PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BSJP vs. SHYG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

BSJP vs. SHYG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco BulletShares 2025 High Yield Corporate Bond ETF (BSJP) and iShares 0-5 Year High Yield Corporate Bond ETF (SHYG). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.82%
5.64%
BSJP
SHYG

Returns By Period

In the year-to-date period, BSJP achieves a 7.58% return, which is significantly lower than SHYG's 8.11% return.


BSJP

YTD

7.58%

1M

0.39%

6M

3.82%

1Y

9.49%

5Y (annualized)

4.76%

10Y (annualized)

N/A

SHYG

YTD

8.11%

1M

0.36%

6M

5.65%

1Y

11.48%

5Y (annualized)

4.59%

10Y (annualized)

4.29%

Key characteristics


BSJPSHYG
Sharpe Ratio4.873.30
Sortino Ratio9.395.24
Omega Ratio2.231.66
Calmar Ratio22.056.68
Martin Ratio86.7127.87
Ulcer Index0.11%0.42%
Daily Std Dev1.97%3.51%
Max Drawdown-23.58%-19.27%
Current Drawdown-0.03%-0.35%

Compare stocks, funds, or ETFs

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


BSJP vs. SHYG - Expense Ratio Comparison

BSJP has a 0.42% expense ratio, which is higher than SHYG's 0.30% expense ratio.


BSJP
Invesco BulletShares 2025 High Yield Corporate Bond ETF
Expense ratio chart for BSJP: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for SHYG: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Correlation

-0.50.00.51.00.9

The correlation between BSJP and SHYG is 0.85, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

BSJP vs. SHYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco BulletShares 2025 High Yield Corporate Bond ETF (BSJP) and iShares 0-5 Year High Yield Corporate Bond ETF (SHYG). 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.


Sharpe ratio
The chart of Sharpe ratio for BSJP, currently valued at 4.87, compared to the broader market0.002.004.006.004.873.30
The chart of Sortino ratio for BSJP, currently valued at 9.39, compared to the broader market-2.000.002.004.006.008.0010.0012.009.395.24
The chart of Omega ratio for BSJP, currently valued at 2.23, compared to the broader market0.501.001.502.002.503.002.231.66
The chart of Calmar ratio for BSJP, currently valued at 22.05, compared to the broader market0.005.0010.0015.0022.056.68
The chart of Martin ratio for BSJP, currently valued at 86.71, compared to the broader market0.0020.0040.0060.0080.00100.00120.0086.7127.87
BSJP
SHYG

The current BSJP Sharpe Ratio is 4.87, which is higher than the SHYG Sharpe Ratio of 3.30. The chart below compares the historical Sharpe Ratios of BSJP and SHYG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio2.002.503.003.504.004.505.005.50JuneJulyAugustSeptemberOctoberNovember
4.87
3.30
BSJP
SHYG

Dividends

BSJP vs. SHYG - Dividend Comparison

BSJP's dividend yield for the trailing twelve months is around 6.75%, which matches SHYG's 6.74% yield.


TTM20232022202120202019201820172016201520142013
BSJP
Invesco BulletShares 2025 High Yield Corporate Bond ETF
6.75%7.07%5.37%4.26%4.95%5.50%5.84%1.32%0.00%0.00%0.00%0.00%
SHYG
iShares 0-5 Year High Yield Corporate Bond ETF
6.74%6.54%5.57%4.84%5.07%5.32%5.90%5.49%5.53%5.17%4.33%0.85%

Drawdowns

BSJP vs. SHYG - Drawdown Comparison

The maximum BSJP drawdown since its inception was -23.58%, which is greater than SHYG's maximum drawdown of -19.27%. Use the drawdown chart below to compare losses from any high point for BSJP and SHYG. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.03%
-0.35%
BSJP
SHYG

Volatility

BSJP vs. SHYG - Volatility Comparison

The current volatility for Invesco BulletShares 2025 High Yield Corporate Bond ETF (BSJP) is 0.43%, while iShares 0-5 Year High Yield Corporate Bond ETF (SHYG) has a volatility of 0.87%. This indicates that BSJP experiences smaller price fluctuations and is considered to be less risky than SHYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.60%0.80%1.00%1.20%JuneJulyAugustSeptemberOctoberNovember
0.43%
0.87%
BSJP
SHYG