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

Key characteristics


IMTMWCMIX
YTD Return16.12%13.62%
1Y Return26.41%25.35%
3Y Return (Ann)2.42%-4.28%
5Y Return (Ann)8.29%7.87%
Sharpe Ratio1.671.78
Sortino Ratio2.262.55
Omega Ratio1.301.31
Calmar Ratio1.740.83
Martin Ratio8.909.68
Ulcer Index2.95%2.64%
Daily Std Dev15.65%14.41%
Max Drawdown-30.68%-42.39%
Current Drawdown-4.45%-13.13%

Correlation

-0.50.00.51.00.8

The correlation between IMTM and WCMIX is 0.79, 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. WCMIX - Performance Comparison

In the year-to-date period, IMTM achieves a 16.12% return, which is significantly higher than WCMIX's 13.62% 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
3.04%
3.61%
IMTM
WCMIX

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IMTM vs. WCMIX - Expense Ratio Comparison

IMTM has a 0.30% expense ratio, which is lower than WCMIX's 1.04% expense ratio.


WCMIX
WCM Focused International Growth Fund
Expense ratio chart for WCMIX: current value at 1.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.04%
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%

Risk-Adjusted Performance

IMTM vs. WCMIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Momentum Factor ETF (IMTM) and WCM Focused International Growth Fund (WCMIX). 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 1.67, compared to the broader market-2.000.002.004.006.001.67
Sortino ratio
The chart of Sortino ratio for IMTM, currently valued at 2.26, compared to the broader market-2.000.002.004.006.008.0010.0012.002.26
Omega ratio
The chart of Omega ratio for IMTM, currently valued at 1.30, compared to the broader market1.001.502.002.503.001.30
Calmar ratio
The chart of Calmar ratio for IMTM, currently valued at 1.74, compared to the broader market0.005.0010.0015.001.74
Martin ratio
The chart of Martin ratio for IMTM, currently valued at 8.90, compared to the broader market0.0020.0040.0060.0080.00100.008.90
WCMIX
Sharpe ratio
The chart of Sharpe ratio for WCMIX, currently valued at 1.78, compared to the broader market-2.000.002.004.006.001.78
Sortino ratio
The chart of Sortino ratio for WCMIX, currently valued at 2.55, compared to the broader market-2.000.002.004.006.008.0010.0012.002.55
Omega ratio
The chart of Omega ratio for WCMIX, currently valued at 1.31, compared to the broader market1.001.502.002.503.001.31
Calmar ratio
The chart of Calmar ratio for WCMIX, currently valued at 0.83, compared to the broader market0.005.0010.0015.000.83
Martin ratio
The chart of Martin ratio for WCMIX, currently valued at 9.68, compared to the broader market0.0020.0040.0060.0080.00100.009.68

IMTM vs. WCMIX - Sharpe Ratio Comparison

The current IMTM Sharpe Ratio is 1.67, which is comparable to the WCMIX Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of IMTM and WCMIX, 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
1.67
1.78
IMTM
WCMIX

Dividends

IMTM vs. WCMIX - Dividend Comparison

IMTM's dividend yield for the trailing twelve months is around 2.21%, while WCMIX has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
IMTM
iShares MSCI Intl Momentum Factor ETF
2.21%2.29%2.68%5.41%0.97%2.13%2.36%1.91%2.75%1.56%0.00%0.00%
WCMIX
WCM Focused International Growth Fund
0.00%0.00%0.00%0.00%0.06%0.22%0.38%0.45%0.51%0.32%0.23%0.27%

Drawdowns

IMTM vs. WCMIX - Drawdown Comparison

The maximum IMTM drawdown since its inception was -30.68%, smaller than the maximum WCMIX drawdown of -42.39%. Use the drawdown chart below to compare losses from any high point for IMTM and WCMIX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.45%
-13.13%
IMTM
WCMIX

Volatility

IMTM vs. WCMIX - Volatility Comparison

The current volatility for iShares MSCI Intl Momentum Factor ETF (IMTM) is 3.57%, while WCM Focused International Growth Fund (WCMIX) has a volatility of 4.16%. This indicates that IMTM experiences smaller price fluctuations and is considered to be less risky than WCMIX 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
3.57%
4.16%
IMTM
WCMIX