Invesco Total Return Bond ETF

10-Year Study

GTO.US · · US · ETF

Executive Summary: Invesco Total Return Bond ETF has compounded at 3.0% annually over the last 10 years, with a maximum drawdown of 19.8% and an annualized volatility of 9.2%.

1Y CAGR
+6.4%
3Y CAGR
+4.9%
5Y CAGR
+0.0%
10Y CAGR
+3.0%

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 →
19.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.22
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.29
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
5.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +12.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -14.8%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.41.5-2.30.8————————0.3%
20250.62.0-0.4-0.2-0.51.7-0.21.31.40.50.6-0.17.2%
20240.1-1.11.1-2.31.70.82.31.51.4-2.51.2-1.62.6%
20234.3-2.50.90.6-1.30.10.3-0.6-2.6-1.85.03.86.0%
2022-2.3-1.7-2.6-4.2-0.2-3.32.7-1.8-5.2-1.64.9-0.2-14.8%
2021-0.4-0.7-1.31.00.50.81.1-0.1-1.1-0.1-0.20.0-0.6%
20202.21.5-4.93.42.32.32.4-0.4-0.5-0.21.80.610.7%
20192.00.31.80.71.71.40.22.9-0.50.40.30.212.0%
2018-0.3-0.60.3-0.70.9-0.00.01.0-0.8-0.90.10.9-0.3%
20171.10.90.31.20.70.40.50.7-0.10.70.20.77.4%
2016———0.30.41.62.00.80.1-0.7-1.90.32.9%

