Simulation Settings
Category: Stocks
Period: August 2009 - November 2024 (~15 years)
Consolidated Returns as of 30 November 2024
Live Update available for December 2024
Consolidated Returns as of 30 November 2024
Live Update available for December 2024
Currency:
USD
1.00$
Initial Capital
December 2014
December 2014
1.83$
Final Capital
November 2024
November 2024
6.25%
Yearly Return
13.78
Std Deviation
-28.57%
Max Drawdown
28months
Recovery Period
1.00$
Initial Capital
August 2009
August 2009
2.69$
Final Capital
November 2024
November 2024
6.68%
Yearly Return
15.06
Std Deviation
-28.57%
Max Drawdown
28months
Recovery Period
Live update: December 2024 (USD)
0.42%
1 day - Dec 03 2024, 11:57AM Eastern Time
0.97%
Month - December 2024
The iShares MSCI Intl Momentum Factor ETF (IMTM) ETF covers to the following investment themes:
- Asset Class: Equity
- Size: Large Cap
- Style: Blend
- Region: Developed Markets
- Country: EAFE
As of November 2024, over the analyzed timeframe, the iShares MSCI Intl Momentum Factor ETF (IMTM) ETF obtained a 6.68% compound annual return, with a 15.06% standard deviation. It suffered a maximum drawdown of -28.57% that required 28 months to be recovered.
Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information.
The authors of the website are not affiliated with the ETFs/Assets issuers. Content is for informational, educational, illustrative and entertainment purposes only.
Table of contents
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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 |
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Investment Returns as of Nov 30, 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.
- dividend reinvestment, when applicable.
ISHARES MSCI INTL MOMENTUM FACTOR ETF (IMTM) ETF
1 August 2009 - 30 November 2024 (~15 years)
Live Update: December 2024
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Nov 30, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Dec 2024 |
YTD
(11M) |
1M | 6M | 1Y | 5Y | 10Y |
MAX
(~15Y) |
|||
| Investment Return | 0.42 | 0.97 | 15.94 | 1.24 | 0.78 | 20.03 | 8.09 | 6.25 | 6.68 | |||
| Returns over 1 year are annualized | ||||||||||||
| (*) Eastern Time (ET - America/New York) | ||||||||||||
| The live monthly return is calculated by assuming, for each asset, the weight defined by the base asset allocation. | ||||||||||||
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 Nov 30, 2024
An investment of 1$, from December 2014 to November 2024,
would be worth 1.83$, with a total return of 83.39% (6.25% annualized).
The Inflation Adjusted Capital would be 1.38$, with a net total return of 37.77% (3.26% annualized).
The Inflation Adjusted Capital would be 1.38$, with a net total return of 37.77% (3.26% annualized).
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An investment of 1$, from August 2009 to November 2024,
would be worth 2.69$, with a total return of 169.35% (6.68% annualized).
The Inflation Adjusted Capital would be 1.83$, with a net total return of 83.34% (4.03% annualized).
The Inflation Adjusted Capital would be 1.83$, with a net total return of 83.34% (4.03% annualized).
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Investment Metrics as of Nov 30, 2024
Metrics of iShares MSCI Intl Momentum Factor ETF (IMTM) ETF, updated as of 30 November 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.
These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- dividend reinvestment, when applicable.
