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

Correlation

The correlation between HYS and IBHD is 0.70, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

HYS vs. IBHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PIMCO 0-5 Year High Yield Corporate Bond Index ETF (HYS) and iShares iBonds 2024 Term High Yield & Income ETF (IBHD). The values are adjusted to include any dividend payments, if applicable.

22.00%24.00%26.00%28.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
29.06%
27.04%
HYS
IBHD

Key characteristics

Sharpe Ratio

HYS:

2.29

IBHD:

4.06

Sortino Ratio

HYS:

3.35

IBHD:

6.19

Omega Ratio

HYS:

1.43

IBHD:

2.09

Calmar Ratio

HYS:

5.02

IBHD:

11.85

Martin Ratio

HYS:

20.87

IBHD:

76.11

Ulcer Index

HYS:

0.47%

IBHD:

0.08%

Daily Std Dev

HYS:

4.27%

IBHD:

1.50%

Max Drawdown

HYS:

-20.91%

IBHD:

-20.11%

Current Drawdown

HYS:

-0.90%

IBHD:

0.00%

Returns By Period

In the year-to-date period, HYS achieves a 8.23% return, which is significantly higher than IBHD's 5.75% return.


HYS

YTD

8.23%

1M

0.09%

6M

5.19%

1Y

9.40%

5Y*

4.59%

10Y*

4.66%

IBHD

YTD

5.75%

1M

0.30%

6M

2.92%

1Y

5.93%

5Y*

3.84%

10Y*

N/A

Compare stocks, funds, or ETFs

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


HYS vs. IBHD - Expense Ratio Comparison

HYS has a 0.56% expense ratio, which is higher than IBHD's 0.35% expense ratio.


HYS
PIMCO 0-5 Year High Yield Corporate Bond Index ETF
Expense ratio chart for HYS: current value at 0.56% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.56%
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%

Risk-Adjusted Performance

HYS vs. IBHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO 0-5 Year High Yield Corporate Bond Index ETF (HYS) 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.


Sharpe ratio
The chart of Sharpe ratio for HYS, currently valued at 2.29, compared to the broader market0.002.004.002.293.92
The chart of Sortino ratio for HYS, currently valued at 3.35, compared to the broader market-2.000.002.004.006.008.0010.003.355.88
The chart of Omega ratio for HYS, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.432.03
The chart of Calmar ratio for HYS, currently valued at 5.02, compared to the broader market0.005.0010.0015.005.0211.23
The chart of Martin ratio for HYS, currently valued at 20.87, compared to the broader market0.0020.0040.0060.0080.00100.0020.8772.83
HYS
IBHD

The current HYS Sharpe Ratio is 2.29, which is lower than the IBHD Sharpe Ratio of 4.06. The chart below compares the historical Sharpe Ratios of HYS 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 Ratio2.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
2.29
3.92
HYS
IBHD

Dividends

HYS vs. IBHD - Dividend Comparison

HYS's dividend yield for the trailing twelve months is around 8.50%, more than IBHD's 5.53% yield.


TTM20232022202120202019201820172016201520142013
HYS
PIMCO 0-5 Year High Yield Corporate Bond Index ETF
8.50%7.58%5.01%3.74%4.52%4.98%4.97%5.00%5.13%5.22%5.42%4.59%
IBHD
iShares iBonds 2024 Term High Yield & Income ETF
5.53%6.90%4.90%4.43%5.49%3.59%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

HYS vs. IBHD - Drawdown Comparison

The maximum HYS drawdown since its inception was -20.91%, roughly equal to the maximum IBHD drawdown of -20.11%. Use the drawdown chart below to compare losses from any high point for HYS and IBHD. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.90%
0
HYS
IBHD

Volatility

HYS vs. IBHD - Volatility Comparison

PIMCO 0-5 Year High Yield Corporate Bond Index ETF (HYS) has a higher volatility of 1.47% compared to iShares iBonds 2024 Term High Yield & Income ETF (IBHD) at 0.19%. This indicates that HYS'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%1.40%JulyAugustSeptemberOctoberNovemberDecember
1.47%
0.19%
HYS
IBHD
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