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HYDW vs. DJP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


HYDWDJP
YTD Return5.53%2.47%
1Y Return10.39%-2.38%
3Y Return (Ann)2.46%1.34%
5Y Return (Ann)3.22%7.05%
Sharpe Ratio2.53-0.03
Sortino Ratio3.980.06
Omega Ratio1.511.01
Calmar Ratio3.01-0.01
Martin Ratio18.88-0.06
Ulcer Index0.54%6.26%
Daily Std Dev4.06%14.00%
Max Drawdown-17.75%-78.35%
Current Drawdown-0.81%-57.42%

Correlation

-0.50.00.51.00.2

The correlation between HYDW and DJP is 0.24, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

HYDW vs. DJP - Performance Comparison

In the year-to-date period, HYDW achieves a 5.53% return, which is significantly higher than DJP's 2.47% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.34%
-4.74%
HYDW
DJP

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HYDW vs. DJP - Expense Ratio Comparison

HYDW has a 0.20% expense ratio, which is lower than DJP's 0.70% expense ratio.


DJP
iPath Bloomberg Commodity Index Total Return ETN
Expense ratio chart for DJP: 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 HYDW: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

HYDW vs. DJP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers Low Beta High Yield Bond ETF (HYDW) and iPath Bloomberg Commodity Index Total Return ETN (DJP). 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.


HYDW
Sharpe ratio
The chart of Sharpe ratio for HYDW, currently valued at 2.53, compared to the broader market-2.000.002.004.006.002.53
Sortino ratio
The chart of Sortino ratio for HYDW, currently valued at 3.98, compared to the broader market-2.000.002.004.006.008.0010.0012.003.98
Omega ratio
The chart of Omega ratio for HYDW, currently valued at 1.51, compared to the broader market1.001.502.002.503.001.51
Calmar ratio
The chart of Calmar ratio for HYDW, currently valued at 3.01, compared to the broader market0.005.0010.0015.003.01
Martin ratio
The chart of Martin ratio for HYDW, currently valued at 18.88, compared to the broader market0.0020.0040.0060.0080.00100.0018.88
DJP
Sharpe ratio
The chart of Sharpe ratio for DJP, currently valued at -0.03, compared to the broader market-2.000.002.004.006.00-0.03
Sortino ratio
The chart of Sortino ratio for DJP, currently valued at 0.06, compared to the broader market-2.000.002.004.006.008.0010.0012.000.06
Omega ratio
The chart of Omega ratio for DJP, currently valued at 1.01, compared to the broader market1.001.502.002.503.001.01
Calmar ratio
The chart of Calmar ratio for DJP, currently valued at -0.01, compared to the broader market0.005.0010.0015.00-0.01
Martin ratio
The chart of Martin ratio for DJP, currently valued at -0.06, compared to the broader market0.0020.0040.0060.0080.00100.00-0.06

HYDW vs. DJP - Sharpe Ratio Comparison

The current HYDW Sharpe Ratio is 2.53, which is higher than the DJP Sharpe Ratio of -0.03. The chart below compares the historical Sharpe Ratios of HYDW and DJP, 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 Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.53
-0.03
HYDW
DJP

Dividends

HYDW vs. DJP - Dividend Comparison

HYDW's dividend yield for the trailing twelve months is around 5.65%, while DJP has not paid dividends to shareholders.


TTM202320222021202020192018
HYDW
Xtrackers Low Beta High Yield Bond ETF
5.65%5.69%4.78%3.30%4.46%4.56%4.42%
DJP
iPath Bloomberg Commodity Index Total Return ETN
0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

HYDW vs. DJP - Drawdown Comparison

The maximum HYDW drawdown since its inception was -17.75%, smaller than the maximum DJP drawdown of -78.35%. Use the drawdown chart below to compare losses from any high point for HYDW and DJP. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.81%
-24.42%
HYDW
DJP

Volatility

HYDW vs. DJP - Volatility Comparison

The current volatility for Xtrackers Low Beta High Yield Bond ETF (HYDW) is 1.00%, while iPath Bloomberg Commodity Index Total Return ETN (DJP) has a volatility of 4.40%. This indicates that HYDW experiences smaller price fluctuations and is considered to be less risky than DJP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
1.00%
4.40%
HYDW
DJP