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GHYG vs. EIFAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


GHYGEIFAX
YTD Return6.88%7.43%
1Y Return14.04%11.07%
3Y Return (Ann)1.93%6.21%
5Y Return (Ann)3.37%5.65%
10Y Return (Ann)3.58%5.01%
Sharpe Ratio2.593.69
Sortino Ratio3.9010.79
Omega Ratio1.503.20
Calmar Ratio1.6713.85
Martin Ratio16.3162.31
Ulcer Index0.86%0.18%
Daily Std Dev5.44%3.00%
Max Drawdown-27.36%-38.15%
Current Drawdown-0.80%0.00%

Correlation

-0.50.00.51.00.3

The correlation between GHYG and EIFAX is 0.28, 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

GHYG vs. EIFAX - Performance Comparison

In the year-to-date period, GHYG achieves a 6.88% return, which is significantly lower than EIFAX's 7.43% return. Over the past 10 years, GHYG has underperformed EIFAX with an annualized return of 3.58%, while EIFAX has yielded a comparatively higher 5.01% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.15%
4.04%
GHYG
EIFAX

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GHYG vs. EIFAX - Expense Ratio Comparison

GHYG has a 0.40% expense ratio, which is lower than EIFAX's 0.47% expense ratio.


EIFAX
Eaton Vance Floating-Rate Advantage Fund
Expense ratio chart for EIFAX: current value at 0.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.47%
Expense ratio chart for GHYG: 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

GHYG vs. EIFAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares US & Intl High Yield Corp Bond ETF (GHYG) and Eaton Vance Floating-Rate Advantage Fund (EIFAX). 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.


GHYG
Sharpe ratio
The chart of Sharpe ratio for GHYG, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Sortino ratio
The chart of Sortino ratio for GHYG, currently valued at 3.90, compared to the broader market-2.000.002.004.006.008.0010.0012.003.90
Omega ratio
The chart of Omega ratio for GHYG, currently valued at 1.50, compared to the broader market1.001.502.002.503.001.50
Calmar ratio
The chart of Calmar ratio for GHYG, currently valued at 1.67, compared to the broader market0.005.0010.0015.001.67
Martin ratio
The chart of Martin ratio for GHYG, currently valued at 16.31, compared to the broader market0.0020.0040.0060.0080.00100.0016.31
EIFAX
Sharpe ratio
The chart of Sharpe ratio for EIFAX, currently valued at 3.69, compared to the broader market-2.000.002.004.006.003.69
Sortino ratio
The chart of Sortino ratio for EIFAX, currently valued at 10.79, compared to the broader market-2.000.002.004.006.008.0010.0012.0010.79
Omega ratio
The chart of Omega ratio for EIFAX, currently valued at 3.20, compared to the broader market1.001.502.002.503.003.20
Calmar ratio
The chart of Calmar ratio for EIFAX, currently valued at 13.85, compared to the broader market0.005.0010.0015.0013.85
Martin ratio
The chart of Martin ratio for EIFAX, currently valued at 62.31, compared to the broader market0.0020.0040.0060.0080.00100.0062.31

GHYG vs. EIFAX - Sharpe Ratio Comparison

The current GHYG Sharpe Ratio is 2.59, which is comparable to the EIFAX Sharpe Ratio of 3.69. The chart below compares the historical Sharpe Ratios of GHYG and EIFAX, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
2.59
3.69
GHYG
EIFAX

Dividends

GHYG vs. EIFAX - Dividend Comparison

GHYG's dividend yield for the trailing twelve months is around 5.80%, less than EIFAX's 9.47% yield.


TTM20232022202120202019201820172016201520142013
GHYG
iShares US & Intl High Yield Corp Bond ETF
5.80%5.61%4.64%4.57%4.36%4.61%5.62%4.60%4.61%4.78%5.73%5.52%
EIFAX
Eaton Vance Floating-Rate Advantage Fund
9.47%9.33%5.92%4.03%4.52%5.58%5.10%4.46%5.03%5.29%4.79%4.82%

Drawdowns

GHYG vs. EIFAX - Drawdown Comparison

The maximum GHYG drawdown since its inception was -27.36%, smaller than the maximum EIFAX drawdown of -38.15%. Use the drawdown chart below to compare losses from any high point for GHYG and EIFAX. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.80%
0
GHYG
EIFAX

Volatility

GHYG vs. EIFAX - Volatility Comparison

iShares US & Intl High Yield Corp Bond ETF (GHYG) has a higher volatility of 1.24% compared to Eaton Vance Floating-Rate Advantage Fund (EIFAX) at 0.63%. This indicates that GHYG's price experiences larger fluctuations and is considered to be riskier than EIFAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.24%
0.63%
GHYG
EIFAX