iShares MSCI Intl Momentum Factor ETF (IMTM): Historical Returns

Data Source: from August 2009 to March 2024 (~15 years)
Consolidated Returns as of 31 March 2024
Live Update: Apr 17 2024
Category: Stocks
iShares MSCI Intl Momentum Factor ETF (IMTM) ETF
ETF • LIVE PERFORMANCE (USD currency)
0.00%
1 Day
Apr 17 2024
4.61%
Current Month
April 2024

In the last 10 Years, the iShares MSCI Intl Momentum Factor ETF (IMTM) ETF obtained a 5.68% compound annual return, with a 13.68% standard deviation.

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The ETF is related to the following investment themes:

  • Asset Class: Equity
  • Size: Large Cap
  • Style: Blend
  • Region: Developed Markets
  • Country: EAFE

The iShares MSCI Intl Momentum Factor ETF (IMTM) ETF is part of the following Lazy Portfolios:

Portfolio Name Author IMTM Weight Currency
Developed World ex-US Stocks Momentum 100.00% USD
Developed World ex-US 60/40 Momentum 60.00% USD
Developed World ex-US 40/60 Momentum 40.00% USD

Investment Returns as of Mar 31, 2024

The iShares MSCI Intl Momentum Factor ETF (IMTM) ETF guaranteed the following returns.

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
ISHARES MSCI INTL MOMENTUM FACTOR ETF (IMTM) ETF
Consolidated returns as of 31 March 2024
Live Update: Apr 17 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Mar 31, 2024
  1 Day Time ET(*) Apr 2024 1M 6M 1Y 5Y 10Y MAX
(~15Y)
iShares MSCI Intl Momentum Factor ETF (IMTM) ETF n.a. -4.61 5.32 25.94 24.32 9.51 5.68 6.89
US Inflation Adjusted return 4.92 23.95 20.14 5.11 2.76 4.20
Returns over 1 year are annualized | Available data source: since Aug 2009
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Mar 2024. Current inflation (annualized) is 1Y: 3.48% , 5Y: 4.19% , 10Y: 2.84%

In 2023, the iShares MSCI Intl Momentum Factor ETF (IMTM) ETF granted a 2.56% dividend yield. If you are interested in getting periodic income, please refer to the iShares MSCI Intl Momentum Factor ETF (IMTM) ETF: Dividend Yield page.

Capital Growth as of Mar 31, 2024

An investment of 1$, since April 2014, now would be worth 1.74$, with a total return of 73.68% (5.68% annualized).

The Inflation Adjusted Capital now would be 1.31$, with a net total return of 31.29% (2.76% annualized).
An investment of 1$, since August 2009, now would be worth 2.66$, with a total return of 165.81% (6.89% annualized).

The Inflation Adjusted Capital now would be 1.83$, with a net total return of 82.80% (4.20% annualized).

Investment Metrics as of Mar 31, 2024

Metrics of iShares MSCI Intl Momentum Factor ETF (IMTM) ETF, updated as of 31 March 2024.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
ISHARES MSCI INTL MOMENTUM FACTOR ETF (IMTM) ETF
Advanced Metrics
Data Source: 1 August 2009 - 31 March 2024 (~15 years)
Swipe left to see all data
Metrics as of Mar 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~15Y)
Investment Return (%) 5.32 14.41 25.94 24.32 4.99 9.51 5.68 6.89
Infl. Adjusted Return (%) details 4.92 13.13 23.95 20.14 -0.60 5.11 2.76 4.20
US Inflation (%) 0.38 1.13 1.61 3.48 5.63 4.19 2.84 2.59
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Deepest Drawdown Depth (%) -8.35 -28.57 -28.57 -28.57 -28.57
Start to Recovery (# months) details 5 28 28 28 28
Start (yyyy mm) 2023 08 2021 11 2021 11 2021 11 2021 11
Start to Bottom (# months) 3 11 11 11 11
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 17 17 17 17
End (yyyy mm) 2023 12 2024 02 2024 02 2024 02 2024 02
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest
-16.18 -16.18
Start to Recovery (# months) details 35 35
Start (yyyy mm) 2023 08 2021 11 2021 11 2014 07 2014 07
Start to Bottom (# months) 3 11 11 20 20
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2016 02 2016 02
Bottom to End (# months) 2 17 17 15 15
End (yyyy mm) 2023 12 2024 02 2024 02 2017 05 2017 05
Longest negative period (# months) details 7 32 39 59 67
Period Start (yyyy mm) 2023 04 2021 04 2019 07 2017 11 2011 05
Period End (yyyy mm) 2023 10 2023 11 2022 09 2022 09 2016 11
Annualized Return (%) -4.71 -0.87 -0.43 -0.09 -0.19
Deepest Drawdown Depth (%) -9.22 -34.35 -34.35 -34.35 -34.35
Start to Recovery (# months) details 5 34* 34* 34* 34*
Start (yyyy mm) 2023 08 2021 06 2021 06 2021 06 2021 06
Start to Bottom (# months) 3 16 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 18 18 18 18
End (yyyy mm) 2023 12 - - - -
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest
-16.21 -16.57
Start to Recovery (# months) details 37 43
Start (yyyy mm) 2023 08 2021 06 2021 06 2014 07 2014 01
Start to Bottom (# months) 3 16 16 20 26
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2016 02 2016 02
Bottom to End (# months) 2 18 18 17 17
End (yyyy mm) 2023 12 - - 2017 07 2017 07
Longest negative period (# months) details 7 36* 52 103 137
Period Start (yyyy mm) 2023 04 2021 04 2019 07 2014 04 2011 05
Period End (yyyy mm) 2023 10 2024 03 2023 10 2022 10 2022 09
Annualized Return (%) -7.77 -0.60 -0.75 -0.33 -0.40
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y MAX
Standard Deviation (%) 13.96 16.58 16.05 13.68 15.25
Sharpe Ratio 1.37 0.15 0.48 0.33 0.19
Sortino Ratio 1.78 0.20 0.64 0.44 0.26
Ulcer Index 3.43 12.09 9.80 9.18 9.58
Ratio: Return / Standard Deviation 1.74 0.30 0.59 0.42 0.45
Ratio: Return / Deepest Drawdown 2.91 0.17 0.33 0.20 0.24
% Positive Months details 66% 58% 61% 58% 59%
Positive Months 8 21 37 70 105
Negative Months 4 15 23 50 71
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Best 10 Years Return (%) - Annualized 5.68 8.72
Worst 10 Years Return (%) - Annualized 3.15
Best 10 Years Return (%) - Annualized 2.76 6.68
Worst 10 Years Return (%) - Annualized 0.35
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Over the latest 10Y
Best Rolling Return (%) - Annualized 43.71 17.48 11.76 5.68
Worst Rolling Return (%) - Annualized -25.04 -0.11 0.32
% Positive Periods 58% 98% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 81.65 28.72 19.16 10.56
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 2.52
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 40.04 13.43 9.26 2.76
Worst Rolling Return (%) - Annualized -30.72 -5.00 -3.31
% Positive Periods 55% 71% 80% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 81.65 28.72 19.16 10.56
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 2.52
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Aug 2009 - Mar 2024)
Best Rolling Return (%) - Annualized 43.71 17.48 11.76 8.72
Worst Rolling Return (%) - Annualized -25.04 -3.59 -0.70 3.15
% Positive Periods 62% 92% 99% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 81.65 28.72 18.69 10.11
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.36
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 40.04 13.43 9.26 6.68
Worst Rolling Return (%) - Annualized -30.72 -5.00 -3.31 0.35
% Positive Periods 58% 75% 82% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 81.65 28.72 18.69 10.11
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.36
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Correlations as of Mar 31, 2024

