PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
HYDW vs. EIFAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


HYDWEIFAX
YTD Return5.67%7.53%
1Y Return9.45%10.96%
3Y Return (Ann)2.50%6.25%
5Y Return (Ann)3.22%5.66%
Sharpe Ratio2.593.69
Sortino Ratio4.0710.79
Omega Ratio1.523.20
Calmar Ratio3.7913.85
Martin Ratio19.2962.30
Ulcer Index0.55%0.18%
Daily Std Dev4.06%3.00%
Max Drawdown-17.75%-38.15%
Current Drawdown-0.68%0.00%

Correlation

-0.50.00.51.00.3

The correlation between HYDW and EIFAX is 0.25, 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. EIFAX - Performance Comparison

In the year-to-date period, HYDW achieves a 5.67% return, which is significantly lower than EIFAX's 7.53% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-1.00%0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.96%
4.14%
HYDW
EIFAX

Compare stocks, funds, or ETFs

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


HYDW vs. EIFAX - Expense Ratio Comparison

HYDW has a 0.20% expense ratio, which is lower than EIFAX's 0.47% expense ratio.


EIFAX
Eaton Vance Floating-Rate Advantage Fund
Expense ratio chart for EIFAX: current value at 0.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.47%
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. EIFAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers Low Beta High Yield Bond ETF (HYDW) and Eaton Vance Floating-Rate Advantage Fund (EIFAX). 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 2.59, compared to the broader market-2.000.002.004.006.002.59
Sortino ratio
The chart of Sortino ratio for HYDW, currently valued at 4.07, compared to the broader market-2.000.002.004.006.008.0010.0012.004.07
Omega ratio
The chart of Omega ratio for HYDW, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for HYDW, currently valued at 3.79, compared to the broader market0.005.0010.0015.003.79
Martin ratio
The chart of Martin ratio for HYDW, currently valued at 19.29, compared to the broader market0.0020.0040.0060.0080.00100.0019.29
EIFAX
Sharpe ratio
The chart of Sharpe ratio for EIFAX, currently valued at 3.69, compared to the broader market-2.000.002.004.006.003.69
Sortino ratio
The chart of Sortino ratio for EIFAX, currently valued at 10.79, compared to the broader market-2.000.002.004.006.008.0010.0012.0010.79
Omega ratio
The chart of Omega ratio for EIFAX, currently valued at 3.20, compared to the broader market1.001.502.002.503.003.20
Calmar ratio
The chart of Calmar ratio for EIFAX, currently valued at 13.85, compared to the broader market0.005.0010.0015.0013.85
Martin ratio
The chart of Martin ratio for EIFAX, currently valued at 62.30, compared to the broader market0.0020.0040.0060.0080.00100.0062.30

HYDW vs. EIFAX - Sharpe Ratio Comparison

The current HYDW Sharpe Ratio is 2.59, which is comparable to the EIFAX Sharpe Ratio of 3.69. The chart below compares the historical Sharpe Ratios of HYDW and EIFAX, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
2.59
3.69
HYDW
EIFAX

Dividends

HYDW vs. EIFAX - Dividend Comparison

HYDW's dividend yield for the trailing twelve months is around 5.64%, less than EIFAX's 9.46% yield.


TTM20232022202120202019201820172016201520142013
HYDW
Xtrackers Low Beta High Yield Bond ETF
5.64%5.69%4.78%3.30%4.46%4.56%4.42%0.00%0.00%0.00%0.00%0.00%
EIFAX
Eaton Vance Floating-Rate Advantage Fund
9.46%9.33%5.92%4.03%4.52%5.58%5.10%4.46%5.03%5.29%4.79%4.82%

Drawdowns

HYDW vs. EIFAX - Drawdown Comparison

The maximum HYDW drawdown since its inception was -17.75%, smaller than the maximum EIFAX drawdown of -38.15%. Use the drawdown chart below to compare losses from any high point for HYDW and EIFAX. For additional features, visit the drawdowns tool.


-1.40%-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.68%
0
HYDW
EIFAX

Volatility

HYDW vs. EIFAX - Volatility Comparison

Xtrackers Low Beta High Yield Bond ETF (HYDW) has a higher volatility of 1.01% compared to Eaton Vance Floating-Rate Advantage Fund (EIFAX) at 0.63%. This indicates that HYDW's price experiences larger fluctuations and is considered to be riskier than EIFAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.40%0.60%0.80%1.00%1.20%JuneJulyAugustSeptemberOctoberNovember
1.01%
0.63%
HYDW
EIFAX