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HYBL vs. SPHY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


HYBLSPHY
YTD Return8.55%9.00%
1Y Return13.25%15.61%
Sharpe Ratio4.563.26
Sortino Ratio7.355.19
Omega Ratio2.071.66
Calmar Ratio10.522.94
Martin Ratio52.7126.90
Ulcer Index0.25%0.55%
Daily Std Dev2.85%4.57%
Max Drawdown-8.46%-21.97%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.8

The correlation between HYBL and SPHY is 0.79, 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

HYBL vs. SPHY - Performance Comparison

In the year-to-date period, HYBL achieves a 8.55% return, which is significantly lower than SPHY's 9.00% 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
5.35%
7.07%
HYBL
SPHY

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HYBL vs. SPHY - Expense Ratio Comparison

HYBL has a 0.70% expense ratio, which is higher than SPHY's 0.10% expense ratio.


HYBL
SPDR Blackstone High Income ETF
Expense ratio chart for HYBL: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%
Expense ratio chart for SPHY: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

HYBL vs. SPHY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Blackstone High Income ETF (HYBL) and SPDR Portfolio High Yield Bond ETF (SPHY). 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.


HYBL
Sharpe ratio
The chart of Sharpe ratio for HYBL, currently valued at 4.56, compared to the broader market-2.000.002.004.004.56
Sortino ratio
The chart of Sortino ratio for HYBL, currently valued at 7.35, compared to the broader market0.005.0010.007.35
Omega ratio
The chart of Omega ratio for HYBL, currently valued at 2.07, compared to the broader market1.001.502.002.503.002.07
Calmar ratio
The chart of Calmar ratio for HYBL, currently valued at 10.52, compared to the broader market0.005.0010.0015.0010.52
Martin ratio
The chart of Martin ratio for HYBL, currently valued at 52.70, compared to the broader market0.0020.0040.0060.0080.00100.0052.71
SPHY
Sharpe ratio
The chart of Sharpe ratio for SPHY, currently valued at 3.26, compared to the broader market-2.000.002.004.003.26
Sortino ratio
The chart of Sortino ratio for SPHY, currently valued at 5.19, compared to the broader market0.005.0010.005.19
Omega ratio
The chart of Omega ratio for SPHY, currently valued at 1.66, compared to the broader market1.001.502.002.503.001.66
Calmar ratio
The chart of Calmar ratio for SPHY, currently valued at 6.51, compared to the broader market0.005.0010.0015.006.51
Martin ratio
The chart of Martin ratio for SPHY, currently valued at 26.90, compared to the broader market0.0020.0040.0060.0080.00100.0026.90

HYBL vs. SPHY - Sharpe Ratio Comparison

The current HYBL Sharpe Ratio is 4.56, which is higher than the SPHY Sharpe Ratio of 3.26. The chart below compares the historical Sharpe Ratios of HYBL and SPHY, 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 Ratio1.502.002.503.003.504.004.505.00JuneJulyAugustSeptemberOctoberNovember
4.56
3.26
HYBL
SPHY

Dividends

HYBL vs. SPHY - Dividend Comparison

HYBL's dividend yield for the trailing twelve months is around 8.18%, more than SPHY's 7.74% yield.


TTM20232022202120202019201820172016201520142013
HYBL
SPDR Blackstone High Income ETF
8.18%7.93%5.10%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPHY
SPDR Portfolio High Yield Bond ETF
7.74%7.30%6.46%5.13%5.63%5.73%4.09%4.41%4.28%4.29%3.98%4.40%

Drawdowns

HYBL vs. SPHY - Drawdown Comparison

The maximum HYBL drawdown since its inception was -8.46%, smaller than the maximum SPHY drawdown of -21.97%. Use the drawdown chart below to compare losses from any high point for HYBL and SPHY. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember00
HYBL
SPHY

Volatility

HYBL vs. SPHY - Volatility Comparison

The current volatility for SPDR Blackstone High Income ETF (HYBL) is 0.60%, while SPDR Portfolio High Yield Bond ETF (SPHY) has a volatility of 1.05%. This indicates that HYBL experiences smaller price fluctuations and is considered to be less risky than SPHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.60%0.80%1.00%1.20%1.40%JuneJulyAugustSeptemberOctoberNovember
0.60%
1.05%
HYBL
SPHY