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.

Monthly correlations of iShares MSCI Intl Momentum Factor ETF (IMTM) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

ISHARES MSCI INTL MOMENTUM FACTOR ETF (IMTM) ETF
Monthly correlations as of 31 March 2024
Swipe left to see all data
Correlation vs IMTM
Asset Class 1 Year 5 Years 10 Years Since
Aug 2009
VTI
US Total Stock Market
0.86
0.90
0.86
0.86
SPY
US Large Cap
0.88
0.90
0.86
0.86
IJR
US Small Cap
0.68
0.79
0.72
0.73
VNQ
US REITs
0.77
0.80
0.65
0.68
QQQ
US Technology
0.54
0.79
0.77
0.77
PFF
Preferred Stocks
0.79
0.77
0.70
0.64
EFA
EAFE Stocks
0.93
0.94
0.93
0.94
VT
World All Countries
0.89
0.93
0.92
0.93
EEM
Emerging Markets
0.77
0.78
0.78
0.82
VGK
Europe
0.92
0.94
0.92
0.93
VPL
Pacific
0.85
0.89
0.88
0.88
FLLA
Latin America
0.68
0.68
0.61
0.67
BND
US Total Bond Market
0.65
0.59
0.45
0.27
TLT
Long Term Treasuries
0.69
0.28
0.16
-0.11
BIL
US Cash
0.21
0.06
0.08
0.03
TIP
TIPS
0.70
0.63
0.53
0.35
LQD
Invest. Grade Bonds
0.69
0.72
0.62
0.48
HYG
High Yield Bonds
0.76
0.81
0.77
0.78
CWB
US Convertible Bonds
0.64
0.79
0.79
0.78
BNDX
International Bonds
0.51
0.55
0.39
0.24
EMB
Emerg. Market Bonds
0.80
0.84
0.76
0.69
GLD
Gold
0.32
0.41
0.28
0.22
DBC
Commodities
0.23
0.49
0.49
0.55

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

ISHARES MSCI INTL MOMENTUM FACTOR ETF (IMTM) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 April 2014 - 31 March 2024 (10 Years)
Data Source: 1 August 2009 - 31 March 2024 (~15 years)
Inflation Adjusted:
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Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

ISHARES MSCI INTL MOMENTUM FACTOR ETF (IMTM) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 April 2014 - 31 March 2024 (10 Years)
Data Source: 1 August 2009 - 31 March 2024 (~15 years)
Inflation Adjusted:

If you need a deeper detail about rolling returns, please refer to the iShares MSCI Intl Momentum Factor ETF (IMTM) ETF: Rolling Returns page.

Seasonality

In which months is it better to invest in iShares MSCI Intl Momentum Factor ETF (IMTM) ETF?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
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Monthly Returns

This section provides a visual/tabular representation of the performance variability in the iShares MSCI Intl Momentum Factor ETF (IMTM) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

ISHARES MSCI INTL MOMENTUM FACTOR ETF (IMTM) ETF
Monthly Returns Distribution
Data Source: 1 April 2014 - 31 March 2024 (10 Years)
Data Source: 1 August 2009 - 31 March 2024 (~15 years)
70 Positive Months (58%) - 50 Negative Months (42%)
105 Positive Months (60%) - 71 Negative Months (40%)
Swipe left to see all data
(Scroll down to see all data)
Investment Returns, up to January 2015, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.

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