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

Correlation

The correlation between HYDB and PGHY is 0.41, 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. PGHY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares High Yield Bond Factor ETF (HYDB) and Invesco Global Short Term High Yield Bond ETF (PGHY). 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%
26.04%
HYDB
PGHY

Key characteristics

Sharpe Ratio

HYDB:

1.99

PGHY:

2.02

Sortino Ratio

HYDB:

2.88

PGHY:

2.90

Omega Ratio

HYDB:

1.37

PGHY:

1.38

Calmar Ratio

HYDB:

4.66

PGHY:

4.72

Martin Ratio

HYDB:

15.62

PGHY:

17.60

Ulcer Index

HYDB:

0.58%

PGHY:

0.51%

Daily Std Dev

HYDB:

4.54%

PGHY:

4.50%

Max Drawdown

HYDB:

-21.58%

PGHY:

-20.50%

Current Drawdown

HYDB:

-1.20%

PGHY:

-0.85%

Returns By Period

The year-to-date returns for both stocks are quite close, with HYDB having a 8.98% return and PGHY slightly lower at 8.89%.


HYDB

YTD

8.98%

1M

-0.39%

6M

4.92%

1Y

8.67%

5Y*

4.84%

10Y*

N/A

PGHY

YTD

8.89%

1M

0.10%

6M

4.55%

1Y

8.84%

5Y*

3.42%

10Y*

4.23%

Compare stocks, funds, or ETFs

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


HYDB vs. PGHY - Expense Ratio Comparison

Both HYDB and PGHY have an expense ratio of 0.35%.


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 PGHY: 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%

Risk-Adjusted Performance

HYDB vs. PGHY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares High Yield Bond Factor ETF (HYDB) and Invesco Global Short Term High Yield Bond ETF (PGHY). 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 market0.002.004.001.992.02
The chart of Sortino ratio for HYDB, currently valued at 2.88, compared to the broader market-2.000.002.004.006.008.0010.002.882.90
The chart of Omega ratio for HYDB, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.38
The chart of Calmar ratio for HYDB, currently valued at 4.66, compared to the broader market0.005.0010.0015.004.664.72
The chart of Martin ratio for HYDB, currently valued at 15.62, compared to the broader market0.0020.0040.0060.0080.00100.0015.6217.60
HYDB
PGHY

The current HYDB Sharpe Ratio is 1.99, which is comparable to the PGHY Sharpe Ratio of 2.02. The chart below compares the historical Sharpe Ratios of HYDB and PGHY, 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 Ratio2.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.99
2.02
HYDB
PGHY

Dividends

HYDB vs. PGHY - Dividend Comparison

HYDB's dividend yield for the trailing twelve months is around 6.96%, more than PGHY's 6.76% yield.


TTM20232022202120202019201820172016201520142013
HYDB
iShares High Yield Bond Factor ETF
6.96%7.00%6.30%4.70%5.81%5.68%6.17%2.70%0.00%0.00%0.00%0.00%
PGHY
Invesco Global Short Term High Yield Bond ETF
6.76%7.86%5.12%5.18%5.45%5.33%5.45%5.52%6.26%4.59%4.40%1.90%

Drawdowns

HYDB vs. PGHY - Drawdown Comparison

The maximum HYDB drawdown since its inception was -21.58%, which is greater than PGHY's maximum drawdown of -20.50%. Use the drawdown chart below to compare losses from any high point for HYDB and PGHY. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.20%
-0.85%
HYDB
PGHY

Volatility

HYDB vs. PGHY - Volatility Comparison

The current volatility for iShares High Yield Bond Factor ETF (HYDB) is 1.56%, while Invesco Global Short Term High Yield Bond ETF (PGHY) has a volatility of 1.88%. This indicates that HYDB experiences smaller price fluctuations and is considered to be less risky than PGHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%JulyAugustSeptemberOctoberNovemberDecember
1.56%
1.88%
HYDB
PGHY
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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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