BTC-USD vs. XMMO
BTC-USD (Bitcoin) is a cryptocurrency, while XMMO (Invesco S&P MidCap Momentum ETF) is Momentum fund tracking the S&P MidCap 400 Momentum Index. Over the past 10 years, BTC-USD returned 59.68%/yr vs 19.50%/yr for XMMO. At a 0.12 correlation, their price movements are largely independent.
Performance
BTC-USD vs. XMMO - 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 XMMO's 19.66% return. Over the past 10 years, BTC-USD has outperformed XMMO with an annualized return of 59.68%, while XMMO has yielded a comparatively lower 19.50% 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%
XMMO
- 1D
- 0.46%
- 1M
- -0.10%
- YTD
- 19.66%
- 6M
- 19.51%
- 1Y
- 31.14%
- 3Y*
- 29.91%
- 5Y*
- 15.72%
- 10Y*
- 19.50%
BTC-USD vs. XMMO - 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% |
XMMO Invesco S&P MidCap Momentum ETF | 19.66% | 13.04% | 38.03% | 20.39% | -16.02% | 16.69% | 29.17% | 36.78% | 6.12% | 37.18% |
Correlation
The correlation between BTC-USD and XMMO is 0.34, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.34 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.28 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.29 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since Sep 24, 2012 | 0.12 |
Over the past year, BTC-USD and XMMO have become more correlated (0.34) than their long-term average of 0.12, meaning their price movements have been converging.
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Return for Risk
BTC-USD vs. XMMO — Risk / Return Rank
BTC-USD
XMMO
BTC-USD vs. XMMO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Bitcoin (BTC-USD) and Invesco S&P MidCap Momentum ETF (XMMO). 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 | XMMO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.59 | ||
| Sortino ratioReturn per unit of downside risk | -3.64 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 1.29 | -0.43 |
| Calmar ratioReturn relative to maximum drawdown | -0.80 | 3.75 | -4.55 |
| Martin ratioReturn relative to average drawdown | -1.42 | 15.23 | -16.65 |
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 | XMMO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.95 | 1.63 | -2.59 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.20 | 0.73 | -0.53 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.87 | 0.88 | 0.00 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.13 | 0.57 | +0.56 |
Drawdowns
BTC-USD vs. XMMO - Drawdown Comparison
The maximum BTC-USD drawdown since its inception was -85.30%, which is greater than XMMO's maximum drawdown of -55.37%. Use the drawdown chart below to compare losses from any high point for BTC-USD and XMMO.
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Drawdown Indicators
| BTC-USD | XMMO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -85.30% | -55.37% | -29.93% |
Max Drawdown (1Y)Largest decline over 1 year | -51.21% | -8.34% | -42.87% |
Max Drawdown (3Y)Largest decline over 3 years | -51.21% | -24.93% | -26.28% |
Max Drawdown (5Y)Largest decline over 5 years | -76.67% | -27.91% | -48.76% |
Max Drawdown (10Y)Largest decline over 10 years | -83.80% | -36.74% | -47.06% |
Current DrawdownCurrent decline from peak | -49.86% | -3.69% | -46.17% |
Average DrawdownAverage peak-to-trough decline | -42.32% | -9.45% | -32.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.46% | 2.07% | +32.39% |
Volatility
BTC-USD vs. XMMO - Volatility Comparison
Bitcoin (BTC-USD) has a higher volatility of 11.59% compared to Invesco S&P MidCap Momentum ETF (XMMO) at 7.70%. This indicates that BTC-USD's price experiences larger fluctuations and is considered to be riskier than XMMO 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 | XMMO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.59% | 7.70% | +3.89% |
Volatility (6M)Calculated over the trailing 6-month period | 34.53% | 16.07% | +18.46% |
Volatility (1Y)Calculated over the trailing 1-year period | 35.67% | 19.18% | +16.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 44.95% | 21.52% | +23.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 56.71% | 22.31% | +34.40% |
Frequently Asked Questions
BTC-USD and XMMO have a correlation of 0.34, 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 XMMO (7.70%). In terms of maximum drawdown, BTC-USD dropped -85.30% vs XMMO's -55.37%.
XMMO currently has the higher Sharpe Ratio (1.63 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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