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GRPM vs. ^GSPC
Performance
Return for Risk
Drawdowns
Volatility

GRPM vs. ^GSPC

Last updated Jun 5, 2026

GRPM (Invesco S&P MidCap 400® GARP ETF) is Mid Cap Blend Equities fund tracking the S&P MidCap 400® GARP Index, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, GRPM returned 10.99%/yr vs 13.65%/yr for ^GSPC. Their correlation of 0.82 suggests significant overlap in exposure.

Performance

GRPM vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P MidCap 400® GARP ETF (GRPM) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, GRPM achieves a 8.28% return, which is significantly lower than ^GSPC's 10.79% return. Over the past 10 years, GRPM has underperformed ^GSPC with an annualized return of 10.99%, while ^GSPC has yielded a comparatively higher 13.65% annualized return.

GRPM

1D
1.09%
1M
2.14%
YTD
8.28%
6M
7.33%
1Y
24.17%
3Y*
15.72%
5Y*
7.89%
10Y*
10.99%

^GSPC

1D
0.41%
1M
4.48%
YTD
10.79%
6M
10.60%
1Y
27.02%
3Y*
21.07%
5Y*
12.39%
10Y*
13.65%
*Multi-year figures are annualized to reflect compound growth (CAGR)

GRPM vs. ^GSPC - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
GRPM
Invesco S&P MidCap 400® GARP ETF		8.28%7.81%15.67%18.79%-11.63%26.35%15.60%23.05%-12.45%13.05%
^GSPC
S&P 500 Index		10.79%16.39%23.31%24.23%-19.44%26.89%16.26%28.88%-6.24%19.42%

Correlation

The correlation between GRPM and ^GSPC is 0.70, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.70

Correlation (3Y)
Calculated over the trailing 3-year period

0.72

Correlation (5Y)
Calculated over the trailing 5-year period

0.80

Correlation (10Y)
Calculated over the trailing 10-year period

0.79

Correlation (All Time)
Calculated using the full available price history since Dec 9, 2010

0.82

The correlation between GRPM and ^GSPC shifts across timeframes, from 0.70 (1 year) to 0.82 (all time), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Invesco S&P MidCap 400® GARP ETF

S&P 500 Index

Often compared with GRPM:
GRPM vs. XMHQGRPM vs. VOGRPM vs. AVUVGRPM vs. FDVLXGRPM vs. AAPLGRPM vs. GRPZGRPM vs. EUSA
Often compared with ^GSPC:
^GSPC vs. ^IBEX^GSPC vs. AVGO^GSPC vs. SCHD^GSPC vs. GC=F^GSPC vs. TSMU^GSPC vs. QQQ^GSPC vs. ACWI

Return for Risk

GRPM vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
GRPM
GRPM Risk / Return Rank: 5050
Overall Rank
GRPM Sharpe Ratio Rank: 4444
Sharpe Ratio Rank
GRPM Sortino Ratio Rank: 4545
Sortino Ratio Rank
GRPM Omega Ratio Rank: 4141
Omega Ratio Rank
GRPM Calmar Ratio Rank: 6565
Calmar Ratio Rank
GRPM Martin Ratio Rank: 5555
Martin Ratio Rank
^GSPC
^GSPC Risk / Return Rank: 8080
Overall Rank
^GSPC Sharpe Ratio Rank: 7979
Sharpe Ratio Rank
^GSPC Sortino Ratio Rank: 7979
Sortino Ratio Rank
^GSPC Omega Ratio Rank: 7979
Omega Ratio Rank
^GSPC Calmar Ratio Rank: 7676
Calmar Ratio Rank
^GSPC Martin Ratio Rank: 8686
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

GRPM vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P MidCap 400® GARP ETF (GRPM) and S&P 500 Index (^GSPC). 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.

GRPM^GSPCDifference
Sharpe ratioReturn per unit of total volatility
1.51
2.28

-0.77

Sortino ratioReturn per unit of downside risk
2.22
3.12

-0.90

Omega ratioGain probability vs. loss probability

1.26

1.41

-0.15

Calmar ratioReturn relative to maximum drawdown

3.19

2.98

+0.20

Martin ratioReturn relative to average drawdown

9.42

13.78

-4.36

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GRPM vs. ^GSPC - Sharpe Ratio Comparison

The current GRPM Sharpe Ratio is 1.51, which is lower than the ^GSPC Sharpe Ratio of 2.28. The chart below compares the historical Sharpe Ratios of GRPM and ^GSPC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

GRPM^GSPCDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.51

2.28

-0.77

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.38

0.74

-0.36

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.50

0.76

-0.26

Sharpe Ratio (All Time)

Calculated using the full available price history

0.55

0.47

+0.08

Drawdowns

GRPM vs. ^GSPC - Drawdown Comparison

The maximum GRPM drawdown since its inception was -43.12%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for GRPM and ^GSPC.

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Drawdown Indicators

GRPM^GSPCDifference

Max Drawdown

Largest peak-to-trough decline

-43.12%

-56.78%

+13.66%

Max Drawdown (1Y)

Largest decline over 1 year

-7.62%

-9.10%

+1.48%

Max Drawdown (3Y)

Largest decline over 3 years

-28.09%

-18.90%

-9.19%

Max Drawdown (5Y)

Largest decline over 5 years

-28.09%

-25.43%

-2.66%

Max Drawdown (10Y)

Largest decline over 10 years

-43.12%

-33.92%

-9.20%

Current Drawdown

Current decline from peak

0.00%

-0.33%

+0.33%

Average Drawdown

Average peak-to-trough decline

-5.71%

-10.72%

+5.01%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.57%

1.97%

+0.60%

Volatility

GRPM vs. ^GSPC - Volatility Comparison

Invesco S&P MidCap 400® GARP ETF (GRPM) has a higher volatility of 3.77% compared to S&P 500 Index (^GSPC) at 2.88%. This indicates that GRPM's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

GRPM^GSPCDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.77%

2.88%

+0.89%

Volatility (6M)

Calculated over the trailing 6-month period

10.45%

9.00%

+1.45%

Volatility (1Y)

Calculated over the trailing 1-year period

16.05%

11.89%

+4.16%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.90%

16.90%

+4.00%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

22.25%

18.06%

+4.19%

Frequently Asked Questions

GRPM and ^GSPC have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

GRPM has higher volatility (3.77%) compared to ^GSPC (2.88%). In terms of maximum drawdown, GRPM dropped -43.12% vs ^GSPC's -56.78%.

^GSPC currently has the higher Sharpe Ratio (2.28 vs 1.51), 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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