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

Performance

HYSA vs. HYG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Bondbloxx USD High Yield Bond Sector Rotation ETF (HYSA) 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%8.00%JuneJulyAugustSeptemberOctoberNovember
6.46%
6.76%
HYSA
HYG

Returns By Period

In the year-to-date period, HYSA achieves a 7.58% return, which is significantly lower than HYG's 8.60% return. Over the past 10 years, HYSA has underperformed HYG with an annualized return of 1.99%, while HYG has yielded a comparatively higher 3.93% annualized return.


HYSA

YTD

7.58%

1M

1.09%

6M

6.46%

1Y

12.13%

5Y (annualized)

1.81%

10Y (annualized)

1.99%

HYG

YTD

8.60%

1M

0.96%

6M

6.75%

1Y

13.01%

5Y (annualized)

3.63%

10Y (annualized)

3.93%

Key characteristics


HYSAHYG
Sharpe Ratio2.182.80
Sortino Ratio3.554.37
Omega Ratio1.391.55
Calmar Ratio2.792.63
Martin Ratio15.9920.97
Ulcer Index0.76%0.62%
Daily Std Dev5.57%4.65%
Max Drawdown-19.57%-34.24%
Current Drawdown-0.18%-0.39%

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HYSA vs. HYG - Expense Ratio Comparison

HYSA has a 0.55% expense ratio, which is higher than HYG's 0.49% expense ratio.


HYSA
Bondbloxx USD High Yield Bond Sector Rotation ETF
Expense ratio chart for HYSA: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
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%

Correlation

-0.50.00.51.00.4

The correlation between HYSA and HYG is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

HYSA vs. HYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Bondbloxx USD High Yield Bond Sector Rotation ETF (HYSA) 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 HYSA, currently valued at 2.18, compared to the broader market0.002.004.006.002.182.80
The chart of Sortino ratio for HYSA, currently valued at 3.55, compared to the broader market-2.000.002.004.006.008.0010.0012.003.554.37
The chart of Omega ratio for HYSA, currently valued at 1.39, compared to the broader market0.501.001.502.002.503.001.391.55
The chart of Calmar ratio for HYSA, currently valued at 2.79, compared to the broader market0.005.0010.0015.0020.002.792.63
The chart of Martin ratio for HYSA, currently valued at 15.99, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.9920.97
HYSA
HYG

The current HYSA Sharpe Ratio is 2.18, which is comparable to the HYG Sharpe Ratio of 2.80. The chart below compares the historical Sharpe Ratios of HYSA 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.18
2.80
HYSA
HYG

Dividends

HYSA vs. HYG - Dividend Comparison

HYSA's dividend yield for the trailing twelve months is around 7.10%, more than HYG's 5.88% yield.


TTM20232022202120202019201820172016201520142013
HYSA
Bondbloxx USD High Yield Bond Sector Rotation ETF
7.10%8.00%3.30%2.83%1.39%4.72%5.03%4.75%4.36%4.36%4.41%5.30%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
5.88%5.75%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%6.10%

Drawdowns

HYSA vs. HYG - Drawdown Comparison

The maximum HYSA drawdown since its inception was -19.57%, smaller than the maximum HYG drawdown of -34.24%. Use the drawdown chart below to compare losses from any high point for HYSA and HYG. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.18%
-0.39%
HYSA
HYG

Volatility

HYSA vs. HYG - Volatility Comparison

Bondbloxx USD High Yield Bond Sector Rotation ETF (HYSA) has a higher volatility of 1.57% compared to iShares iBoxx $ High Yield Corporate Bond ETF (HYG) at 0.94%. This indicates that HYSA's price experiences larger fluctuations and is considered to be riskier than HYG 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%JuneJulyAugustSeptemberOctoberNovember
1.57%
0.94%
HYSA
HYG