PEMX vs. IMTM
PEMX (Putnam Emerging Markets Ex-China ETF) and IMTM (iShares MSCI Intl Momentum Factor ETF) are both exchange-traded funds - PEMX is a Emerging Markets Diversified fund actively managed by Putnam, while IMTM is a Momentum fund tracking the MSCI World ex USA Momentum Index. PEMX is actively managed, while IMTM is passively managed. Over the past 3 years, PEMX returned 33.94%/yr vs 21.49%/yr for IMTM. A 0.73 correlation means they provide meaningful diversification when combined. PEMX charges 0.85%/yr vs 0.30%/yr for IMTM.
Performance
PEMX vs. IMTM - Performance Comparison
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Returns By Period
In the year-to-date period, PEMX achieves a 38.87% return, which is significantly higher than IMTM's 11.09% return.
PEMX
- 1D
- -6.08%
- 1M
- 6.67%
- YTD
- 38.87%
- 6M
- 41.13%
- 1Y
- 69.16%
- 3Y*
- 33.94%
- 5Y*
- —
- 10Y*
- —
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%
PEMX vs. IMTM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
PEMX Putnam Emerging Markets Ex-China ETF | 38.87% | 34.01% | 17.21% | 15.13% |
IMTM iShares MSCI Intl Momentum Factor ETF | 11.09% | 34.50% | 12.17% | 5.44% |
Correlation
The correlation between PEMX and IMTM is 0.74, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.74 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.73 |
Correlation (All Time) Calculated using the full available price history since May 18, 2023 | 0.73 |
The correlation between PEMX and IMTM has been stable across timeframes, ranging from 0.73 to 0.74 - a consistent structural relationship.
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Return for Risk
PEMX vs. IMTM — Risk / Return Rank
PEMX
IMTM
PEMX vs. IMTM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Putnam Emerging Markets Ex-China ETF (PEMX) and iShares MSCI Intl Momentum Factor ETF (IMTM). 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.
| PEMX | IMTM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.43 | ||
| Sortino ratioReturn per unit of downside risk | +1.37 | ||
| Omega ratioGain probability vs. loss probability | 1.49 | 1.25 | +0.24 |
| Calmar ratioReturn relative to maximum drawdown | 4.81 | 1.92 | +2.90 |
| Martin ratioReturn relative to average drawdown | 18.22 | 7.58 | +10.64 |
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Drawdowns
PEMX vs. IMTM - Drawdown Comparison
The maximum PEMX drawdown since its inception was -14.91%, smaller than the maximum IMTM drawdown of -32.66%. Use the drawdown chart below to compare losses from any high point for PEMX and IMTM.
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Drawdown Indicators
| PEMX | IMTM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.91% | -32.66% | +17.75% |
Max Drawdown (1Y)Largest decline over 1 year | -14.45% | -12.85% | -1.60% |
Max Drawdown (3Y)Largest decline over 3 years | -14.91% | -12.85% | -2.06% |
Max Drawdown (5Y)Largest decline over 5 years | — | -32.66% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -32.66% | — |
Current DrawdownCurrent decline from peak | -6.08% | -3.05% | -3.03% |
Average DrawdownAverage peak-to-trough decline | -2.85% | -7.42% | +4.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.81% | 3.24% | +0.57% |
Volatility
PEMX vs. IMTM - Volatility Comparison
Putnam Emerging Markets Ex-China ETF (PEMX) has a higher volatility of 14.35% compared to iShares MSCI Intl Momentum Factor ETF (IMTM) at 7.39%. This indicates that PEMX's price experiences larger fluctuations and is considered to be riskier than IMTM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PEMX | IMTM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.35% | 7.39% | +6.96% |
Volatility (6M)Calculated over the trailing 6-month period | 22.77% | 16.35% | +6.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 25.00% | 18.19% | +6.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.49% | 17.85% | +1.64% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.49% | 17.62% | +1.87% |
PEMX vs. IMTM - Expense Ratio Comparison
PEMX has a 0.85% expense ratio, which is higher than IMTM's 0.30% expense ratio.
Dividends
PEMX vs. IMTM - Dividend Comparison
PEMX's dividend yield for the trailing twelve months is around 5.04%, more than IMTM's 4.41% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
PEMX Putnam Emerging Markets Ex-China ETF | 5.04% | 7.00% | 5.00% | 0.72% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
PEMX and IMTM have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PEMX has higher volatility (14.35%) compared to IMTM (7.39%). In terms of maximum drawdown, PEMX dropped -14.91% vs IMTM's -32.66%.
On 3-year performance, PEMX leads with 33.94% vs 21.49% for IMTM. On fees, IMTM is cheaper at 0.30% per year. On volatility, IMTM has been the lower-risk option at 7.39%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, PEMX has performed better with a 33.94% return vs 21.49%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IMTM is cheaper with a 0.30% expense ratio, compared with 0.85% for PEMX.
PEMX has the higher dividend yield at 5.04%, compared with 4.41% for IMTM.
PEMX is categorized as Emerging Markets Diversified, while IMTM is Momentum. They also come from different issuers: Putnam and iShares. Their fees differ too: 0.85% for PEMX and 0.30% for IMTM.
PEMX currently has the higher Sharpe Ratio (2.78 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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