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IBHD vs. GSY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IBHDGSY
YTD Return5.24%5.22%
1Y Return6.91%6.52%
3Y Return (Ann)4.10%3.70%
5Y Return (Ann)4.02%2.70%
Sharpe Ratio4.0210.82
Sortino Ratio6.2327.41
Omega Ratio2.026.21
Calmar Ratio13.1866.65
Martin Ratio76.20340.86
Ulcer Index0.09%0.02%
Daily Std Dev1.69%0.62%
Max Drawdown-20.11%-12.14%
Current Drawdown-0.02%0.00%

Correlation

-0.50.00.51.00.1

The correlation between IBHD and GSY is 0.12, 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.

Performance

IBHD vs. GSY - Performance Comparison

The year-to-date returns for both stocks are quite close, with IBHD having a 5.24% return and GSY slightly lower at 5.22%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%0.50%1.00%1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
2.92%
3.05%
IBHD
GSY

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IBHD vs. GSY - Expense Ratio Comparison

IBHD has a 0.35% expense ratio, which is higher than GSY's 0.22% expense ratio.


IBHD
iShares iBonds 2024 Term High Yield & Income ETF
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%
Expense ratio chart for GSY: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%

Risk-Adjusted Performance

IBHD vs. GSY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares iBonds 2024 Term High Yield & Income ETF (IBHD) and Invesco Ultra Short Duration ETF (GSY). 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.


IBHD
Sharpe ratio
The chart of Sharpe ratio for IBHD, currently valued at 4.02, compared to the broader market-2.000.002.004.004.02
Sortino ratio
The chart of Sortino ratio for IBHD, currently valued at 6.23, compared to the broader market-2.000.002.004.006.008.0010.0012.006.23
Omega ratio
The chart of Omega ratio for IBHD, currently valued at 2.02, compared to the broader market1.001.502.002.503.002.02
Calmar ratio
The chart of Calmar ratio for IBHD, currently valued at 13.18, compared to the broader market0.005.0010.0015.0013.18
Martin ratio
The chart of Martin ratio for IBHD, currently valued at 76.20, compared to the broader market0.0020.0040.0060.0080.00100.00120.0076.20
GSY
Sharpe ratio
The chart of Sharpe ratio for GSY, currently valued at 10.82, compared to the broader market-2.000.002.004.0010.82
Sortino ratio
The chart of Sortino ratio for GSY, currently valued at 27.41, compared to the broader market-2.000.002.004.006.008.0010.0012.0027.41
Omega ratio
The chart of Omega ratio for GSY, currently valued at 6.21, compared to the broader market1.001.502.002.503.006.21
Calmar ratio
The chart of Calmar ratio for GSY, currently valued at 66.65, compared to the broader market0.005.0010.0015.0066.65
Martin ratio
The chart of Martin ratio for GSY, currently valued at 340.86, compared to the broader market0.0020.0040.0060.0080.00100.00120.00340.86

IBHD vs. GSY - Sharpe Ratio Comparison

The current IBHD Sharpe Ratio is 4.02, which is lower than the GSY Sharpe Ratio of 10.82. The chart below compares the historical Sharpe Ratios of IBHD and GSY, 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 Ratio2.004.006.008.0010.0012.00JuneJulyAugustSeptemberOctoberNovember
4.02
10.82
IBHD
GSY

Dividends

IBHD vs. GSY - Dividend Comparison

IBHD's dividend yield for the trailing twelve months is around 6.27%, more than GSY's 5.65% yield.


TTM20232022202120202019201820172016201520142013
IBHD
iShares iBonds 2024 Term High Yield & Income ETF
6.27%6.90%4.91%4.43%5.50%3.59%0.00%0.00%0.00%0.00%0.00%0.00%
GSY
Invesco Ultra Short Duration ETF
5.65%4.95%1.70%0.58%1.60%2.91%2.42%2.02%1.30%1.17%1.29%1.15%

Drawdowns

IBHD vs. GSY - Drawdown Comparison

The maximum IBHD drawdown since its inception was -20.11%, which is greater than GSY's maximum drawdown of -12.14%. Use the drawdown chart below to compare losses from any high point for IBHD and GSY. For additional features, visit the drawdowns tool.


-0.12%-0.10%-0.08%-0.06%-0.04%-0.02%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.02%
0
IBHD
GSY

Volatility

IBHD vs. GSY - Volatility Comparison

iShares iBonds 2024 Term High Yield & Income ETF (IBHD) has a higher volatility of 0.24% compared to Invesco Ultra Short Duration ETF (GSY) at 0.13%. This indicates that IBHD's price experiences larger fluctuations and is considered to be riskier than GSY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.10%0.15%0.20%0.25%0.30%0.35%JuneJulyAugustSeptemberOctoberNovember
0.24%
0.13%
IBHD
GSY