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

Key characteristics


HYDWIBHD
YTD Return5.53%5.24%
1Y Return10.39%6.79%
3Y Return (Ann)2.46%4.11%
5Y Return (Ann)3.22%4.04%
Sharpe Ratio2.534.16
Sortino Ratio3.986.52
Omega Ratio1.512.07
Calmar Ratio3.0113.81
Martin Ratio18.8879.28
Ulcer Index0.54%0.09%
Daily Std Dev4.06%1.71%
Max Drawdown-17.75%-20.11%
Current Drawdown-0.81%-0.02%

Correlation

-0.50.00.51.00.7

The correlation between HYDW and IBHD is 0.72, 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

HYDW vs. IBHD - Performance Comparison

In the year-to-date period, HYDW achieves a 5.53% return, which is significantly higher than IBHD's 5.24% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.33%
2.96%
HYDW
IBHD

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HYDW vs. IBHD - Expense Ratio Comparison

HYDW has a 0.20% expense ratio, which is lower than IBHD's 0.35% expense ratio.


IBHD
iShares iBonds 2024 Term High Yield & Income ETF
Expense ratio chart for IBHD: 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 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. IBHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers Low Beta High Yield Bond ETF (HYDW) and iShares iBonds 2024 Term High Yield & Income ETF (IBHD). 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
IBHD
Sharpe ratio
The chart of Sharpe ratio for IBHD, currently valued at 4.16, compared to the broader market-2.000.002.004.006.004.16
Sortino ratio
The chart of Sortino ratio for IBHD, currently valued at 6.52, compared to the broader market-2.000.002.004.006.008.0010.0012.006.52
Omega ratio
The chart of Omega ratio for IBHD, currently valued at 2.07, compared to the broader market1.001.502.002.503.002.07
Calmar ratio
The chart of Calmar ratio for IBHD, currently valued at 13.81, compared to the broader market0.005.0010.0015.0013.81
Martin ratio
The chart of Martin ratio for IBHD, currently valued at 79.28, compared to the broader market0.0020.0040.0060.0080.00100.0079.28

HYDW vs. IBHD - Sharpe Ratio Comparison

The current HYDW Sharpe Ratio is 2.53, which is lower than the IBHD Sharpe Ratio of 4.16. The chart below compares the historical Sharpe Ratios of HYDW and IBHD, 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 Ratio1.001.502.002.503.003.504.004.50JuneJulyAugustSeptemberOctoberNovember
2.53
4.16
HYDW
IBHD

Dividends

HYDW vs. IBHD - Dividend Comparison

HYDW's dividend yield for the trailing twelve months is around 5.65%, less than IBHD's 6.27% yield.


TTM202320222021202020192018
HYDW
Xtrackers Low Beta High Yield Bond ETF
5.65%5.69%4.78%3.30%4.46%4.56%4.42%
IBHD
iShares iBonds 2024 Term High Yield & Income ETF
6.27%6.90%4.91%4.43%5.50%3.59%0.00%

Drawdowns

HYDW vs. IBHD - Drawdown Comparison

The maximum HYDW drawdown since its inception was -17.75%, smaller than the maximum IBHD drawdown of -20.11%. Use the drawdown chart below to compare losses from any high point for HYDW and IBHD. For additional features, visit the drawdowns tool.


-1.40%-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.81%
-0.02%
HYDW
IBHD

Volatility

HYDW vs. IBHD - Volatility Comparison

Xtrackers Low Beta High Yield Bond ETF (HYDW) has a higher volatility of 1.00% compared to iShares iBonds 2024 Term High Yield & Income ETF (IBHD) at 0.24%. This indicates that HYDW's price experiences larger fluctuations and is considered to be riskier than IBHD 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
1.00%
0.24%
HYDW
IBHD