DHY vs. SJB
DHY (Dimensional High Yield Equity Fund) and SJB (ProShares Short High Yield) are both funds - DHY is a Dividend fund managed by Dimensional Fund Advisors, while SJB is a Inverse Bonds fund tracking the iBoxx $ Liquid High Yield Index (-100%). Over the past 10 years, DHY returned 5.56%/yr vs -3.52%/yr for SJB. At a correlation of -0.36, they often move in opposite directions. DHY charges 0.04%/yr vs 0.95%/yr for SJB.
Performance
DHY vs. SJB - Performance Comparison
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Returns By Period
In the year-to-date period, DHY achieves a -9.08% return, which is significantly lower than SJB's 0.90% return. Over the past 10 years, DHY has outperformed SJB with an annualized return of 5.56%, while SJB has yielded a comparatively lower -3.52% annualized return.
DHY
- 1D
- -2.26%
- 1M
- -0.26%
- 6M
- -9.54%
- YTD
- -9.08%
- 1Y
- -11.14%
- 3Y*
- 6.13%
- 5Y*
- 1.40%
- 10Y*
- 5.56%
SJB
- 1D
- 0.32%
- 1M
- 0.38%
- 6M
- 1.09%
- YTD
- 0.90%
- 1Y
- 0.37%
- 3Y*
- -1.62%
- 5Y*
- -0.24%
- 10Y*
- -3.52%
DHY vs. SJB - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DHY Dimensional High Yield Equity Fund | -9.08% | 2.19% | 18.18% | 24.13% | -21.75% | 16.99% | 0.10% | 26.18% | -16.10% | 17.06% |
SJB ProShares Short High Yield | 0.90% | -1.87% | -0.84% | -5.63% | 9.57% | -6.69% | -9.23% | -11.42% | 2.47% | -6.17% |
Correlation
The correlation between DHY and SJB is -0.31, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.31 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.29 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.40 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.37 |
Correlation (All Time) Calculated using the full available price history since Mar 22, 2011 | -0.36 |
The correlation between DHY and SJB shifts across timeframes, from -0.40 (5 years) to -0.29 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
DHY vs. SJB — Risk / Return Rank
DHY
SJB
DHY vs. SJB - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional High Yield Equity Fund (DHY) and ProShares Short High Yield (SJB). 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.
| DHY | SJB | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.99 | ||
| Sortino ratioReturn per unit of downside risk | -1.38 | ||
| Omega ratioGain probability vs. loss probability | 0.85 | 1.02 | -0.17 |
| Calmar ratioReturn relative to maximum drawdown | -0.86 | 0.14 | -0.99 |
| Martin ratioReturn relative to average drawdown | -1.75 | 0.27 | -2.02 |
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Drawdowns
DHY vs. SJB - Drawdown Comparison
The maximum DHY drawdown since its inception was -71.47%, which is greater than SJB's maximum drawdown of -58.06%. Use the drawdown chart below to compare losses from any high point for DHY and SJB.
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Drawdown Indicators
| DHY | SJB | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -71.47% | -58.06% | -13.41% |
Max Drawdown (1Y)Largest decline over 1 year | -13.03% | -2.74% | -10.29% |
Max Drawdown (3Y)Largest decline over 3 years | -13.03% | -10.54% | -2.49% |
Max Drawdown (5Y)Largest decline over 5 years | -27.23% | -13.30% | -13.93% |
Max Drawdown (10Y)Largest decline over 10 years | -41.36% | -32.86% | -8.50% |
Current DrawdownCurrent decline from peak | -12.26% | -57.33% | +45.07% |
Average DrawdownAverage peak-to-trough decline | -12.35% | -42.57% | +30.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.36% | 1.39% | +4.97% |
Volatility
DHY vs. SJB - Volatility Comparison
Dimensional High Yield Equity Fund (DHY) has a higher volatility of 3.69% compared to ProShares Short High Yield (SJB) at 0.93%. This indicates that DHY's price experiences larger fluctuations and is considered to be riskier than SJB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DHY | SJB | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.69% | 0.93% | +2.76% |
Volatility (6M)Calculated over the trailing 6-month period | 10.34% | 3.07% | +7.27% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.52% | 3.85% | +8.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.33% | 7.52% | +7.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.95% | 8.45% | +9.50% |
DHY vs. SJB - Expense Ratio Comparison
DHY has a 0.04% expense ratio, which is lower than SJB's 0.95% expense ratio.
Dividends
DHY vs. SJB - Dividend Comparison
DHY's dividend yield for the trailing twelve months is around 10.75%, more than SJB's 3.60% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DHY Dimensional High Yield Equity Fund | 10.75% | 9.30% | 8.69% | 9.39% | 10.57% | 7.61% | 8.68% | 9.02% | 11.20% | 9.40% | 10.52% | 12.63% |
SJB ProShares Short High Yield | 3.60% | 3.86% | 5.86% | 4.10% | 0.46% | 0.00% | 0.07% | 1.27% | 0.71% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
DHY and SJB have a correlation of -0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DHY has higher volatility (3.69%) compared to SJB (0.93%). In terms of maximum drawdown, DHY dropped -71.47% vs SJB's -58.06%.
SJB currently has the higher Sharpe Ratio (0.10 vs -0.90), 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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