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HYDB vs. IGEB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between HYDB and IGEB is 0.45, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.4

Performance

HYDB vs. IGEB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares High Yield Bond Factor ETF (HYDB) and iShares Investment Grade Bond Factor ETF (IGEB). The values are adjusted to include any dividend payments, if applicable.

15.00%20.00%25.00%30.00%35.00%40.00%45.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
46.41%
21.15%
HYDB
IGEB

Key characteristics

Sharpe Ratio

HYDB:

1.99

IGEB:

0.67

Sortino Ratio

HYDB:

2.88

IGEB:

0.97

Omega Ratio

HYDB:

1.37

IGEB:

1.11

Calmar Ratio

HYDB:

4.66

IGEB:

0.33

Martin Ratio

HYDB:

15.62

IGEB:

2.38

Ulcer Index

HYDB:

0.58%

IGEB:

1.54%

Daily Std Dev

HYDB:

4.54%

IGEB:

5.51%

Max Drawdown

HYDB:

-21.58%

IGEB:

-21.13%

Current Drawdown

HYDB:

-1.20%

IGEB:

-5.44%

Returns By Period

In the year-to-date period, HYDB achieves a 8.98% return, which is significantly higher than IGEB's 3.15% return.


HYDB

YTD

8.98%

1M

-0.39%

6M

4.92%

1Y

8.67%

5Y*

4.84%

10Y*

N/A

IGEB

YTD

3.15%

1M

-0.24%

6M

2.37%

1Y

3.60%

5Y*

1.16%

10Y*

N/A

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HYDB vs. IGEB - Expense Ratio Comparison

HYDB has a 0.35% expense ratio, which is higher than IGEB's 0.18% expense ratio.


HYDB
iShares High Yield Bond Factor ETF
Expense ratio chart for HYDB: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for IGEB: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

HYDB vs. IGEB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares High Yield Bond Factor ETF (HYDB) and iShares Investment Grade Bond Factor ETF (IGEB). 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 HYDB, currently valued at 1.99, compared to the broader market0.002.004.001.990.67
The chart of Sortino ratio for HYDB, currently valued at 2.88, compared to the broader market-2.000.002.004.006.008.0010.002.880.97
The chart of Omega ratio for HYDB, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.11
The chart of Calmar ratio for HYDB, currently valued at 4.66, compared to the broader market0.005.0010.0015.004.660.33
The chart of Martin ratio for HYDB, currently valued at 15.62, compared to the broader market0.0020.0040.0060.0080.00100.0015.622.38
HYDB
IGEB

The current HYDB Sharpe Ratio is 1.99, which is higher than the IGEB Sharpe Ratio of 0.67. The chart below compares the historical Sharpe Ratios of HYDB and IGEB, 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 Ratio0.501.001.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
1.99
0.67
HYDB
IGEB

Dividends

HYDB vs. IGEB - Dividend Comparison

HYDB's dividend yield for the trailing twelve months is around 6.96%, more than IGEB's 5.09% yield.


TTM2023202220212020201920182017
HYDB
iShares High Yield Bond Factor ETF
6.96%7.00%6.30%4.70%5.81%5.68%6.17%2.70%
IGEB
iShares Investment Grade Bond Factor ETF
5.09%4.60%3.63%3.84%3.77%5.61%3.59%1.61%

Drawdowns

HYDB vs. IGEB - Drawdown Comparison

The maximum HYDB drawdown since its inception was -21.58%, roughly equal to the maximum IGEB drawdown of -21.13%. Use the drawdown chart below to compare losses from any high point for HYDB and IGEB. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.20%
-5.44%
HYDB
IGEB

Volatility

HYDB vs. IGEB - Volatility Comparison

The current volatility for iShares High Yield Bond Factor ETF (HYDB) is 1.56%, while iShares Investment Grade Bond Factor ETF (IGEB) has a volatility of 1.85%. This indicates that HYDB experiences smaller price fluctuations and is considered to be less risky than IGEB 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%2.00%JulyAugustSeptemberOctoberNovemberDecember
1.56%
1.85%
HYDB
IGEB
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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.

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