PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
GSY vs. ULST
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GSY and ULST is 0.20, 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.


-0.50.00.51.00.2

Performance

GSY vs. ULST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Ultra Short Duration ETF (GSY) and SPDR SSgA Ultra Short Term Bond ETF (ULST). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%JulyAugustSeptemberOctoberNovemberDecember
2.97%
2.56%
GSY
ULST

Key characteristics

Sharpe Ratio

GSY:

11.18

ULST:

4.61

Sortino Ratio

GSY:

26.96

ULST:

7.37

Omega Ratio

GSY:

6.00

ULST:

2.50

Calmar Ratio

GSY:

60.48

ULST:

9.77

Martin Ratio

GSY:

335.52

ULST:

74.04

Ulcer Index

GSY:

0.02%

ULST:

0.07%

Daily Std Dev

GSY:

0.54%

ULST:

1.15%

Max Drawdown

GSY:

-12.14%

ULST:

-6.19%

Current Drawdown

GSY:

-0.06%

ULST:

-0.17%

Returns By Period

In the year-to-date period, GSY achieves a 5.69% return, which is significantly higher than ULST's 4.93% return. Over the past 10 years, GSY has outperformed ULST with an annualized return of 2.47%, while ULST has yielded a comparatively lower 2.12% annualized return.


GSY

YTD

5.69%

1M

0.38%

6M

2.95%

1Y

6.00%

5Y*

2.75%

10Y*

2.47%

ULST

YTD

4.93%

1M

0.24%

6M

2.56%

1Y

5.26%

5Y*

2.62%

10Y*

2.12%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


GSY vs. ULST - Expense Ratio Comparison

GSY has a 0.22% expense ratio, which is higher than ULST's 0.20% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


GSY
Invesco Ultra Short Duration ETF
Expense ratio chart for GSY: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
Expense ratio chart for ULST: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

GSY vs. ULST - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Ultra Short Duration ETF (GSY) and SPDR SSgA Ultra Short Term Bond ETF (ULST). 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.


Sharpe ratio
The chart of Sharpe ratio for GSY, currently valued at 11.18, compared to the broader market0.002.004.0011.184.61
The chart of Sortino ratio for GSY, currently valued at 26.96, compared to the broader market-2.000.002.004.006.008.0010.0026.967.37
The chart of Omega ratio for GSY, currently valued at 6.00, compared to the broader market0.501.001.502.002.503.006.002.50
The chart of Calmar ratio for GSY, currently valued at 60.48, compared to the broader market0.005.0010.0015.0060.489.77
The chart of Martin ratio for GSY, currently valued at 335.52, compared to the broader market0.0020.0040.0060.0080.00100.00335.5274.04
GSY
ULST

The current GSY Sharpe Ratio is 11.18, which is higher than the ULST Sharpe Ratio of 4.61. The chart below compares the historical Sharpe Ratios of GSY and ULST, 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 Ratio4.006.008.0010.0012.00JulyAugustSeptemberOctoberNovemberDecember
11.18
4.61
GSY
ULST

Dividends

GSY vs. ULST - Dividend Comparison

GSY's dividend yield for the trailing twelve months is around 4.89%, more than ULST's 4.62% yield.


TTM20232022202120202019201820172016201520142013
GSY
Invesco Ultra Short Duration ETF
4.89%4.95%1.70%0.58%1.60%2.91%2.42%2.02%1.30%1.17%1.29%1.15%
ULST
SPDR SSgA Ultra Short Term Bond ETF
4.62%4.45%1.71%0.54%1.34%2.56%2.13%1.21%0.93%0.37%0.34%0.06%

Drawdowns

GSY vs. ULST - Drawdown Comparison

The maximum GSY drawdown since its inception was -12.14%, which is greater than ULST's maximum drawdown of -6.19%. Use the drawdown chart below to compare losses from any high point for GSY and ULST. For additional features, visit the drawdowns tool.


-0.50%-0.40%-0.30%-0.20%-0.10%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.06%
-0.17%
GSY
ULST

Volatility

GSY vs. ULST - Volatility Comparison

The current volatility for Invesco Ultra Short Duration ETF (GSY) is 0.13%, while SPDR SSgA Ultra Short Term Bond ETF (ULST) has a volatility of 0.21%. This indicates that GSY experiences smaller price fluctuations and is considered to be less risky than ULST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.40%0.60%0.80%JulyAugustSeptemberOctoberNovemberDecember
0.13%
0.21%
GSY
ULST
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab