EURUSD=X vs. HYG
Compare and contrast key facts about EUR/USD (EURUSD=X) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG).
HYG is a passively managed fund by iShares that tracks the performance of the iBoxx $ Liquid High Yield Index. It was launched on Apr 11, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EURUSD=X or HYG.
Key characteristics
| EURUSD=X | HYG | |
|---|---|---|
| YTD Return | -1.65% | 7.86% |
| 1Y Return | 2.64% | 17.03% |
| 3Y Return (Ann) | -2.03% | 2.57% |
| 5Y Return (Ann) | -0.54% | 3.48% |
| 10Y Return (Ann) | -1.53% | 3.91% |
| Sharpe Ratio | -0.03 | 3.18 |
| Sortino Ratio | -0.01 | 5.13 |
| Omega Ratio | 1.00 | 1.64 |
| Calmar Ratio | -0.01 | 1.73 |
| Martin Ratio | -0.07 | 27.46 |
| Ulcer Index | 2.36% | 0.60% |
| Daily Std Dev | 5.45% | 5.18% |
| Max Drawdown | -57.54% | -34.24% |
| Current Drawdown | -32.11% | -0.30% |
Correlation
The correlation between EURUSD=X and HYG is 0.23, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
EURUSD=X vs. HYG - Performance Comparison
In the year-to-date period, EURUSD=X achieves a -1.65% return, which is significantly lower than HYG's 7.86% return. Over the past 10 years, EURUSD=X has underperformed HYG with an annualized return of -1.53%, while HYG has yielded a comparatively higher 3.91% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
EURUSD=X vs. HYG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for EUR/USD (EURUSD=X) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG). 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.
Drawdowns
EURUSD=X vs. HYG - Drawdown Comparison
The maximum EURUSD=X drawdown since its inception was -57.54%, which is greater than HYG's maximum drawdown of -34.24%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and HYG. For additional features, visit the drawdowns tool.
Volatility
EURUSD=X vs. HYG - Volatility Comparison
EUR/USD (EURUSD=X) has a higher volatility of 1.25% compared to iShares iBoxx $ High Yield Corporate Bond ETF (HYG) at 0.75%. This indicates that EURUSD=X's price experiences larger fluctuations and is considered to be riskier than HYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.