ISHARES MSCI INTL MOMENTUM FACTOR ETF (IMTM) ETF
Advanced Metrics
1 August 2009 - 30 November 2024 (~15 years)
Swipe left to see all data
| Metrics as of Nov 30, 2024 | |||||||||
|---|---|---|---|---|---|---|---|---|---|
|
YTD
(11M) |
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y |
MAX
(~15Y) |
|
| Investment Return (%) | 15.94 | 1.24 | -2.49 | 0.78 | 20.03 | 4.71 | 8.09 | 6.25 | 6.68 |
| Growth of 1$ | 1.16 | 1.01 | 0.98 | 1.01 | 1.20 | 1.15 | 1.48 | 1.83 | 2.69 |
| US Inflation (%) | 2.17 | 0.00 | 0.42 | 0.71 | 2.41 | 4.20 | 4.11 | 2.90 | 2.54 |
| Pending updates, the monthly inflation of Nov 2024 and beyond is set at 0%. Returns / Inflation rates over 1 year are annualized. | |||||||||
|
DRAWDOWN
|
Current | 1Y | 3Y | 5Y | 10Y | MAX | |||
| Deepest Drawdown Depth (%) | -2.82 | -4.05 | -28.32 | -28.57 | -28.57 | -28.57 | |||
| Start to Recovery (# months) | 2* | 2 | 26 | 28 | 28 | 28 | |||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2021 11 | 2021 11 | 2021 11 | ||||
| Start to Bottom (# months) | 1 | 9 | 11 | 11 | 11 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | ||||
| Bottom to End (# months) | 1 | 17 | 17 | 17 | 17 | ||||
| End (yyyy mm) | 2024 05 | 2024 02 | 2024 02 | 2024 02 | 2024 02 | ||||
| Longest Drawdown Depth (%) | -4.01 |
same |
same |
same |
-16.18 | ||||
| Start to Recovery (# months) | 2* | 35 | |||||||
| Start (yyyy mm) | 2024 10 | 2022 01 | 2021 11 | 2021 11 | 2014 07 | ||||
| Start to Bottom (# months) | 1 | 9 | 11 | 11 | 20 | ||||
| Bottom (yyyy mm) | 2024 10 | 2022 09 | 2022 09 | 2022 09 | 2016 02 | ||||
| Bottom to End (# months) | 1 | 17 | 17 | 17 | 15 | ||||
| End (yyyy mm) | - | 2024 02 | 2024 02 | 2024 02 | 2017 05 | ||||
| Longest negative period (# months) | 5 | 25 | 35 | 59 | 67 | ||||
| Start (yyyy mm) | 2024 06 | 2021 12 | 2020 12 | 2017 11 | 2011 05 | ||||
| End (yyyy mm) | 2024 10 | 2023 12 | 2023 10 | 2022 09 | 2016 11 | ||||
| Annualized Return (%) | -1.09 | -0.47 | -1.60 | -0.09 | -0.19 | ||||
| Drawdowns / Negative periods marked with * are in progress | |||||||||
| Deepest Drawdown Depth (%) | -5.47 | -4.35 | -32.08 | -34.35 | -34.35 | -34.35 | |||
| Start to Recovery (# months) | 42* | 2 | 32 | 42* | 42* | 42* | |||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2021 06 | 2021 06 | 2021 06 | ||||
| Start to Bottom (# months) | 1 | 9 | 16 | 16 | 16 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | ||||
| Bottom to End (# months) | 1 | 23 | 26 | 26 | 26 | ||||
| End (yyyy mm) | 2024 05 | 2024 08 | - | - | - | ||||
| Longest Drawdown Depth (%) | -4.25 |
same |
same |
same |
-16.57 | ||||
| Start to Recovery (# months) | 2* | 43 | |||||||
| Start (yyyy mm) | 2024 10 | 2022 01 | 2021 06 | 2021 06 | 2014 01 | ||||
| Start to Bottom (# months) | 1 | 9 | 16 | 16 | 26 | ||||
| Bottom (yyyy mm) | 2024 10 | 2022 09 | 2022 09 | 2022 09 | 2016 02 | ||||
| Bottom to End (# months) | 1 | 23 | 26 | 26 | 17 | ||||
| End (yyyy mm) | - | 2024 08 | - | - | 2017 07 | ||||
| Longest negative period (# months) | 7 | 35* | 47 | 94 | 137 | ||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2019 12 | 2014 12 | 2011 05 | ||||
