Invesco S&P MidCap 400 GARP ETF

10-Year Study

GRPM.US · · US · ETF

Executive Summary: Invesco S&P MidCap 400 GARP ETF has compounded at 10.7% annually over the last 10 years, with a maximum drawdown of 33.1% and an annualized volatility of 17.0%.

1Y CAGR
+21.2%
3Y CAGR
+15.3%
5Y CAGR
+7.0%
10Y CAGR
+10.7%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
33.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.43
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.61
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
20.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +26.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -12.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.30.2-2.94.3————————2.7%
20251.2-5.5-2.5-4.34.05.34.44.71.3-1.41.2-0.07.8%
2024-0.111.79.8-6.04.5-2.96.8-3.6-0.4-2.19.4-9.915.7%
202310.2-1.8-3.6-0.8-2.99.04.4-2.5-5.6-4.59.08.618.8%
2022-5.90.91.4-7.21.2-9.610.9-3.5-9.711.46.2-5.5-11.6%
20212.37.75.73.51.3-1.5-0.21.7-3.35.1-3.35.226.3%
2020-3.8-10.2-22.217.97.52.03.44.5-4.02.716.86.815.6%
201912.04.1-1.33.9-9.27.80.4-6.04.30.92.83.023.0%
20182.4-5.01.10.44.21.11.62.4-1.1-9.32.6-12.1-12.5%
20171.31.8-0.20.7-1.01.60.7-2.65.01.13.30.713.0%
2016———2.11.70.04.70.9-0.1-3.59.72.418.9%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 17.0%. The dominant macroeconomic risk driver is VTI.US, accounting for 98.3% of variance. Idiosyncratic stock-specific factors contribute 5.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110205.099701564135
2016-05-0110377.357620262273
2016-06-0110380.448068930844
2016-07-0110873.466883766843
2016-08-0110970.031873134776
2016-09-0110957.554763211667
2016-10-0110578.213720669566
2016-11-0111604.911507078048
2016-12-0111888.010442948933
2017-01-0112038.72747316614
2017-02-0112259.648426869377
2017-03-0112229.920155721711
2017-04-0112318.989653915874
2017-05-0112196.801616258528
2017-06-0112396.59681637661
2017-07-0112483.798207539772
2017-08-0112164.075148641356
2017-09-0112772.247770956239
2017-10-0112909.657421458782
2017-11-0113340.682758525256
2017-12-0113439.046665774895
2018-01-0113760.868462201966
2018-02-0113067.085799157736
2018-03-0113208.277789821814
2018-04-0113264.85145089646
2018-05-0113818.180140869108
2018-06-0113974.132483383073
2018-07-0114201.16514527415
2018-08-0114539.592337532345
2018-09-0114386.684317587422
2018-10-0113044.853019183844
2018-11-0113378.206340493642
2018-12-0111765.522585644634
2019-01-0113173.498710775517
2019-02-0113711.259842156487
2019-03-0113536.303546635792
2019-04-0114058.8200021218
2019-05-0112763.183992398419
2019-06-0113762.92107363109
2019-07-0113811.953117432437
2019-08-0112986.941701222802
2019-09-0113542.461380923167
2019-10-0113666.517525611516
2019-11-0114051.555141445684
2019-12-0114476.930031319622
2020-01-0113927.798816404284
2020-02-0112501.34918841128
2020-03-019725.688086089753
2020-04-0111469.60059410416
2020-05-0112326.392892890583
2020-06-0112575.681397805321
2020-07-0113007.444752464287
2020-08-0113597.605132912357
2020-09-0113052.533014755738
2020-10-0113409.502899025356
2020-11-0115664.35421154352
2020-12-0116734.38746846128
2021-01-0117127.15120596687
2021-02-0118438.585404779587
2021-03-0119493.8352467977
2021-04-0120174.264404027734
2021-05-0120430.241193374448
2021-06-0120123.986955539054
2021-07-0120091.099046573523
2021-08-0120441.911096555763
2021-09-0119768.56229560372
2021-10-0120779.96928001771
2021-11-0120096.172917521922
2021-12-0121143.604385669543
2022-01-0119900.898075157867
2022-02-0120070.54986923251
2022-03-0120356.070425328762
2022-04-0118886.585146473426
