IMTM:

-0.50%

VXUS:

-0.46%

Returns By Period

In the year-to-date period, IMTM achieves a 17.62% return, which is significantly higher than VXUS's 13.42% return. Over the past 10 years, IMTM has outperformed VXUS with an annualized return of 7.10%, while VXUS has yielded a comparatively lower 5.30% annualized return.


IMTM

YTD

17.62%

1M

9.65%

6M

16.22%

1Y

14.94%

3Y*

14.34%

5Y*

11.56%

10Y*

7.10%

VXUS

YTD

13.42%

1M

9.07%

6M

12.05%

1Y

10.95%

3Y*

10.28%

5Y*

11.30%

10Y*

5.30%

*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.


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 7575
Overall Rank
The Sharpe Ratio Rank of IMTM is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of IMTM is 7171
Sortino Ratio Rank
The Omega Ratio Rank of IMTM is 7070
Omega Ratio Rank
The Calmar Ratio Rank of IMTM is 8686
Calmar Ratio Rank
The Martin Ratio Rank of IMTM is 7878
Martin Ratio Rank

VXUS
The Risk-Adjusted Performance Rank of VXUS is 6363
Overall Rank
The Sharpe Ratio Rank of VXUS is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of VXUS is 5959
Sortino Ratio Rank
The Omega Ratio Rank of VXUS is 5858
Omega Ratio Rank
The Calmar Ratio Rank of VXUS is 7373
Calmar Ratio Rank
The Martin Ratio Rank of VXUS is 6363
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 current IMTM Sharpe Ratio is 0.76, which is comparable to the VXUS Sharpe Ratio of 0.65. 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.


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Dividends

IMTM vs. VXUS - Dividend Comparison

IMTM's dividend yield for the trailing twelve months is around 2.49%, less than VXUS's 2.93% yield.


TTM20242023202220212020201920182017201620152014
IMTM
iShares MSCI Intl Momentum Factor ETF
2.49%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
2.93%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.


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Volatility

IMTM vs. VXUS - Volatility Comparison

iShares MSCI Intl Momentum Factor ETF (IMTM) has a higher volatility of 3.20% compared to Vanguard Total International Stock ETF (VXUS) at 2.84%. 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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