| End (yyyy mm) | 2024 10 | 2024 11 | 2023 10 | 2022 09 | 2022 09 | ||||
| Annualized Return (%) | -1.57 | -0.76 | -1.18 | -0.56 | -0.40 | ||||
| Drawdowns / Negative periods marked with * are in progress | |||||||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | MAX | ||||
| Standard Deviation (%) | 10.73 | 16.42 | 16.15 | 13.78 | 15.06 | ||||
| Sharpe Ratio | 1.38 | 0.06 | 0.36 | 0.34 | 0.38 | ||||
| Sortino Ratio | 1.78 | 0.08 | 0.48 | 0.46 | 0.51 | ||||
| Ulcer Index | 1.77 | 11.87 | 9.82 | 8.58 | 9.38 | ||||
| Ratio: Return / Standard Deviation | 1.87 | 0.29 | 0.50 | 0.45 | 0.44 | ||||
| Ratio: Return / Deepest Drawdown | 4.94 | 0.17 | 0.28 | 0.22 | 0.23 | ||||
| Positive Months (%) | 75.00 | 58.33 | 61.66 | 60.00 | 59.78 | ||||
| Positive Months | 9 | 21 | 37 | 72 | 110 | ||||
| Negative Months | 3 | 15 | 23 | 48 | 74 | ||||
|
LONG TERM RETURNS
|
1Y | 3Y | 5Y | 10Y | MAX | ||||
| Best 10 Years Return (%) - Annualized | 6.25 | 8.72 | |||||||
| Worst 10 Years Return (%) - Annualized | 3.15 | ||||||||
| Best 10 Years Return (%) - Annualized | 3.26 | 6.68 | |||||||
| Worst 10 Years Return (%) - Annualized | 0.35 | ||||||||
|
TIMEFRAMES
|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | MAX | |
| ··· As of Nov 2024 - Over the previous 10Y | |||||||||
| Best Rolling Return (%) - Annualized | 43.71 | 17.48 | 11.76 | 6.25 | |||||
| Worst Rolling Return (%) - Annualized | -25.04 | -0.11 | 0.32 | ||||||
| Positive Periods (%) | 65.1 | 98.8 | 100.0 | 100.0 | |||||
| Best Rolling Return (%) - Annualized | 40.04 | 13.43 | 9.26 | 3.26 | |||||
| Worst Rolling Return (%) - Annualized | -30.72 | -5.00 | -3.31 | ||||||
| Positive Periods (%) | 61.4 | 69.4 | 81.9 | 100.0 | |||||
| 95% VaR - Value at Risk (%) - Cumulative | 5.96 | 9.58 | 12.51 | ||||||
| 95% CVaR - Conditional Value at Risk (%) | 7.61 | 12.44 | 16.56 | ||||||
| 99% VaR - Value at Risk (%) - Cumulative | 8.67 | 14.27 | 19.15 | ||||||
| 99% CVaR - Conditional Value at Risk (%) | 10.39 | 17.26 | 23.38 | ||||||
| Short term VaRs: analytical | |||||||||
| Safe Withdrawal Rate (%) | 81.65 | 27.78 | 19.43 | 11.19 | |||||
| Perpetual Withdrawal Rate (%) | --- | --- | --- | 3.07 | |||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | |||||||||
| ··· All available data (Aug 2009 - Nov 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 (%) | 64.1 | 93.2 | 99.2 | 100.0 | |||||
| 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 (%) | 60.6 | 73.1 | 84.0 | 100.0 | |||||
| 95% VaR - Value at Risk (%) - Cumulative | 6.52 | 10.48 | 13.70 | 14.95 | 1.65 | 0.00 | |||
| 95% CVaR - Conditional Value at Risk (%) | 8.32 | 13.60 | 18.12 | 19.52 | 6.07 | 0.00 | |||
| 99% VaR - Value at Risk (%) - Cumulative | 9.48 | 15.61 | 20.96 | 23.66 | 10.39 | 3.46 | |||
| 99% CVaR - Conditional Value at Risk (%) | 11.36 | 18.87 | 25.58 | 25.04 | 10.39 | 3.46 | |||
| Short term VaRs: analytical | 1+ year VaRs: historical data | |||||||||
| Safe Withdrawal Rate (%) | 81.65 | 27.78 | 18.69 | 10.11 | |||||
| Perpetual Withdrawal Rate (%) | --- | --- | --- | 0.36 | |||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | |||||||||
- 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.
- Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
- Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
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Correlations as of Nov 30, 2024
Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.
The following table shows the 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 30 November 2024
Swipe left to see all data
| Correlation vs IMTM | |||||
|---|---|---|---|---|---|
| Asset Class | 1 Year | 5 Years | 10 Years | 30 Years | |
|
VTI
|
US Total Stock Market | 0.73 | 0.89 | 0.86 | - |
|
SPY
|
US Large Cap Blend | 0.75 | 0.89 | 0.86 | - |
|
IJH
|
US Mid Cap Blend | 0.68 | 0.85 | 0.81 | - |
|
IJR
|
US Small Cap Blend | 0.51 | 0.77 | 0.72 | - |
|
VNQ
|
US REITs | 0.55 | 0.82 | 0.67 | - |
|
QQQ
|
US Technology | 0.54 | 0.78 | 0.77 | - |
|
PFF
|
US Preferred Stocks | 0.66 | 0.78 | 0.71 | - |
|
EFA
|
EAFE Stocks | 0.87 | 0.95 | 0.93 | - |
|
VT
|
World All Countries | 0.83 | 0.93 | 0.92 | - |
|
EEM
|
Emerging Markets | 0.36 | 0.76 | 0.77 | - |
|
BND
|
US Total Bond Market | 0.54 | 0.63 | 0.48 | - |
|
TLT
|
US Long Term Treasuries | 0.54 | 0.37 | 0.20 | - |
|
BIL
|
US Cash | 0.37 | 0.04 | 0.05 | - |
|
TIP
|
US TIPS | 0.55 | 0.67 | 0.54 | - |
|
LQD
|
US Invest. Grade Bonds | 0.55 | 0.75 | 0.64 | - |
|
HYG
|
US High Yield Bonds | 0.60 | 0.80 | 0.77 | - |
|
CWB
|
US Convertible Bonds | 0.40 | 0.78 | 0.78 | - |
|
BNDX
|
International Bonds | 0.39 | 0.58 | 0.41 | - |
|
EMB
|
Emerg. Market Bonds | 0.68 | 0.85 | 0.77 | - |
|
GLD
|
Gold | -0.02 | 0.37 | 0.25 | - |
|
DBC
|
Commodities | -0.17 | 0.45 | 0.46 | - |
Correlation values range between -1 and +1
- A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
- A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
- A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.
Learn about historical correlations here: see how the main asset classes relate 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
1 December 2014 - 30 November 2024 (10 Years)
1 August 2009 - 30 November 2024 (~15 years)
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Rolling Returns
For a detailed rolling return analysis, click here
iShares MSCI Intl Momentum Factor ETF (IMTM) ETF: Rolling Returns
iShares MSCI Intl Momentum Factor ETF (IMTM) ETF: Rolling Returns
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
1 December 2014 - 30 November 2024 (10 Years)
1 August 2009 - 30 November 2024 (~15 years)
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The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and the 15th and 85th percentiles. These percentiles give insight into the distribution of the data, indicating the range within which the central 70% of the values lie, while the median represents the middle value.
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. They are retrieved considering the time period from August 2009 to November 2024.
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For further information about the seasonality, check the Asset Class Seasonality page.
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
1 December 2014 - 30 November 2024 (10 Years)
1 August 2009 - 30 November 2024 (~15 years)
72 Positive Months (60%) - 48 Negative Months (40%)
110 Positive Months (60%) - 74 Negative Months (40%)
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Methodology
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.
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.
The first official book of
Build wealth
with Lazy Portfolios and Passive Investing
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