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 9.2%. The dominant macroeconomic risk driver is SHV.US, accounting for 65.6% of variance. Idiosyncratic stock-specific factors contribute 1.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110034.02970856682
2016-05-0110079.106160639734
2016-06-0110238.150574287198
2016-07-0110441.20980491738
2016-08-0110521.262829286206
2016-09-0110526.944011660771
2016-10-0110451.854848659612
2016-11-0110256.427913542733
2016-12-0110290.974093234516
2017-01-0110400.838978649657
2017-02-0110498.136400024103
2017-03-0110526.398847695535
2017-04-0110648.257340345861
2017-05-0110724.035131513634
2017-06-0110762.454844642618
2017-07-0110813.901107256705
2017-08-0110887.0678499594
2017-09-0110874.270843196497
2017-10-0110945.716015482656
2017-11-0110971.654343091768
2017-12-0111053.62978775906
2018-01-0111020.94864268519
2018-02-0110959.431193134376
2018-03-0110995.813714603795
2018-04-0110917.224025089019
2018-05-0111010.561834505435
2018-06-0111005.884901540518
2018-07-0111006.114444262725
2018-08-0111110.90069694909
2018-09-0111020.260014518577
2018-10-0110919.576837991615
2018-11-0110929.791489129717
2018-12-0111024.850868962665
2019-01-0111246.847374174722
2019-02-0111283.000352921934
2019-03-0111489.904424149043
2019-04-0111570.57851085986
2019-05-0111772.02076053926
2019-06-0111939.22345373443
2019-07-0111962.972891001706
2019-08-0112305.51621941814
2019-09-0112240.727912167495
2019-10-0112295.193565585174
2019-11-0112328.524649724868
2019-12-0112348.5701467344
2020-01-0112616.4228193447
2020-02-0112804.810430887554
2020-03-0112178.657360135516
2020-04-0112595.474322715592
2020-05-0112887.49017060068
2020-06-0113181.350326799682
2020-07-0113495.79668523497
2020-08-0113448.368956124994
2020-09-0113381.163893528872
2020-10-0113358.569201229657
2020-11-0113595.016094343695
2020-12-0113671.16796771605
2021-01-0113610.720625909316
2021-02-0113513.653092257658
2021-03-0113333.309291871463
2021-04-0113462.565204689678
2021-05-0113529.875343605168
2021-06-0113644.69858614012
2021-07-0113794.510053934806
2021-08-0113780.168230885996
2021-09-0113628.998432754473
2021-10-0113618.260946369
2021-11-0113591.077921457361
2021-12-0113595.136494292972
2022-01-0113279.034089282637
2022-02-0113057.69301162282
2022-03-0112723.109214398552
2022-04-0112187.865767165178
2022-05-0112166.171885395552
2022-06-0111768.951656377707
2022-07-0112085.104410457736
2022-08-0111868.283803620754
2022-09-0111246.669810956439
2022-10-0111067.158959310234
2022-11-0111605.4321070854
2022-12-0111587.123652980428
2023-01-0112079.601038230812
2023-02-0111776.830191240357
2023-03-0111887.589388214734
2023-04-0111957.402751530179
2023-05-0111798.452927585413
2023-06-0111813.672575718947
2023-07-0111848.715528228353
2023-08-0111772.446538541702
2023-09-0111470.648742050402
2023-10-0111264.979359606405
2023-11-0111827.26244635728
2023-12-0112277.1182495638
2024-01-0112292.705664815127
2024-02-0112162.718595941304
2024-03-0112301.915166389781
2024-04-0112019.951619724283
2024-05-0112228.77110265935
2024-06-0112325.973265345201
2024-07-0112606.185540021223
2024-08-0112798.691924374325
2024-09-0112976.110005993105
2024-10-0112657.805376456005
2024-11-0112803.745438608956
2024-12-0112599.185924788288
2025-01-0112678.74730581515
2025-02-0112936.322200937217
2025-03-0112889.324628009655
2025-04-0112865.251205424329
2025-05-0112803.90962035797
2025-06-0113025.04054537905
2025-07-0113000.007206834493
2025-08-0113174.320064306932
2025-09-0113365.03358396081
2025-10-0113433.201846151142
2025-11-0113513.676077702521
2025-12-0113502.637591443858
2026-01-0113560.774348769475
2026-02-0113758.216912133916
2026-03-0113436.857101047575
2026-04-0113548.759178122282
Annual Return Matrix
YearAnnual Return
20170.07410918418557966
2018-0.0026035717993978524
20190.12006686471363426
20200.10710534136872618
2021-0.005561446805614767
2022-0.14770082243421945
20230.05954839330690098
20240.02623316552611432
20250.07170714616394958
20260.0034157464692416983
Total Factor Risk
0.09225939697431396
VTI.US Exposure
0.1307384889099816
VEA.US Exposure
0.04310017737810017
VWO.US Exposure
0.0052366991161734615
QQQ.US Exposure
-0.06164602455486217
VTV.US Exposure
-0.030377742361460465
IJR.US Exposure
-0.0025831387109129696
QUAL.US Exposure
-0.002188998088043964
SHV.US Exposure
0.6555200856523528
TLT.US Exposure
0.09363962015771764
LQD.US Exposure
0.15031889265707862
HYG.US Exposure
-0.00855189138308124
GLD.US Exposure
-0.005651011986202565
USO.US Exposure
0.0007927542951796521
VNQ.US Exposure
0.01643368407889865
BTC-USD.CC Exposure
-0.0031898565171011414
CPER.US Exposure
0.004023018141387902
VIX.INDX Exposure
-0.007341721888494821
UUP.US Exposure
-0.0016841936059289538
TIP.US Exposure
0.013568759581628106
Idiosyncratic Exposure
0.009842399127589743
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
9.2%

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 →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
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
$103
Avg Yield on Cost
1.03%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$103.461.03%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 →
-0.1%
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 →
+1.1%
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 →
1.5% 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 →
0.95
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Invesco Total Return Bond ETF a high-risk investment?

Invesco Total Return Bond ETF (GTO.US) has an annualized volatility of 9.2% and experienced a maximum drawdown of 19.8% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, GTO.US has generated a Compound Annual Growth Rate (CAGR) of 3.0%. It has had a positive return in 70% 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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