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FLHY vs. HYGH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FLHYHYGH
YTD Return8.56%10.40%
1Y Return13.31%13.16%
3Y Return (Ann)3.64%7.43%
5Y Return (Ann)4.73%5.95%
Sharpe Ratio3.262.99
Sortino Ratio5.234.15
Omega Ratio1.671.67
Calmar Ratio4.593.70
Martin Ratio28.1329.69
Ulcer Index0.51%0.47%
Daily Std Dev4.37%4.62%
Max Drawdown-22.57%-23.88%
Current Drawdown-0.49%-0.29%

Correlation

-0.50.00.51.00.7

The correlation between FLHY and HYGH is 0.71, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

FLHY vs. HYGH - Performance Comparison

In the year-to-date period, FLHY achieves a 8.56% return, which is significantly lower than HYGH's 10.40% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.99%
5.48%
FLHY
HYGH

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FLHY vs. HYGH - Expense Ratio Comparison

FLHY has a 0.40% expense ratio, which is lower than HYGH's 0.53% expense ratio.


HYGH
iShares Interest Rate Hedged High Yield Bond ETF
Expense ratio chart for HYGH: current value at 0.53% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.53%
Expense ratio chart for FLHY: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

FLHY vs. HYGH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin Liberty High Yield Corporate ETF (FLHY) and iShares Interest Rate Hedged High Yield Bond ETF (HYGH). 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.


FLHY
Sharpe ratio
The chart of Sharpe ratio for FLHY, currently valued at 3.26, compared to the broader market-2.000.002.004.003.26
Sortino ratio
The chart of Sortino ratio for FLHY, currently valued at 5.23, compared to the broader market-2.000.002.004.006.008.0010.0012.005.23
Omega ratio
The chart of Omega ratio for FLHY, currently valued at 1.67, compared to the broader market1.001.502.002.503.001.67
Calmar ratio
The chart of Calmar ratio for FLHY, currently valued at 4.59, compared to the broader market0.005.0010.0015.004.59
Martin ratio
The chart of Martin ratio for FLHY, currently valued at 28.13, compared to the broader market0.0020.0040.0060.0080.00100.00120.0028.13
HYGH
Sharpe ratio
The chart of Sharpe ratio for HYGH, currently valued at 2.99, compared to the broader market-2.000.002.004.002.99
Sortino ratio
The chart of Sortino ratio for HYGH, currently valued at 4.15, compared to the broader market-2.000.002.004.006.008.0010.0012.004.15
Omega ratio
The chart of Omega ratio for HYGH, currently valued at 1.67, compared to the broader market1.001.502.002.503.001.67
Calmar ratio
The chart of Calmar ratio for HYGH, currently valued at 3.70, compared to the broader market0.005.0010.0015.003.70
Martin ratio
The chart of Martin ratio for HYGH, currently valued at 29.69, compared to the broader market0.0020.0040.0060.0080.00100.00120.0029.69

FLHY vs. HYGH - Sharpe Ratio Comparison

The current FLHY Sharpe Ratio is 3.26, which is comparable to the HYGH Sharpe Ratio of 2.99. The chart below compares the historical Sharpe Ratios of FLHY and HYGH, 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 Ratio2.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.26
2.99
FLHY
HYGH

Dividends

FLHY vs. HYGH - Dividend Comparison

FLHY's dividend yield for the trailing twelve months is around 6.40%, less than HYGH's 8.18% yield.


TTM2023202220212020201920182017201620152014
FLHY
Franklin Liberty High Yield Corporate ETF
6.40%6.25%6.54%5.50%5.48%5.45%4.28%0.00%0.00%0.00%0.00%
HYGH
iShares Interest Rate Hedged High Yield Bond ETF
8.18%8.95%6.21%3.74%4.06%4.89%6.45%4.79%4.59%5.74%3.62%

Drawdowns

FLHY vs. HYGH - Drawdown Comparison

The maximum FLHY drawdown since its inception was -22.57%, smaller than the maximum HYGH drawdown of -23.88%. Use the drawdown chart below to compare losses from any high point for FLHY and HYGH. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.49%
-0.29%
FLHY
HYGH

Volatility

FLHY vs. HYGH - Volatility Comparison

Franklin Liberty High Yield Corporate ETF (FLHY) has a higher volatility of 1.10% compared to iShares Interest Rate Hedged High Yield Bond ETF (HYGH) at 1.03%. This indicates that FLHY's price experiences larger fluctuations and is considered to be riskier than HYGH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%2.50%3.00%JuneJulyAugustSeptemberOctoberNovember
1.10%
1.03%
FLHY
HYGH