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

Key characteristics


GHYGUSHY
YTD Return6.88%8.76%
1Y Return14.04%14.53%
3Y Return (Ann)1.93%2.95%
5Y Return (Ann)3.37%4.43%
Sharpe Ratio2.593.24
Sortino Ratio3.905.16
Omega Ratio1.501.66
Calmar Ratio1.672.60
Martin Ratio16.3125.69
Ulcer Index0.86%0.56%
Daily Std Dev5.44%4.48%
Max Drawdown-27.36%-22.44%
Current Drawdown-0.80%0.00%

Correlation

-0.50.00.51.00.8

The correlation between GHYG and USHY is 0.76, 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

GHYG vs. USHY - Performance Comparison

In the year-to-date period, GHYG achieves a 6.88% return, which is significantly lower than USHY's 8.76% 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%
6.76%
GHYG
USHY

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GHYG vs. USHY - Expense Ratio Comparison

GHYG has a 0.40% expense ratio, which is higher than USHY's 0.15% expense ratio.


GHYG
iShares US & Intl High Yield Corp Bond ETF
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%
Expense ratio chart for USHY: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

GHYG vs. USHY - 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 iShares Broad USD High Yield Corporate Bond ETF (USHY). 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
USHY
Sharpe ratio
The chart of Sharpe ratio for USHY, currently valued at 3.24, compared to the broader market-2.000.002.004.006.003.24
Sortino ratio
The chart of Sortino ratio for USHY, currently valued at 5.16, compared to the broader market-2.000.002.004.006.008.0010.0012.005.16
Omega ratio
The chart of Omega ratio for USHY, currently valued at 1.66, compared to the broader market1.001.502.002.503.001.66
Calmar ratio
The chart of Calmar ratio for USHY, currently valued at 2.60, compared to the broader market0.005.0010.0015.002.60
Martin ratio
The chart of Martin ratio for USHY, currently valued at 25.69, compared to the broader market0.0020.0040.0060.0080.00100.0025.69

GHYG vs. USHY - Sharpe Ratio Comparison

The current GHYG Sharpe Ratio is 2.59, which is comparable to the USHY Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of GHYG and USHY, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.59
3.24
GHYG
USHY

Dividends

GHYG vs. USHY - Dividend Comparison

GHYG's dividend yield for the trailing twelve months is around 5.80%, less than USHY's 6.67% 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%
USHY
iShares Broad USD High Yield Corporate Bond ETF
6.67%6.62%6.08%5.07%5.31%5.91%6.30%0.73%0.00%0.00%0.00%0.00%

Drawdowns

GHYG vs. USHY - Drawdown Comparison

The maximum GHYG drawdown since its inception was -27.36%, which is greater than USHY's maximum drawdown of -22.44%. Use the drawdown chart below to compare losses from any high point for GHYG and USHY. For additional features, visit the drawdowns tool.


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

Volatility

GHYG vs. USHY - Volatility Comparison

iShares US & Intl High Yield Corp Bond ETF (GHYG) has a higher volatility of 1.24% compared to iShares Broad USD High Yield Corporate Bond ETF (USHY) at 0.96%. This indicates that GHYG's price experiences larger fluctuations and is considered to be riskier than USHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.80%1.00%1.20%1.40%1.60%1.80%JuneJulyAugustSeptemberOctoberNovember
1.24%
0.96%
GHYG
USHY