2022-05-0119109.789342103442
2022-06-0117281.489134997253
2022-07-0119173.074350659837
2022-08-0118501.132395743483
2022-09-0116710.217392307088
2022-10-0118622.559352758573
2022-11-0119777.99508295779
2022-12-0118683.030669243577
2023-01-0120591.290469886575
2023-02-0120223.01969123189
2023-03-0119484.97903568776
2023-04-0119325.936244505225
2023-05-0118761.491164545634
2023-06-0120453.8346932845
2023-07-0121359.635972822503
2023-08-0120820.191238808653
2023-09-0119657.95190892863
2023-10-0118764.120352218895
2023-11-0120443.73307748723
2023-12-0122194.956572277293
2024-01-0122183.678740941985
2024-02-0124780.11688353621
2024-03-0127198.439092791876
2024-04-0125570.326157649783
2024-05-0126725.8310769983
2024-06-0125938.366305806816
2024-07-0127702.182225768804
2024-08-0126709.17955506764
2024-09-0126610.308260723166
2024-10-0126044.364082528813
2024-11-0128487.663574680457
2024-12-0125673.87925109665
2025-01-0125985.830062224108
2025-02-0124558.111966494
2025-03-0123932.711246004324
2025-04-0122913.23219417243
2025-05-0123834.416527903984
2025-06-0125095.66553042708
2025-07-0126200.15498369442
2025-08-0127421.758603670714
2025-09-0127769.180385337437
2025-10-0127370.881515888133
2025-11-0127686.29178448041
2025-12-0127677.966023515088
2026-01-0128040.055904832632
2026-02-0128086.18200436353
2026-03-0127267.443737690097
2026-04-0128429.360184873403
Annual Return Matrix
YearAnnual Return
20170.13047063091586697
2018-0.12452699374816578
20190.23045363484179027
20200.1559348171371857
20210.2634824205856454
2022-0.11637437361879821
20230.18797410148317772
20240.15674383806475745
20250.07805936737561137
20260.027147737688525853
Total Factor Risk
0.17043623271969308
VTI.US Exposure
0.9830916858954576
VEA.US Exposure
0.04166232426191764
VWO.US Exposure
-0.010192139440054166
QQQ.US Exposure
-0.26542157936393274
VTV.US Exposure
-0.060374960388303846
IJR.US Exposure
0.33475608228616327
QUAL.US Exposure
-0.03774979369686521
SHV.US Exposure
0.000545198044533615
TLT.US Exposure
0.0008901509933732412
LQD.US Exposure
0.041922038453378864
HYG.US Exposure
-0.05645857645458301
GLD.US Exposure
0.003021897822472103
USO.US Exposure
0.006025155822969022
VNQ.US Exposure
-0.028130380877732272
BTC-USD.CC Exposure
0.03301541485618898
CPER.US Exposure
-0.005493029951037991
VIX.INDX Exposure
-0.02824055739122173
UUP.US Exposure
-0.0009996037846442026
TIP.US Exposure
-0.009120660732390927
Idiosyncratic Exposure
0.05725133364431197
Value Score
44.7
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
14
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
17.0%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →13.4x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.17%
Market Cap$8.2B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$49
Avg Yield on Cost
0.49%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$49.120.49%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+2.1%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+3.6%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.4% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.20
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Invesco S&P MidCap 400 GARP ETF a high-risk investment?

Invesco S&P MidCap 400 GARP ETF (GRPM.US) has an annualized volatility of 17.0% and experienced a maximum drawdown of 33.1% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of GRPM.US?

Over the past 10 years, GRPM.US has generated a Compound Annual Growth Rate (CAGR) of 10.7%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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