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IMTM vs. VYMI
Performance
Return for Risk
Drawdowns
Volatility
Dividends

IMTM vs. VYMI

Last updated Jun 24, 2026

IMTM (iShares MSCI Intl Momentum Factor ETF) and VYMI (Vanguard International High Dividend Yield ETF) are both exchange-traded funds - IMTM is a Momentum fund tracking the MSCI World ex USA Momentum Index, while VYMI is a Dividend fund tracking the FTSE All-World ex US High Dividend Yield Index. Both are passively managed. Over the past 10 years, IMTM returned 10.18%/yr vs 11.21%/yr for VYMI. Their correlation of 0.82 suggests significant overlap in exposure. IMTM charges 0.30%/yr vs 0.07%/yr for VYMI.

Performance

IMTM vs. VYMI - Performance Comparison

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

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Returns By Period

The year-to-date returns for both investments are quite close, with IMTM having a 11.09% return and VYMI slightly higher at 11.38%. Over the past 10 years, IMTM has underperformed VYMI with an annualized return of 10.18%, while VYMI has yielded a comparatively higher 11.21% annualized return.

IMTM

1D
-3.05%
1M
0.97%
YTD
11.09%
6M
10.38%
1Y
24.50%
3Y*
21.49%
5Y*
9.41%
10Y*
10.18%

VYMI

1D
-1.23%
1M
-0.28%
YTD
11.38%
6M
11.17%
1Y
30.40%
3Y*
21.85%
5Y*
12.40%
10Y*
11.21%
*Multi-year figures are annualized to reflect compound growth (CAGR)

IMTM vs. VYMI - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
IMTM
iShares MSCI Intl Momentum Factor ETF		11.09%34.50%12.17%13.89%-16.81%3.50%22.17%24.52%-14.31%25.46%
VYMI
Vanguard International High Dividend Yield ETF		11.38%38.05%7.06%17.07%-7.02%15.39%-1.11%18.43%-12.65%22.36%

Correlation

The correlation between IMTM and VYMI is 0.88, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.88

Correlation (3Y)
Calculated over the trailing 3-year period

0.87

Correlation (5Y)
Calculated over the trailing 5-year period

0.89

Correlation (10Y)
Calculated over the trailing 10-year period

0.84

Correlation (All Time)
Calculated using the full available price history since Mar 2, 2016

0.82

The correlation between IMTM and VYMI has been stable across timeframes, ranging from 0.82 to 0.89 - a consistent structural relationship.

IMTM vs. VYMI - Sectors Allocation Comparison

Sectors
IMTM
VYMI

Financial Services

28.6%
40.7%

Technology

15.6%
5.2%

Industrials

15.5%
6.2%

Energy

10.0%
8.6%

Basic Materials

9.7%
6.9%

Healthcare

8.9%
6.5%

Utilities

5.3%
5.0%

Consumer Defensive

2.1%
6.7%

Consumer Cyclical

1.8%
6.4%

Communication Services

1.5%
3.7%

Real Estate

1.1%
1.3%

Financial Services

IMTM
28.6%
VYMI
40.7%

Technology

IMTM
15.6%
VYMI
5.2%

Industrials

IMTM
15.5%
VYMI
6.2%

Energy

IMTM
10.0%
VYMI
8.6%

Basic Materials

IMTM
9.7%
VYMI
6.9%

Healthcare

IMTM
8.9%
VYMI
6.5%

Utilities

IMTM
5.3%
VYMI
5.0%

Consumer Defensive

IMTM
2.1%
VYMI
6.7%

Consumer Cyclical

IMTM
1.8%
VYMI
6.4%

Communication Services

IMTM
1.5%
VYMI
3.7%

Real Estate

IMTM
1.1%
VYMI
1.3%

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 International High Dividend Yield ETF

Often compared with IMTM:
IMTM vs. SPMOIMTM vs. IMOMIMTM vs. IWFM.LIMTM vs. VXUSIMTM vs. IDMOIMTM vs. VTIMTM vs. IWMO.MI
Often compared with VYMI:
VYMI vs. VYMVYMI vs. SCHYVYMI vs. SCHDVYMI vs. VIGIVYMI vs. VOOVYMI vs. IDEVVYMI vs. VT

Return for Risk

IMTM vs. VYMI — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
IMTM
IMTM Risk / Return Rank: 4141
Overall Rank
IMTM Sharpe Ratio Rank: 4040
Sharpe Ratio Rank
IMTM Sortino Ratio Rank: 4040
Sortino Ratio Rank
IMTM Omega Ratio Rank: 4040
Omega Ratio Rank
IMTM Calmar Ratio Rank: 4040
Calmar Ratio Rank
IMTM Martin Ratio Rank: 4747
Martin Ratio Rank
VYMI
VYMI Risk / Return Rank: 7070
Overall Rank
VYMI Sharpe Ratio Rank: 7575
Sharpe Ratio Rank
VYMI Sortino Ratio Rank: 7373
Sortino Ratio Rank
VYMI Omega Ratio Rank: 7474
Omega Ratio Rank
VYMI Calmar Ratio Rank: 6363
Calmar Ratio Rank
VYMI Martin Ratio Rank: 6767
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

IMTM vs. VYMI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Momentum Factor ETF (IMTM) and Vanguard International High Dividend Yield ETF (VYMI). 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.

