IDMO vs. JNJ
IDMO (Invesco S&P International Developed Momentum ETF) is Momentum fund tracking the S&P Momentum Developed ex U.S. & South Korea LargeMidCap Index, while JNJ (Johnson & Johnson) is a stock. Over the past 10 years, IDMO returned 12.64%/yr vs 10.46%/yr for JNJ. At a 0.20 correlation, their price movements are largely independent.
Performance
IDMO vs. JNJ - Performance Comparison
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Returns By Period
In the year-to-date period, IDMO achieves a 8.17% return, which is significantly lower than JNJ's 17.68% return. Over the past 10 years, IDMO has outperformed JNJ with an annualized return of 12.64%, while JNJ has yielded a comparatively lower 10.46% annualized return.
IDMO
- 1D
- 1.36%
- 1M
- -1.92%
- YTD
- 8.17%
- 6M
- 10.09%
- 1Y
- 23.12%
- 3Y*
- 25.21%
- 5Y*
- 15.50%
- 10Y*
- 12.64%
JNJ
- 1D
- 1.07%
- 1M
- 5.14%
- YTD
- 17.68%
- 6M
- 15.11%
- 1Y
- 57.60%
- 3Y*
- 17.82%
- 5Y*
- 10.94%
- 10Y*
- 10.46%
IDMO vs. JNJ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IDMO Invesco S&P International Developed Momentum ETF | 8.17% | 42.17% | 12.79% | 20.16% | -12.03% | 14.31% | 22.01% | 26.09% | -16.66% | 29.21% |
JNJ Johnson & Johnson | 17.68% | 47.48% | -4.81% | -8.58% | 5.97% | 11.44% | 10.82% | 16.22% | -5.13% | 24.43% |
Correlation
The correlation between IDMO and JNJ is 0.08, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.10 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.17 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Feb 24, 2012 | 0.20 |
The correlation between IDMO and JNJ shifts across timeframes, from 0.08 (1 year) to 0.20 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
IDMO vs. JNJ — Risk / Return Rank
IDMO
JNJ
IDMO vs. JNJ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P International Developed Momentum ETF (IDMO) and Johnson & Johnson (JNJ). 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.
| IDMO | JNJ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.12 | ||
| Sortino ratioReturn per unit of downside risk | -3.01 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.61 | -0.37 |
| Calmar ratioReturn relative to maximum drawdown | 1.89 | 5.28 | -3.40 |
| Martin ratioReturn relative to average drawdown | 7.64 | 15.52 | -7.88 |
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Drawdowns
IDMO vs. JNJ - Drawdown Comparison
The maximum IDMO drawdown since its inception was -39.38%, smaller than the maximum JNJ drawdown of -50.67%. Use the drawdown chart below to compare losses from any high point for IDMO and JNJ.
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Drawdown Indicators
| IDMO | JNJ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.38% | -50.67% | +11.29% |
Max Drawdown (1Y)Largest decline over 1 year | -12.31% | -10.96% | -1.35% |
Max Drawdown (3Y)Largest decline over 3 years | -12.65% | -15.95% | +3.30% |
Max Drawdown (5Y)Largest decline over 5 years | -27.07% | -18.41% | -8.66% |
Max Drawdown (10Y)Largest decline over 10 years | -31.34% | -27.37% | -3.97% |
Current DrawdownCurrent decline from peak | -1.92% | -2.54% | +0.62% |
Average DrawdownAverage peak-to-trough decline | -9.74% | -11.90% | +2.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.04% | 3.72% | -0.68% |
Volatility
IDMO vs. JNJ - Volatility Comparison
Invesco S&P International Developed Momentum ETF (IDMO) has a higher volatility of 7.92% compared to Johnson & Johnson (JNJ) at 5.47%. This indicates that IDMO's price experiences larger fluctuations and is considered to be riskier than JNJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| IDMO | JNJ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.92% | 5.47% | +2.45% |
Volatility (6M)Calculated over the trailing 6-month period | 16.02% | 12.16% | +3.86% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.92% | 16.94% | +0.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.03% | 16.87% | +1.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.18% | 18.48% | -0.30% |
Dividends
IDMO vs. JNJ - Dividend Comparison
IDMO's dividend yield for the trailing twelve months is around 3.52%, more than JNJ's 2.18% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IDMO Invesco S&P International Developed Momentum ETF | 3.52% | 3.71% | 2.24% | 2.89% | 3.66% | 1.81% | 1.63% | 2.78% | 3.27% | 3.08% | 2.18% | 2.52% |
JNJ Johnson & Johnson | 2.18% | 2.48% | 3.40% | 3.00% | 2.52% | 2.45% | 2.53% | 2.57% | 2.74% | 2.38% | 2.73% | 2.87% |
Frequently Asked Questions
IDMO and JNJ have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IDMO has higher volatility (7.92%) compared to JNJ (5.47%). In terms of maximum drawdown, IDMO dropped -39.38% vs JNJ's -50.67%.
JNJ currently has the higher Sharpe Ratio (3.42 vs 1.30), 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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