BTC-USD vs. IDMO
BTC-USD (Bitcoin) is a cryptocurrency, while IDMO (Invesco S&P International Developed Momentum ETF) is Momentum fund tracking the S&P Momentum Developed ex U.S. & South Korea LargeMidCap Index. Over the past 10 years, BTC-USD returned 59.68%/yr vs 12.02%/yr for IDMO. At a 0.13 correlation, their price movements are largely independent.
Performance
BTC-USD vs. IDMO - Performance Comparison
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Returns By Period
In the year-to-date period, BTC-USD achieves a -28.54% return, which is significantly lower than IDMO's 5.33% return. Over the past 10 years, BTC-USD has outperformed IDMO with an annualized return of 59.68%, while IDMO has yielded a comparatively lower 12.02% annualized return.
BTC-USD
- 1D
- -1.22%
- 1M
- -22.47%
- YTD
- -28.54%
- 6M
- -31.02%
- 1Y
- -40.89%
- 3Y*
- 33.16%
- 5Y*
- 10.82%
- 10Y*
- 59.68%
IDMO
- 1D
- 0.67%
- 1M
- -3.78%
- YTD
- 5.33%
- 6M
- 8.93%
- 1Y
- 19.27%
- 3Y*
- 24.47%
- 5Y*
- 15.15%
- 10Y*
- 12.02%
BTC-USD vs. IDMO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
BTC-USD Bitcoin | -28.54% | -6.27% | 120.76% | 155.82% | -64.23% | 59.40% | 304.57% | 94.10% | -73.37% | 1,324.24% |
IDMO Invesco S&P International Developed Momentum ETF | 5.33% | 42.17% | 12.79% | 20.16% | -12.03% | 14.31% | 22.01% | 26.09% | -16.66% | 29.21% |
Correlation
The correlation between BTC-USD and IDMO is 0.35, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.35 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.22 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.27 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.16 |
Correlation (All Time) Calculated using the full available price history since Sep 24, 2012 | 0.13 |
Over the past year, BTC-USD and IDMO have become more correlated (0.35) than their long-term average of 0.13, meaning their price movements have been converging.
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Return for Risk
BTC-USD vs. IDMO — Risk / Return Rank
BTC-USD
IDMO
BTC-USD vs. IDMO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Bitcoin (BTC-USD) and Invesco S&P International Developed Momentum ETF (IDMO). 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.
| BTC-USD | IDMO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.08 | ||
| Sortino ratioReturn per unit of downside risk | -3.03 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 1.21 | -0.35 |
| Calmar ratioReturn relative to maximum drawdown | -0.80 | 1.57 | -2.37 |
| Martin ratioReturn relative to average drawdown | -1.42 | 6.49 | -7.91 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| BTC-USD | IDMO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.95 | 1.12 | -2.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.20 | 0.85 | -0.65 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.87 | 0.67 | +0.21 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.13 | 0.44 | +0.69 |
Drawdowns
BTC-USD vs. IDMO - Drawdown Comparison
The maximum BTC-USD drawdown since its inception was -85.30%, which is greater than IDMO's maximum drawdown of -39.38%. Use the drawdown chart below to compare losses from any high point for BTC-USD and IDMO.
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Drawdown Indicators
| BTC-USD | IDMO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -85.30% | -39.38% | -45.92% |
Max Drawdown (1Y)Largest decline over 1 year | -51.21% | -12.31% | -38.90% |
Max Drawdown (3Y)Largest decline over 3 years | -51.21% | -12.65% | -38.56% |
Max Drawdown (5Y)Largest decline over 5 years | -76.67% | -27.07% | -49.60% |
Max Drawdown (10Y)Largest decline over 10 years | -83.80% | -31.34% | -52.46% |
Current DrawdownCurrent decline from peak | -49.86% | -4.49% | -45.37% |
Average DrawdownAverage peak-to-trough decline | -42.32% | -9.75% | -32.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.46% | 2.99% | +31.47% |
Volatility
BTC-USD vs. IDMO - Volatility Comparison
Bitcoin (BTC-USD) has a higher volatility of 11.59% compared to Invesco S&P International Developed Momentum ETF (IDMO) at 6.18%. This indicates that BTC-USD's price experiences larger fluctuations and is considered to be riskier than IDMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BTC-USD | IDMO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.59% | 6.18% | +5.41% |
Volatility (6M)Calculated over the trailing 6-month period | 34.53% | 15.28% | +19.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 35.67% | 17.25% | +18.42% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 44.95% | 17.90% | +27.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 56.71% | 18.14% | +38.57% |
Frequently Asked Questions
BTC-USD and IDMO have a correlation of 0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTC-USD has higher volatility (11.59%) compared to IDMO (6.18%). In terms of maximum drawdown, BTC-USD dropped -85.30% vs IDMO's -39.38%.
IDMO currently has the higher Sharpe Ratio (1.12 vs -0.95), 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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