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.
Performance
EURUSD=X vs. HYG - Performance Comparison
Returns By Period
In the year-to-date period, EURUSD=X achieves a -5.17% return, which is significantly lower than HYG's 8.63% return. Over the past 10 years, EURUSD=X has underperformed HYG with an annualized return of -1.64%, while HYG has yielded a comparatively higher 3.95% annualized return.
EURUSD=X
-5.17%
-3.09%
-3.22%
-3.88%
-0.97%
-1.64%
HYG
8.63%
0.68%
7.16%
13.04%
3.63%
3.95%
Key characteristics
| EURUSD=X | HYG | |
|---|---|---|
| Sharpe Ratio | -0.66 | 2.85 |
| Sortino Ratio | -0.85 | 4.44 |
| Omega Ratio | 0.89 | 1.55 |
| Calmar Ratio | -0.10 | 2.68 |
| Martin Ratio | -1.77 | 21.35 |
| Ulcer Index | 1.99% | 0.62% |
| Daily Std Dev | 5.49% | 4.65% |
| Max Drawdown | -57.54% | -34.24% |
| Current Drawdown | -34.54% | -0.36% |
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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.
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 2.67% compared to iShares iBoxx $ High Yield Corporate Bond ETF (HYG) at 0.90%. 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.