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

Correlation

The correlation between HYDB and SPHY is 0.77, 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.


-0.50.00.51.00.8

Performance

HYDB vs. SPHY - Performance Comparison

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

30.00%35.00%40.00%45.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
46.41%
38.52%
HYDB
SPHY

Key characteristics

Sharpe Ratio

HYDB:

1.99

SPHY:

2.03

Sortino Ratio

HYDB:

2.88

SPHY:

2.92

Omega Ratio

HYDB:

1.37

SPHY:

1.37

Calmar Ratio

HYDB:

4.66

SPHY:

3.74

Martin Ratio

HYDB:

15.62

SPHY:

14.64

Ulcer Index

HYDB:

0.58%

SPHY:

0.58%

Daily Std Dev

HYDB:

4.54%

SPHY:

4.21%

Max Drawdown

HYDB:

-21.58%

SPHY:

-21.97%

Current Drawdown

HYDB:

-1.20%

SPHY:

-1.07%

Returns By Period

In the year-to-date period, HYDB achieves a 8.98% return, which is significantly higher than SPHY's 8.37% return.


HYDB

YTD

8.98%

1M

-0.39%

6M

4.92%

1Y

8.67%

5Y*

4.84%

10Y*

N/A

SPHY

YTD

8.37%

1M

-0.16%

6M

5.22%

1Y

8.23%

5Y*

4.32%

10Y*

4.57%

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HYDB vs. SPHY - Expense Ratio Comparison

HYDB has a 0.35% expense ratio, which is higher than SPHY's 0.10% 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 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

HYDB vs. SPHY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares High Yield Bond Factor ETF (HYDB) 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.


Sharpe ratio
The chart of Sharpe ratio for HYDB, currently valued at 1.99, compared to the broader market0.002.004.001.992.03
The chart of Sortino ratio for HYDB, currently valued at 2.88, compared to the broader market-2.000.002.004.006.008.0010.002.882.92
The chart of Omega ratio for HYDB, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.37
The chart of Calmar ratio for HYDB, currently valued at 4.66, compared to the broader market0.005.0010.0015.004.663.74
The chart of Martin ratio for HYDB, currently valued at 15.62, compared to the broader market0.0020.0040.0060.0080.00100.0015.6214.64
HYDB
SPHY

The current HYDB Sharpe Ratio is 1.99, which is comparable to the SPHY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of HYDB 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 Ratio2.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.99
2.03
HYDB
SPHY

Dividends

HYDB vs. SPHY - Dividend Comparison

HYDB's dividend yield for the trailing twelve months is around 6.96%, less than SPHY's 7.81% 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%
SPHY
SPDR Portfolio High Yield Bond ETF
7.81%7.30%6.46%5.13%5.63%5.73%4.09%4.41%4.28%4.29%3.98%4.40%

Drawdowns

HYDB vs. SPHY - Drawdown Comparison

The maximum HYDB drawdown since its inception was -21.58%, roughly equal to the maximum SPHY drawdown of -21.97%. Use the drawdown chart below to compare losses from any high point for HYDB and SPHY. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.20%
-1.07%
HYDB
SPHY

Volatility

HYDB vs. SPHY - Volatility Comparison

iShares High Yield Bond Factor ETF (HYDB) has a higher volatility of 1.56% compared to SPDR Portfolio High Yield Bond ETF (SPHY) at 1.45%. This indicates that HYDB's price experiences larger fluctuations and is considered to be riskier than SPHY 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%JulyAugustSeptemberOctoberNovemberDecember
1.56%
1.45%
HYDB
SPHY
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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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