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

Key characteristics


IBHDHYGH
YTD Return5.24%10.40%
1Y Return6.91%13.16%
3Y Return (Ann)4.10%7.43%
5Y Return (Ann)4.02%5.95%
Sharpe Ratio4.022.99
Sortino Ratio6.234.15
Omega Ratio2.021.67
Calmar Ratio13.183.70
Martin Ratio76.2029.69
Ulcer Index0.09%0.47%
Daily Std Dev1.69%4.62%
Max Drawdown-20.11%-23.88%
Current Drawdown-0.02%-0.29%

Correlation

-0.50.00.51.00.7

The correlation between IBHD and HYGH is 0.69, 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.

Performance

IBHD vs. HYGH - Performance Comparison

In the year-to-date period, IBHD achieves a 5.24% return, which is significantly lower than HYGH's 10.40% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.92%
5.48%
IBHD
HYGH

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IBHD vs. HYGH - Expense Ratio Comparison

IBHD has a 0.35% expense ratio, which is lower than HYGH's 0.53% expense ratio.


HYGH
iShares Interest Rate Hedged High Yield Bond ETF
Expense ratio chart for HYGH: current value at 0.53% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.53%
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

IBHD vs. HYGH - 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 iShares Interest Rate Hedged High Yield Bond ETF (HYGH). 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
HYGH
Sharpe ratio
The chart of Sharpe ratio for HYGH, currently valued at 2.99, compared to the broader market-2.000.002.004.002.99
Sortino ratio
The chart of Sortino ratio for HYGH, currently valued at 4.15, compared to the broader market-2.000.002.004.006.008.0010.0012.004.15
Omega ratio
The chart of Omega ratio for HYGH, currently valued at 1.67, compared to the broader market1.001.502.002.503.001.67
Calmar ratio
The chart of Calmar ratio for HYGH, currently valued at 3.70, compared to the broader market0.005.0010.0015.003.70
Martin ratio
The chart of Martin ratio for HYGH, currently valued at 29.69, compared to the broader market0.0020.0040.0060.0080.00100.00120.0029.69

IBHD vs. HYGH - Sharpe Ratio Comparison

The current IBHD Sharpe Ratio is 4.02, which is higher than the HYGH Sharpe Ratio of 2.99. The chart below compares the historical Sharpe Ratios of IBHD and HYGH, 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 Ratio2.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
4.02
2.99
IBHD
HYGH

Dividends

IBHD vs. HYGH - Dividend Comparison

IBHD's dividend yield for the trailing twelve months is around 6.27%, less than HYGH's 8.18% yield.


TTM2023202220212020201920182017201620152014
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%
HYGH
iShares Interest Rate Hedged High Yield Bond ETF
8.18%8.95%6.21%3.74%4.06%4.89%6.45%4.79%4.59%5.74%3.62%

Drawdowns

IBHD vs. HYGH - Drawdown Comparison

The maximum IBHD drawdown since its inception was -20.11%, smaller than the maximum HYGH drawdown of -23.88%. Use the drawdown chart below to compare losses from any high point for IBHD and HYGH. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.02%
-0.29%
IBHD
HYGH

Volatility

IBHD vs. HYGH - Volatility Comparison

The current volatility for iShares iBonds 2024 Term High Yield & Income ETF (IBHD) is 0.24%, while iShares Interest Rate Hedged High Yield Bond ETF (HYGH) has a volatility of 1.03%. This indicates that IBHD experiences smaller price fluctuations and is considered to be less risky than HYGH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%2.50%3.00%JuneJulyAugustSeptemberOctoberNovember
0.24%
1.03%
IBHD
HYGH