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

Key characteristics


HYLBHYUP
YTD Return7.44%9.52%
1Y Return16.17%19.73%
3Y Return (Ann)2.74%3.27%
5Y Return (Ann)3.65%4.48%
Sharpe Ratio3.333.72
Sortino Ratio5.505.97
Omega Ratio1.691.78
Calmar Ratio2.112.10
Martin Ratio28.0829.40
Ulcer Index0.59%0.68%
Daily Std Dev4.97%5.36%
Max Drawdown-22.91%-24.79%
Current Drawdown-0.79%-0.59%

Correlation

-0.50.00.51.00.9

The correlation between HYLB and HYUP is 0.90, 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

HYLB vs. HYUP - Performance Comparison

In the year-to-date period, HYLB achieves a 7.44% return, which is significantly lower than HYUP's 9.52% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctober
6.18%
8.13%
HYLB
HYUP

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HYLB vs. HYUP - Expense Ratio Comparison

HYLB has a 0.15% expense ratio, which is lower than HYUP's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


HYUP
Xtrackers High Beta High Yield Bond ETF
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%
Expense ratio chart for HYLB: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

HYLB vs. HYUP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers USD High Yield Corporate Bond ETF (HYLB) 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.


HYLB
Sharpe ratio
The chart of Sharpe ratio for HYLB, currently valued at 3.33, compared to the broader market-2.000.002.004.006.003.33
Sortino ratio
The chart of Sortino ratio for HYLB, currently valued at 5.50, compared to the broader market0.005.0010.005.50
Omega ratio
The chart of Omega ratio for HYLB, currently valued at 1.69, compared to the broader market1.001.502.002.503.003.501.69
Calmar ratio
The chart of Calmar ratio for HYLB, currently valued at 2.11, compared to the broader market0.005.0010.0015.002.11
Martin ratio
The chart of Martin ratio for HYLB, currently valued at 28.08, compared to the broader market0.0020.0040.0060.0080.00100.00120.0028.08
HYUP
Sharpe ratio
The chart of Sharpe ratio for HYUP, currently valued at 3.72, compared to the broader market-2.000.002.004.006.003.72
Sortino ratio
The chart of Sortino ratio for HYUP, currently valued at 5.97, compared to the broader market0.005.0010.005.97
Omega ratio
The chart of Omega ratio for HYUP, currently valued at 1.78, compared to the broader market1.001.502.002.503.003.501.78
Calmar ratio
The chart of Calmar ratio for HYUP, currently valued at 2.10, compared to the broader market0.005.0010.0015.002.10
Martin ratio
The chart of Martin ratio for HYUP, currently valued at 29.40, compared to the broader market0.0020.0040.0060.0080.00100.00120.0029.40

HYLB vs. HYUP - Sharpe Ratio Comparison

The current HYLB Sharpe Ratio is 3.33, which is comparable to the HYUP Sharpe Ratio of 3.72. The chart below compares the historical Sharpe Ratios of HYLB 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctober
3.33
3.72
HYLB
HYUP

Dividends

HYLB vs. HYUP - Dividend Comparison

HYLB's dividend yield for the trailing twelve months is around 6.03%, less than HYUP's 7.59% yield.


TTM20232022202120202019201820172016
HYLB
Xtrackers USD High Yield Corporate Bond ETF
5.53%5.84%5.53%4.45%5.23%5.71%5.95%5.85%0.27%
HYUP
Xtrackers High Beta High Yield Bond ETF
6.97%7.48%7.15%6.19%6.89%6.78%6.98%0.00%0.00%

Drawdowns

HYLB vs. HYUP - Drawdown Comparison

The maximum HYLB drawdown since its inception was -22.91%, smaller than the maximum HYUP drawdown of -24.79%. Use the drawdown chart below to compare losses from any high point for HYLB and HYUP. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctober
-0.79%
-0.59%
HYLB
HYUP

Volatility

HYLB vs. HYUP - Volatility Comparison

Xtrackers USD High Yield Corporate Bond ETF (HYLB) has a higher volatility of 0.99% compared to Xtrackers High Beta High Yield Bond ETF (HYUP) at 0.86%. This indicates that HYLB'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%JuneJulyAugustSeptemberOctober
0.99%
0.86%
HYLB
HYUP