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HYG vs. SHYG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


HYGSHYG
YTD Return4.34%4.44%
1Y Return10.54%9.50%
3Y Return (Ann)1.60%3.61%
5Y Return (Ann)3.14%4.01%
10Y Return (Ann)3.48%3.87%
Sharpe Ratio1.872.33
Daily Std Dev5.74%4.20%
Max Drawdown-34.24%-19.26%
Current Drawdown0.00%-0.09%

Correlation

-0.50.00.51.00.9

The correlation between HYG and SHYG is 0.89, 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

HYG vs. SHYG - Performance Comparison

The year-to-date returns for both investments are quite close, with HYG having a 4.34% return and SHYG slightly higher at 4.44%. Over the past 10 years, HYG has underperformed SHYG with an annualized return of 3.48%, while SHYG has yielded a comparatively higher 3.87% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


40.00%42.00%44.00%46.00%48.00%50.00%52.00%FebruaryMarchAprilMayJuneJuly
47.77%
51.83%
HYG
SHYG

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iShares iBoxx $ High Yield Corporate Bond ETF

iShares 0-5 Year High Yield Corporate Bond ETF

HYG vs. SHYG - Expense Ratio Comparison

HYG has a 0.49% expense ratio, which is higher than SHYG's 0.30% expense ratio.


HYG
iShares iBoxx $ High Yield Corporate Bond ETF
Expense ratio chart for HYG: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for SHYG: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Risk-Adjusted Performance

HYG vs. SHYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares iBoxx $ High Yield Corporate Bond ETF (HYG) and iShares 0-5 Year High Yield Corporate Bond ETF (SHYG). 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.


HYG
Sharpe ratio
The chart of Sharpe ratio for HYG, currently valued at 1.84, compared to the broader market0.002.004.006.001.84
Sortino ratio
The chart of Sortino ratio for HYG, currently valued at 2.82, compared to the broader market0.005.0010.002.82
Omega ratio
The chart of Omega ratio for HYG, currently valued at 1.34, compared to the broader market1.002.003.001.34
Calmar ratio
The chart of Calmar ratio for HYG, currently valued at 1.11, compared to the broader market0.005.0010.0015.0020.001.11
Martin ratio
The chart of Martin ratio for HYG, currently valued at 9.39, compared to the broader market0.0050.00100.00150.009.39
SHYG
Sharpe ratio
The chart of Sharpe ratio for SHYG, currently valued at 2.33, compared to the broader market0.002.004.006.002.33
Sortino ratio
The chart of Sortino ratio for SHYG, currently valued at 3.68, compared to the broader market0.005.0010.003.68
Omega ratio
The chart of Omega ratio for SHYG, currently valued at 1.45, compared to the broader market1.002.003.001.45
Calmar ratio
The chart of Calmar ratio for SHYG, currently valued at 4.09, compared to the broader market0.005.0010.0015.0020.004.09
Martin ratio
The chart of Martin ratio for SHYG, currently valued at 14.25, compared to the broader market0.0050.00100.00150.0014.25

HYG vs. SHYG - Sharpe Ratio Comparison

The current HYG Sharpe Ratio is 1.87, which roughly equals the SHYG Sharpe Ratio of 2.33. The chart below compares the 12-month rolling Sharpe Ratio of HYG and SHYG.


Rolling 12-month Sharpe Ratio1.001.502.002.50FebruaryMarchAprilMayJuneJuly
1.84
2.33
HYG
SHYG

Dividends

HYG vs. SHYG - Dividend Comparison

HYG's dividend yield for the trailing twelve months is around 5.85%, less than SHYG's 6.59% yield.


TTM20232022202120202019201820172016201520142013
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
5.85%5.74%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%6.10%
SHYG
iShares 0-5 Year High Yield Corporate Bond ETF
6.59%6.54%5.57%4.83%5.07%5.33%5.90%5.49%5.53%5.17%4.33%0.85%

Drawdowns

HYG vs. SHYG - Drawdown Comparison

The maximum HYG drawdown since its inception was -34.24%, which is greater than SHYG's maximum drawdown of -19.26%. Use the drawdown chart below to compare losses from any high point for HYG and SHYG. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%FebruaryMarchAprilMayJuneJuly0
-0.09%
HYG
SHYG

Volatility

HYG vs. SHYG - Volatility Comparison

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) has a higher volatility of 0.89% compared to iShares 0-5 Year High Yield Corporate Bond ETF (SHYG) at 0.77%. This indicates that HYG's price experiences larger fluctuations and is considered to be riskier than SHYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.60%0.80%1.00%1.20%1.40%1.60%1.80%2.00%FebruaryMarchAprilMayJuneJuly
0.89%
0.77%
HYG
SHYG