JNK vs. SPHY
Compare and contrast key facts about SPDR Barclays High Yield Bond ETF (JNK) and SPDR Portfolio High Yield Bond ETF (SPHY).
JNK and SPHY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. JNK is a passively managed fund by State Street that tracks the performance of the Barclays Capital High Yield Very Liquid Index. It was launched on Nov 28, 2007. SPHY is a passively managed fund by State Street that tracks the performance of the ICE BofAML US High Yield Index. It was launched on Jun 18, 2012. Both JNK and SPHY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JNK or SPHY.
Key characteristics
| JNK | SPHY | |
|---|---|---|
| YTD Return | 7.55% | 8.31% |
| 1Y Return | 12.80% | 13.56% |
| 3Y Return (Ann) | 2.30% | 3.29% |
| 5Y Return (Ann) | 3.43% | 4.76% |
| 10Y Return (Ann) | 3.69% | 4.53% |
| Sharpe Ratio | 2.78 | 3.09 |
| Sortino Ratio | 4.26 | 4.86 |
| Omega Ratio | 1.54 | 1.62 |
| Calmar Ratio | 2.12 | 3.43 |
| Martin Ratio | 21.06 | 24.42 |
| Ulcer Index | 0.62% | 0.56% |
| Daily Std Dev | 4.66% | 4.40% |
| Max Drawdown | -38.48% | -21.97% |
| Current Drawdown | -0.73% | -0.63% |
Correlation
The correlation between JNK and SPHY is 0.57, 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
JNK vs. SPHY - Performance Comparison
In the year-to-date period, JNK achieves a 7.55% return, which is significantly lower than SPHY's 8.31% return. Over the past 10 years, JNK has underperformed SPHY with an annualized return of 3.69%, while SPHY has yielded a comparatively higher 4.53% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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JNK vs. SPHY - Expense Ratio Comparison
JNK has a 0.40% expense ratio, which is higher than SPHY's 0.10% expense ratio.
Risk-Adjusted Performance
JNK vs. SPHY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Barclays High Yield Bond ETF (JNK) and SPDR Portfolio High Yield Bond ETF (SPHY). 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.
Dividends
JNK vs. SPHY - Dividend Comparison
JNK's dividend yield for the trailing twelve months is around 6.57%, less than SPHY's 7.79% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JNK SPDR Barclays High Yield Bond ETF | 6.57% | 6.38% | 6.06% | 4.26% | 5.11% | 5.44% | 5.90% | 5.60% | 6.06% | 6.60% | 5.99% | 6.05% |
SPHY SPDR Portfolio High Yield Bond ETF | 7.79% | 7.30% | 6.46% | 5.13% | 5.63% | 5.73% | 4.09% | 4.41% | 4.28% | 4.29% | 3.98% | 4.40% |
Drawdowns
JNK vs. SPHY - Drawdown Comparison
The maximum JNK drawdown since its inception was -38.48%, which is greater than SPHY's maximum drawdown of -21.97%. Use the drawdown chart below to compare losses from any high point for JNK and SPHY. For additional features, visit the drawdowns tool.
Volatility
JNK vs. SPHY - Volatility Comparison
SPDR Barclays High Yield Bond ETF (JNK) has a higher volatility of 1.20% compared to SPDR Portfolio High Yield Bond ETF (SPHY) at 1.09%. This indicates that JNK's price experiences larger fluctuations and is considered to be riskier than SPHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.