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HYGV vs. HYUP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


HYGVHYUP
YTD Return8.52%11.01%
1Y Return15.17%19.09%
3Y Return (Ann)2.47%3.38%
5Y Return (Ann)4.76%4.75%
Sharpe Ratio3.103.61
Sortino Ratio4.835.59
Omega Ratio1.631.73
Calmar Ratio1.782.35
Martin Ratio24.1627.25
Ulcer Index0.59%0.67%
Daily Std Dev4.58%5.07%
Max Drawdown-23.47%-24.79%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between HYGV and HYUP 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.

Performance

HYGV vs. HYUP - Performance Comparison

In the year-to-date period, HYGV achieves a 8.52% return, which is significantly lower than HYUP's 11.01% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


24.00%26.00%28.00%30.00%32.00%34.00%36.00%JuneJulyAugustSeptemberOctoberNovember
36.51%
36.69%
HYGV
HYUP

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HYGV vs. HYUP - Expense Ratio Comparison

HYGV has a 0.37% expense ratio, which is higher than HYUP's 0.20% expense ratio.


HYGV
FlexShares High Yield Value-Scored US Bond Index Fund
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%
Expense ratio chart for HYUP: 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

HYGV vs. HYUP - 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 Xtrackers High Beta High Yield Bond ETF (HYUP). 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.


HYGV
Sharpe ratio
The chart of Sharpe ratio for HYGV, currently valued at 3.10, compared to the broader market-2.000.002.004.003.10
Sortino ratio
The chart of Sortino ratio for HYGV, currently valued at 4.83, compared to the broader market0.005.0010.004.83
Omega ratio
The chart of Omega ratio for HYGV, currently valued at 1.63, compared to the broader market1.001.502.002.503.001.63
Calmar ratio
The chart of Calmar ratio for HYGV, currently valued at 1.78, compared to the broader market0.005.0010.0015.001.78
Martin ratio
The chart of Martin ratio for HYGV, currently valued at 24.16, compared to the broader market0.0020.0040.0060.0080.00100.00120.0024.16
HYUP
Sharpe ratio
The chart of Sharpe ratio for HYUP, currently valued at 3.61, compared to the broader market-2.000.002.004.003.61
Sortino ratio
The chart of Sortino ratio for HYUP, currently valued at 5.59, compared to the broader market0.005.0010.005.59
Omega ratio
The chart of Omega ratio for HYUP, currently valued at 1.73, compared to the broader market1.001.502.002.503.001.73
Calmar ratio
The chart of Calmar ratio for HYUP, currently valued at 2.35, compared to the broader market0.005.0010.0015.002.35
Martin ratio
The chart of Martin ratio for HYUP, currently valued at 27.25, compared to the broader market0.0020.0040.0060.0080.00100.00120.0027.25

HYGV vs. HYUP - Sharpe Ratio Comparison

The current HYGV Sharpe Ratio is 3.10, which is comparable to the HYUP Sharpe Ratio of 3.61. The chart below compares the historical Sharpe Ratios of HYGV and HYUP, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.10
3.61
HYGV
HYUP

Dividends

HYGV vs. HYUP - Dividend Comparison

HYGV's dividend yield for the trailing twelve months is around 8.23%, more than HYUP's 7.56% yield.


TTM202320222021202020192018
HYGV
FlexShares High Yield Value-Scored US Bond Index Fund
8.23%8.77%7.64%7.15%6.18%7.95%5.63%
HYUP
Xtrackers High Beta High Yield Bond ETF
7.56%7.48%7.15%6.19%6.89%6.78%6.97%

Drawdowns

HYGV vs. HYUP - Drawdown Comparison

The maximum HYGV drawdown since its inception was -23.47%, smaller than the maximum HYUP drawdown of -24.79%. Use the drawdown chart below to compare losses from any high point for HYGV and HYUP. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember00
HYGV
HYUP

Volatility

HYGV vs. HYUP - Volatility Comparison

FlexShares High Yield Value-Scored US Bond Index Fund (HYGV) has a higher volatility of 1.03% compared to Xtrackers High Beta High Yield Bond ETF (HYUP) at 0.98%. This indicates that HYGV's price experiences larger fluctuations and is considered to be riskier than HYUP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.80%1.00%1.20%1.40%1.60%1.80%JuneJulyAugustSeptemberOctoberNovember
1.03%
0.98%
HYGV
HYUP