IMTMVYMIDifference
Sharpe ratioReturn per unit of total volatility
1.35
2.30

-0.95

Sortino ratioReturn per unit of downside risk
1.96
3.14

-1.18

Omega ratioGain probability vs. loss probability

1.25

1.42

-0.16

Calmar ratioReturn relative to maximum drawdown

1.92

3.01

-1.10

Martin ratioReturn relative to average drawdown

7.58

11.81

-4.23

IMTM vs. VYMI - Sharpe Ratio Comparison

The current IMTM Sharpe Ratio is 1.35, which is lower than the VYMI Sharpe Ratio of 2.30. The chart below compares the historical Sharpe Ratios of IMTM and VYMI, 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. VYMI - Drawdown Comparison

The maximum IMTM drawdown since its inception was -32.66%, smaller than the maximum VYMI drawdown of -40.00%. Use the drawdown chart below to compare losses from any high point for IMTM and VYMI.

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Drawdown Indicators

IMTMVYMIDifference

Max Drawdown

Largest peak-to-trough decline

-32.66%

-40.00%

+7.34%

Max Drawdown (1Y)

Largest decline over 1 year

-12.85%

-10.14%

-2.71%

Max Drawdown (3Y)

Largest decline over 3 years

-12.85%

-12.84%

-0.01%

Max Drawdown (5Y)

Largest decline over 5 years

-32.66%

-24.05%

-8.61%

Max Drawdown (10Y)

Largest decline over 10 years

-32.66%

-40.00%

+7.34%

Current Drawdown

Current decline from peak

-3.05%

-1.97%

-1.08%

Average Drawdown

Average peak-to-trough decline

-7.42%

-6.28%

-1.14%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.24%

2.58%

+0.66%

Volatility

IMTM vs. VYMI - Volatility Comparison

iShares MSCI Intl Momentum Factor ETF (IMTM) has a higher volatility of 7.39% compared to Vanguard International High Dividend Yield ETF (VYMI) at 4.14%. This indicates that IMTM's price experiences larger fluctuations and is considered to be riskier than VYMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

IMTMVYMIDifference

Volatility (1M)

Calculated over the trailing 1-month period

7.39%

4.14%

+3.25%

Volatility (6M)

Calculated over the trailing 6-month period

16.35%

11.20%

+5.15%

Volatility (1Y)

Calculated over the trailing 1-year period

18.19%

13.27%

+4.92%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.85%

14.87%

+2.98%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.62%

16.61%

+1.01%

IMTM vs. VYMI - Expense Ratio Comparison

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

Dividends

IMTM vs. VYMI - Dividend Comparison

IMTM's dividend yield for the trailing twelve months is around 4.41%, more than VYMI's 3.67% yield.

PositionTTM20252024202320222021202020192018201720162015
IMTM
iShares MSCI Intl Momentum Factor ETF		4.41%4.70%2.93%2.29%2.68%2.51%0.97%2.13%2.36%1.92%2.75%1.56%
VYMI
Vanguard International High Dividend Yield ETF		3.67%3.68%4.84%4.58%4.70%4.30%3.22%4.20%4.29%3.21%2.39%0.00%

Frequently Asked Questions

IMTM and VYMI have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

IMTM has higher volatility (7.39%) compared to VYMI (4.14%). In terms of maximum drawdown, IMTM dropped -32.66% vs VYMI's -40.00%.

On 10-year performance, VYMI leads with 11.21% vs 10.18% for IMTM. On fees, VYMI is cheaper at 0.07% per year. On volatility, VYMI has been the lower-risk option at 4.14%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, VYMI has performed better with a 11.21% return vs 10.18%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

VYMI is cheaper with a 0.07% expense ratio, compared with 0.30% for IMTM.

IMTM has the higher dividend yield at 4.41%, compared with 3.67% for VYMI.

IMTM is categorized as Momentum, while VYMI is Dividend. IMTM tracks MSCI World ex USA Momentum Index, while VYMI tracks FTSE All-World ex US High Dividend Yield Index. They also come from different issuers: iShares and Vanguard. Their fees differ too: 0.30% for IMTM and 0.07% for VYMI.

VYMI currently has the higher Sharpe Ratio (2.30 vs 1.35), 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.

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