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BSJP vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BSJPSPY
YTD Return7.47%27.16%
1Y Return9.92%37.73%
3Y Return (Ann)4.31%10.28%
5Y Return (Ann)4.62%15.97%
Sharpe Ratio4.873.25
Sortino Ratio9.524.32
Omega Ratio2.241.61
Calmar Ratio22.684.74
Martin Ratio89.6321.51
Ulcer Index0.11%1.85%
Daily Std Dev2.03%12.20%
Max Drawdown-23.58%-55.19%
Current Drawdown-0.13%0.00%

Correlation

-0.50.00.51.00.7

The correlation between BSJP and SPY is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

BSJP vs. SPY - Performance Comparison

In the year-to-date period, BSJP achieves a 7.47% return, which is significantly lower than SPY's 27.16% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
3.80%
15.14%
BSJP
SPY

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BSJP vs. SPY - Expense Ratio Comparison

BSJP has a 0.42% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

BSJP vs. SPY - 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 SPDR S&P 500 ETF (SPY). 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.


BSJP
Sharpe ratio
The chart of Sharpe ratio for BSJP, currently valued at 4.87, compared to the broader market-2.000.002.004.006.004.87
Sortino ratio
The chart of Sortino ratio for BSJP, currently valued at 9.52, compared to the broader market0.005.0010.009.52
Omega ratio
The chart of Omega ratio for BSJP, currently valued at 2.24, compared to the broader market1.001.502.002.503.002.24
Calmar ratio
The chart of Calmar ratio for BSJP, currently valued at 22.68, compared to the broader market0.005.0010.0015.0022.68
Martin ratio
The chart of Martin ratio for BSJP, currently valued at 89.63, compared to the broader market0.0020.0040.0060.0080.00100.00120.0089.63
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.10, compared to the broader market-2.000.002.004.006.003.10
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.12, compared to the broader market0.005.0010.004.12
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.49, compared to the broader market0.005.0010.0015.004.49
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.35, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.35

BSJP vs. SPY - Sharpe Ratio Comparison

The current BSJP Sharpe Ratio is 4.87, which is higher than the SPY Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of BSJP and SPY, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.87
3.10
BSJP
SPY

Dividends

BSJP vs. SPY - Dividend Comparison

BSJP's dividend yield for the trailing twelve months is around 6.81%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
BSJP
Invesco BulletShares 2025 High Yield Corporate Bond ETF
6.81%7.07%5.37%4.26%4.95%5.50%5.84%1.32%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

BSJP vs. SPY - Drawdown Comparison

The maximum BSJP drawdown since its inception was -23.58%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BSJP and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.13%
0
BSJP
SPY

Volatility

BSJP vs. SPY - Volatility Comparison

The current volatility for Invesco BulletShares 2025 High Yield Corporate Bond ETF (BSJP) is 0.54%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.86%. This indicates that BSJP experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.54%
3.86%
BSJP
SPY