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

Correlation

The correlation between CEFS and HYIN is 0.60, 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.


-0.50.00.51.00.6

Performance

CEFS vs. HYIN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Saba Closed-End Funds ETF (CEFS) and WisdomTree Alternative Income Fund (HYIN). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
48.93%
5.78%
CEFS
HYIN

Key characteristics

Sharpe Ratio

CEFS:

2.37

HYIN:

0.58

Sortino Ratio

CEFS:

3.19

HYIN:

0.83

Omega Ratio

CEFS:

1.41

HYIN:

1.11

Calmar Ratio

CEFS:

4.25

HYIN:

0.66

Martin Ratio

CEFS:

13.95

HYIN:

3.01

Ulcer Index

CEFS:

1.81%

HYIN:

2.36%

Daily Std Dev

CEFS:

10.66%

HYIN:

12.25%

Max Drawdown

CEFS:

-38.99%

HYIN:

-31.10%

Current Drawdown

CEFS:

-3.85%

HYIN:

-4.05%

Returns By Period

In the year-to-date period, CEFS achieves a 23.19% return, which is significantly higher than HYIN's 6.80% return.


CEFS

YTD

23.19%

1M

-0.74%

6M

7.51%

1Y

24.50%

5Y*

11.23%

10Y*

N/A

HYIN

YTD

6.80%

1M

-0.92%

6M

3.02%

1Y

6.24%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

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


CEFS vs. HYIN - Expense Ratio Comparison

CEFS has a 3.80% expense ratio, which is higher than HYIN's 3.20% expense ratio.


CEFS
Saba Closed-End Funds ETF
Expense ratio chart for CEFS: current value at 3.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%3.80%
Expense ratio chart for HYIN: current value at 3.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%3.20%

Risk-Adjusted Performance

CEFS vs. HYIN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Saba Closed-End Funds ETF (CEFS) and WisdomTree Alternative Income Fund (HYIN). 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 CEFS, currently valued at 2.37, compared to the broader market0.002.004.002.370.58
The chart of Sortino ratio for CEFS, currently valued at 3.19, compared to the broader market-2.000.002.004.006.008.0010.003.190.83
The chart of Omega ratio for CEFS, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.411.11
The chart of Calmar ratio for CEFS, currently valued at 4.25, compared to the broader market0.005.0010.0015.004.250.66
The chart of Martin ratio for CEFS, currently valued at 13.95, compared to the broader market0.0020.0040.0060.0080.00100.0013.953.01
CEFS
HYIN

The current CEFS Sharpe Ratio is 2.37, which is higher than the HYIN Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of CEFS and HYIN, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.37
0.58
CEFS
HYIN

Dividends

CEFS vs. HYIN - Dividend Comparison

CEFS's dividend yield for the trailing twelve months is around 7.09%, less than HYIN's 12.33% yield.


TTM2023202220212020201920182017
CEFS
Saba Closed-End Funds ETF
7.09%9.20%11.32%10.73%8.61%7.56%9.84%6.28%
HYIN
WisdomTree Alternative Income Fund
11.26%11.71%11.34%4.13%0.00%0.00%0.00%0.00%

Drawdowns

CEFS vs. HYIN - Drawdown Comparison

The maximum CEFS drawdown since its inception was -38.99%, which is greater than HYIN's maximum drawdown of -31.10%. Use the drawdown chart below to compare losses from any high point for CEFS and HYIN. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.85%
-4.05%
CEFS
HYIN

Volatility

CEFS vs. HYIN - Volatility Comparison

The current volatility for Saba Closed-End Funds ETF (CEFS) is 2.66%, while WisdomTree Alternative Income Fund (HYIN) has a volatility of 3.70%. This indicates that CEFS experiences smaller price fluctuations and is considered to be less risky than HYIN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.66%
3.70%
CEFS
HYIN
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab