GTO vs. MBS
GTO (Invesco Total Return Bond ETF) and MBS (Angel Oak Mortgage-Backed Securities ETF) are both Intermediate Core-Plus Bond funds. Both are actively managed. Over the past year, GTO returned 2.89% vs 4.18% for MBS. Their 0.68 correlation means they have sometimes moved together and sometimes differently. GTO charges 0.35%/yr vs 0.49%/yr for MBS.
Performance
GTO vs. MBS - Performance Comparison
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Returns By Period
In the year-to-date period, GTO achieves a -0.23% return, which is significantly lower than MBS's 0.21% return.
GTO
- 1D
- -0.22%
- 1M
- -1.23%
- 6M
- -0.66%
- YTD
- -0.23%
- 1Y
- 2.89%
- 3Y*
- 4.56%
- 5Y*
- -0.44%
- 10Y*
- 2.60%
- ALL TIME*
- 2.95%
MBS
- 1D
- -0.41%
- 1M
- -1.16%
- 6M
- -0.23%
- YTD
- 0.21%
- 1Y
- 4.18%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 5.77%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $9.60M | $9.43M | $10.69M | |
| $371.44K | $334.47K | $420.25K |
GTO vs. MBS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
GTO Invesco Total Return Bond ETF | -0.23% | 7.17% | 3.97% |
MBS Angel Oak Mortgage-Backed Securities ETF | 0.21% | 8.13% | 5.84% |
Correlation
The correlation between GTO and MBS is 0.65, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.65 |
Correlation (All Time) Calculated using the full available price history since Feb 20, 2024 | 0.68 |
The correlation between GTO and MBS has been stable across timeframes, ranging from 0.65 to 0.68 - a consistent structural relationship.
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Return for Risk
GTO vs. MBS — Risk / Return Rank
GTO
MBS
GTO vs. MBS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Total Return Bond ETF (GTO) and Angel Oak Mortgage-Backed Securities ETF (MBS). 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.
| GTO | MBS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.62 | ||
| Sortino ratioReturn per unit of downside risk | -0.98 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.31 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | 1.33 | 2.14 | -0.81 |
| Martin ratioReturn relative to average drawdown | 3.63 | 5.64 | -2.01 |
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Drawdowns
GTO vs. MBS - Drawdown Comparison
The maximum GTO drawdown since its inception was -20.61%, which is greater than MBS's maximum drawdown of -4.09%. Use the drawdown chart below to compare losses from any high point for GTO and MBS.
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Drawdown Indicators
| GTO | MBS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.61% | -4.09% | -16.52% |
Max Drawdown (1Y)Largest decline over 1 year | -2.73% | -2.20% | -0.53% |
Max Drawdown (3Y)Largest decline over 3 years | -5.06% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -20.61% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -20.61% | — | — |
Current DrawdownCurrent decline from peak | -2.52% | -1.87% | -0.65% |
Average DrawdownAverage peak-to-trough decline | -4.75% | -1.02% | -3.73% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.00% | 0.83% | +0.17% |
Volatility
GTO vs. MBS - Volatility Comparison
Invesco Total Return Bond ETF (GTO) has a higher volatility of 0.90% compared to Angel Oak Mortgage-Backed Securities ETF (MBS) at 0.61%. This indicates that GTO's price experiences larger fluctuations and is considered to be riskier than MBS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GTO | MBS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.90% | 0.61% | +0.29% |
Volatility (6M)Calculated over the trailing 6-month period | 2.68% | 2.02% | +0.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.38% | 2.77% | +0.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.67% | 3.92% | +1.75% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.52% | 3.92% | +1.60% |
GTO vs. MBS - Expense Ratio Comparison
GTO has a 0.35% expense ratio, which is lower than MBS's 0.49% expense ratio.
Dividends
GTO vs. MBS - Dividend Comparison
GTO's dividend yield for the trailing twelve months is around 4.91%, less than MBS's 5.59% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
GTO Invesco Total Return Bond ETF | 4.91% | 4.70% | 4.42% | 4.05% | 3.47% | 1.93% | 4.04% | 2.97% | 5.25% | 2.81% | 2.57% |
MBS Angel Oak Mortgage-Backed Securities ETF | 5.59% | 5.28% | 4.52% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
GTO and MBS have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GTO has higher volatility (0.90%) compared to MBS (0.61%). In terms of maximum drawdown, GTO dropped -20.61% vs MBS's -4.09%.
On 1-year performance, MBS leads with 4.18% vs 2.89% for GTO. On fees, GTO is cheaper at 0.35% per year. On volatility, MBS has been the lower-risk option at 0.61%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, MBS has performed better with a 4.18% return vs 2.89%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GTO is cheaper with a 0.35% expense ratio, compared with 0.49% for MBS.
MBS has the higher dividend yield at 5.59%, compared with 4.91% for GTO.
They also come from different issuers: Invesco and Angel Oak. Their fees differ too: 0.35% for GTO and 0.49% for MBS.
MBS currently has the higher Sharpe Ratio (1.70 vs 1.08), 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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