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

Correlation

The correlation between HYGV and HYG is 0.93, 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.


-0.50.00.51.00.9

Performance

HYGV vs. HYG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares High Yield Value-Scored US Bond Index Fund (HYGV) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.68%
5.48%
HYGV
HYG

Key characteristics

Sharpe Ratio

HYGV:

1.72

HYG:

1.77

Sortino Ratio

HYGV:

2.48

HYG:

2.54

Omega Ratio

HYGV:

1.32

HYG:

1.32

Calmar Ratio

HYGV:

2.30

HYG:

3.35

Martin Ratio

HYGV:

11.84

HYG:

12.09

Ulcer Index

HYGV:

0.63%

HYG:

0.65%

Daily Std Dev

HYGV:

4.32%

HYG:

4.46%

Max Drawdown

HYGV:

-23.47%

HYG:

-34.24%

Current Drawdown

HYGV:

-1.35%

HYG:

-1.41%

Returns By Period

In the year-to-date period, HYGV achieves a 7.63% return, which is significantly lower than HYG's 8.11% return.


HYGV

YTD

7.63%

1M

-0.41%

6M

4.67%

1Y

7.53%

5Y*

4.09%

10Y*

N/A

HYG

YTD

8.11%

1M

-0.45%

6M

5.48%

1Y

8.00%

5Y*

3.11%

10Y*

4.01%

Compare stocks, funds, or ETFs

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


HYGV vs. HYG - Expense Ratio Comparison

HYGV has a 0.37% expense ratio, which is lower than HYG's 0.49% 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 HYGV: current value at 0.37% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.37%

Risk-Adjusted Performance

HYGV vs. HYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares High Yield Value-Scored US Bond Index Fund (HYGV) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG). 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.


Sharpe ratio
The chart of Sharpe ratio for HYGV, currently valued at 1.72, compared to the broader market0.002.004.001.721.77
The chart of Sortino ratio for HYGV, currently valued at 2.48, compared to the broader market-2.000.002.004.006.008.0010.002.482.54
The chart of Omega ratio for HYGV, currently valued at 1.32, compared to the broader market0.501.001.502.002.503.001.321.32
The chart of Calmar ratio for HYGV, currently valued at 2.30, compared to the broader market0.005.0010.0015.002.303.35
The chart of Martin ratio for HYGV, currently valued at 11.84, compared to the broader market0.0020.0040.0060.0080.00100.0011.8412.09
HYGV
HYG

The current HYGV Sharpe Ratio is 1.72, which is comparable to the HYG Sharpe Ratio of 1.77. The chart below compares the historical Sharpe Ratios of HYGV and HYG, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.72
1.77
HYGV
HYG

Dividends

HYGV vs. HYG - Dividend Comparison

HYGV's dividend yield for the trailing twelve months is around 8.23%, more than HYG's 6.51% yield.


TTM20232022202120202019201820172016201520142013
HYGV
FlexShares High Yield Value-Scored US Bond Index Fund
8.23%8.77%7.64%7.15%6.18%7.95%5.63%0.00%0.00%0.00%0.00%0.00%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
6.51%5.75%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%6.10%

Drawdowns

HYGV vs. HYG - Drawdown Comparison

The maximum HYGV drawdown since its inception was -23.47%, smaller than the maximum HYG drawdown of -34.24%. Use the drawdown chart below to compare losses from any high point for HYGV and HYG. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.35%
-1.41%
HYGV
HYG

Volatility

HYGV vs. HYG - Volatility Comparison

FlexShares High Yield Value-Scored US Bond Index Fund (HYGV) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG) have volatilities of 1.48% and 1.52%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


0.80%1.00%1.20%1.40%1.60%JulyAugustSeptemberOctoberNovemberDecember
1.48%
1.52%
HYGV
HYG
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab