HYDB vs. SPHY
Compare and contrast key facts about iShares High Yield Bond Factor ETF (HYDB) and SPDR Portfolio High Yield Bond ETF (SPHY).
HYDB and SPHY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. HYDB is a passively managed fund by iShares that tracks the performance of the BlackRock High Yield Defensive Bond Index. It was launched on Jul 11, 2017. SPHY is a passively managed fund by State Street that tracks the performance of the ICE BofAML US High Yield Index. It was launched on Jun 18, 2012. Both HYDB and SPHY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: HYDB or SPHY.
Key characteristics
| HYDB | SPHY | |
|---|---|---|
| YTD Return | 9.73% | 8.91% |
| 1Y Return | 15.57% | 14.95% |
| 3Y Return (Ann) | 4.25% | 3.49% |
| 5Y Return (Ann) | 5.33% | 4.92% |
| Sharpe Ratio | 3.37 | 3.44 |
| Sortino Ratio | 5.40 | 5.54 |
| Omega Ratio | 1.68 | 1.71 |
| Calmar Ratio | 5.59 | 3.28 |
| Martin Ratio | 29.97 | 28.03 |
| Ulcer Index | 0.54% | 0.55% |
| Daily Std Dev | 4.78% | 4.50% |
| Max Drawdown | -21.58% | -21.97% |
| Current Drawdown | 0.00% | -0.08% |
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.
Performance
HYDB vs. SPHY - Performance Comparison
In the year-to-date period, HYDB achieves a 9.73% return, which is significantly higher than SPHY's 8.91% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Dividends
HYDB vs. SPHY - Dividend Comparison
HYDB's dividend yield for the trailing twelve months is around 6.95%, less than SPHY's 7.75% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
HYDB iShares High Yield Bond Factor ETF | 6.95% | 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 | 7.75% | 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.
Volatility
HYDB vs. SPHY - Volatility Comparison
iShares High Yield Bond Factor ETF (HYDB) has a higher volatility of 1.11% compared to SPDR Portfolio High Yield Bond ETF (SPHY) at 1.05%. 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.