IDMO vs. LLY
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 LLY (Eli Lilly and Company) is a stock. Over the past 10 years, IDMO returned 12.52%/yr vs 32.12%/yr for LLY. Their 0.21 correlation means their historical movements had little consistent relationship.
Performance
IDMO vs. LLY - Performance Comparison
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Returns By Period
In the year-to-date period, IDMO achieves a 10.66% return, which is significantly higher than LLY's 7.26% return. Over the past 10 years, IDMO has underperformed LLY with an annualized return of 12.52%, while LLY has yielded a comparatively higher 32.12% annualized return.
IDMO
- 1D
- 0.10%
- 1M
- 1.32%
- 6M
- 6.43%
- YTD
- 10.66%
- 1Y
- 23.95%
- 3Y*
- 25.15%
- 5Y*
- 15.47%
- 10Y*
- 12.52%
- ALL TIME*
- 9.05%
LLY
- 1D
- -0.53%
- 1M
- -3.60%
- 6M
- 11.14%
- YTD
- 7.26%
- 1Y
- 56.33%
- 3Y*
- 37.33%
- 5Y*
- 37.67%
- 10Y*
- 32.12%
- ALL TIME*
- 16.04%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $22.05M | $20.41M | $22.89M | |
| $2.62B | $2.84B | $3.35B |
IDMO vs. LLY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IDMO Invesco S&P International Developed Momentum ETF | 10.66% | 42.17% | 12.79% | 20.16% | -12.03% | 14.31% | 22.01% | 26.09% | -16.66% | 29.21% |
LLY Eli Lilly and Company | 7.26% | 40.25% | 33.30% | 60.91% | 34.26% | 66.08% | 31.04% | 16.14% | 40.45% | 17.83% |
Correlation
The correlation between IDMO and LLY is 0.11, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.11 |
Correlation (3Y) Balances recent behavior with more history. | 0.26 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.26 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.24 |
Correlation (All Time) Calculated using the full available price history since Feb 24, 2012 | 0.21 |
The correlation between IDMO and LLY shifts across timeframes, from 0.11 (1 year) to 0.26 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
IDMO vs. LLY — Risk / Return Rank
IDMO
LLY
IDMO vs. LLY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P International Developed Momentum ETF (IDMO) and Eli Lilly and Company (LLY). 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 | LLY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.23 | ||
| Sortino ratioReturn per unit of downside risk | -0.22 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.28 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 1.95 | 2.44 | -0.49 |
| Martin ratioReturn relative to average drawdown | 7.47 | 6.60 | +0.86 |
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Drawdowns
IDMO vs. LLY - Drawdown Comparison
The maximum IDMO drawdown since its inception was -39.38%, smaller than the maximum LLY drawdown of -68.24%. Use the drawdown chart below to compare losses from any high point for IDMO and LLY.
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Drawdown Indicators
| IDMO | LLY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.38% | -68.24% | +28.86% |
Max Drawdown (1Y)Largest decline over 1 year | -12.31% | -23.18% | +10.87% |
Max Drawdown (3Y)Largest decline over 3 years | -12.65% | -34.48% | +21.83% |
Max Drawdown (5Y)Largest decline over 5 years | -27.07% | -34.48% | +7.41% |
Max Drawdown (10Y)Largest decline over 10 years | -31.34% | -34.48% | +3.14% |
Current DrawdownCurrent decline from peak | -1.81% | -7.02% | +5.21% |
Average DrawdownAverage peak-to-trough decline | -9.68% | -19.17% | +9.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.22% | 8.56% | -5.34% |
Volatility
IDMO vs. LLY - Volatility Comparison
The current volatility for Invesco S&P International Developed Momentum ETF (IDMO) is 7.12%, while Eli Lilly and Company (LLY) has a volatility of 8.88%. This indicates that IDMO experiences smaller price fluctuations and is considered to be less risky than LLY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| IDMO | LLY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.12% | 8.88% | -1.76% |
Volatility (6M)Calculated over the trailing 6-month period | 17.57% | 27.69% | -10.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.20% | 38.37% | -19.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.24% | 32.64% | -14.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.97% | 30.37% | -12.40% |
Dividends
IDMO vs. LLY - Dividend Comparison
IDMO's dividend yield for the trailing twelve months is around 3.61%, more than LLY's 0.56% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IDMO Invesco S&P International Developed Momentum ETF | 3.61% | 3.71% | 2.24% | 2.89% | 3.66% | 1.81% | 1.63% | 2.78% | 3.27% | 3.08% | 2.18% | 2.52% |
LLY Eli Lilly and Company | 0.56% | 0.56% | 0.67% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.94% | 2.46% | 2.77% | 2.37% |
Frequently Asked Questions
IDMO and LLY have a correlation of 0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LLY has higher volatility (8.88%) compared to IDMO (7.12%). In terms of maximum drawdown, IDMO dropped -39.38% vs LLY's -68.24%.
LLY currently has the higher Sharpe Ratio (1.48 vs 1.25), 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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