FRME vs. SJNK
FRME (First Merchants Corporation) is a stock, while SJNK (SPDR Bloomberg Short Term High Yield Bond ETF) is High Yield Bonds fund tracking the Bloomberg U.S. High Yield 350mn Cash Pay 0-5 Yr 2% Capped Index. Over the past 10 years, FRME returned 8.29%/yr vs 5.31%/yr for SJNK. Their 0.37 correlation means their historical movements had little consistent relationship.
Performance
FRME vs. SJNK - Performance Comparison
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Returns By Period
In the year-to-date period, FRME achieves a 17.27% return, which is significantly higher than SJNK's 1.60% return. Over the past 10 years, FRME has outperformed SJNK with an annualized return of 8.29%, while SJNK has yielded a comparatively lower 5.31% annualized return.
FRME
- 1D
- -0.23%
- 1M
- -0.69%
- 6M
- 10.54%
- YTD
- 17.27%
- 1Y
- 20.62%
- 3Y*
- 14.98%
- 5Y*
- 4.89%
- 10Y*
- 8.29%
- ALL TIME*
- 7.75%
SJNK
- 1D
- 0.00%
- 1M
- -0.32%
- 6M
- 1.16%
- YTD
- 1.60%
- 1Y
- 4.72%
- 3Y*
- 7.70%
- 5Y*
- 4.76%
- 10Y*
- 5.31%
- ALL TIME*
- 4.61%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $22.75M | $20.61M | $17.32M | |
| $72.70M | $61.59M | $61.63M |
FRME vs. SJNK - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FRME First Merchants Corporation | 17.27% | -2.55% | 11.82% | -5.82% | 1.11% | 14.99% | -6.93% | 24.62% | -16.93% | 13.63% |
SJNK SPDR Bloomberg Short Term High Yield Bond ETF | 1.60% | 7.68% | 8.24% | 11.63% | -5.50% | 5.06% | 5.82% | 9.49% | -0.27% | 5.27% |
Correlation
The correlation between FRME and SJNK is 0.39, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.39 |
Correlation (3Y) Balances recent behavior with more history. | 0.39 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.41 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.37 |
Correlation (All Time) Calculated using the full available price history since Mar 15, 2012 | 0.37 |
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Return for Risk
FRME vs. SJNK — Risk / Return Rank
FRME
SJNK
FRME vs. SJNK - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Merchants Corporation (FRME) and SPDR Bloomberg Short Term High Yield Bond ETF (SJNK). 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.
| FRME | SJNK | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.75 | ||
| Sortino ratioReturn per unit of downside risk | -1.08 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.28 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 1.11 | 2.75 | -1.63 |
| Martin ratioReturn relative to average drawdown | 2.40 | 11.44 | -9.04 |
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Drawdowns
FRME vs. SJNK - Drawdown Comparison
The maximum FRME drawdown since its inception was -81.31%, which is greater than SJNK's maximum drawdown of -19.74%. Use the drawdown chart below to compare losses from any high point for FRME and SJNK.
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Drawdown Indicators
| FRME | SJNK | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -81.31% | -19.74% | -61.57% |
Max Drawdown (1Y)Largest decline over 1 year | -15.73% | -1.73% | -14.00% |
Max Drawdown (3Y)Largest decline over 3 years | -23.94% | -4.77% | -19.17% |
Max Drawdown (5Y)Largest decline over 5 years | -43.72% | -10.18% | -33.54% |
Max Drawdown (10Y)Largest decline over 10 years | -53.03% | -19.74% | -33.29% |
Current DrawdownCurrent decline from peak | -4.62% | -0.48% | -4.14% |
Average DrawdownAverage peak-to-trough decline | -19.17% | -1.62% | -17.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.29% | 0.41% | +6.88% |
Volatility
FRME vs. SJNK - Volatility Comparison
First Merchants Corporation (FRME) has a higher volatility of 7.86% compared to SPDR Bloomberg Short Term High Yield Bond ETF (SJNK) at 0.66%. This indicates that FRME's price experiences larger fluctuations and is considered to be riskier than SJNK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FRME | SJNK | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.86% | 0.66% | +7.20% |
Volatility (6M)Calculated over the trailing 6-month period | 16.51% | 2.57% | +13.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.22% | 3.22% | +21.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.93% | 5.83% | +24.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 32.79% | 6.44% | +26.35% |
Dividends
FRME vs. SJNK - Dividend Comparison
FRME's dividend yield for the trailing twelve months is around 3.36%, less than SJNK's 7.04% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FRME First Merchants Corporation | 3.36% | 3.82% | 3.48% | 3.61% | 3.04% | 2.70% | 2.78% | 2.40% | 2.45% | 1.64% | 1.43% | 1.61% |
SJNK SPDR Bloomberg Short Term High Yield Bond ETF | 6.43% | 7.12% | 7.47% | 7.20% | 5.85% | 4.21% | 5.34% | 5.64% | 5.69% | 5.64% | 5.65% | 5.81% |
Frequently Asked Questions
FRME and SJNK have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FRME has higher volatility (7.86%) compared to SJNK (0.66%). In terms of maximum drawdown, FRME dropped -81.31% vs SJNK's -19.74%.
SJNK currently has the higher Sharpe Ratio (1.48 vs 0.72), 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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