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JNK vs. SPSB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JNKSPSB
YTD Return7.60%4.53%
1Y Return13.02%6.85%
3Y Return (Ann)2.33%2.21%
5Y Return (Ann)3.45%2.13%
10Y Return (Ann)3.67%2.13%
Sharpe Ratio2.713.64
Sortino Ratio4.146.09
Omega Ratio1.521.82
Calmar Ratio2.039.49
Martin Ratio20.6528.88
Ulcer Index0.61%0.23%
Daily Std Dev4.68%1.82%
Max Drawdown-38.48%-11.75%
Current Drawdown-0.68%-0.60%

Correlation

-0.50.00.51.00.2

The correlation between JNK and SPSB is 0.22, 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

JNK vs. SPSB - Performance Comparison

In the year-to-date period, JNK achieves a 7.60% return, which is significantly higher than SPSB's 4.53% return. Over the past 10 years, JNK has outperformed SPSB with an annualized return of 3.67%, while SPSB has yielded a comparatively lower 2.13% annualized 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%JuneJulyAugustSeptemberOctoberNovember
5.48%
3.30%
JNK
SPSB

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JNK vs. SPSB - Expense Ratio Comparison

JNK has a 0.40% expense ratio, which is higher than SPSB's 0.07% expense ratio.


JNK
SPDR Barclays High Yield Bond ETF
Expense ratio chart for JNK: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for SPSB: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

JNK vs. SPSB - 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 Short Term Corporate Bond ETF (SPSB). 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.


JNK
Sharpe ratio
The chart of Sharpe ratio for JNK, currently valued at 2.71, compared to the broader market0.002.004.006.002.71
Sortino ratio
The chart of Sortino ratio for JNK, currently valued at 4.14, compared to the broader market-2.000.002.004.006.008.0010.0012.004.14
Omega ratio
The chart of Omega ratio for JNK, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for JNK, currently valued at 2.03, compared to the broader market0.005.0010.0015.002.03
Martin ratio
The chart of Martin ratio for JNK, currently valued at 20.65, compared to the broader market0.0020.0040.0060.0080.00100.0020.65
SPSB
Sharpe ratio
The chart of Sharpe ratio for SPSB, currently valued at 3.64, compared to the broader market0.002.004.006.003.64
Sortino ratio
The chart of Sortino ratio for SPSB, currently valued at 6.09, compared to the broader market-2.000.002.004.006.008.0010.0012.006.09
Omega ratio
The chart of Omega ratio for SPSB, currently valued at 1.82, compared to the broader market1.001.502.002.503.001.82
Calmar ratio
The chart of Calmar ratio for SPSB, currently valued at 9.49, compared to the broader market0.005.0010.0015.009.49
Martin ratio
The chart of Martin ratio for SPSB, currently valued at 28.88, compared to the broader market0.0020.0040.0060.0080.00100.0028.88

JNK vs. SPSB - Sharpe Ratio Comparison

The current JNK Sharpe Ratio is 2.71, which is comparable to the SPSB Sharpe Ratio of 3.64. The chart below compares the historical Sharpe Ratios of JNK and SPSB, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
2.71
3.64
JNK
SPSB

Dividends

JNK vs. SPSB - Dividend Comparison

JNK's dividend yield for the trailing twelve months is around 6.56%, more than SPSB's 4.85% yield.


TTM20232022202120202019201820172016201520142013
JNK
SPDR Barclays High Yield Bond ETF
6.56%6.38%6.06%4.26%5.11%5.44%5.90%5.60%6.06%6.60%5.99%6.05%
SPSB
SPDR Portfolio Short Term Corporate Bond ETF
4.85%4.05%1.92%1.20%1.94%2.77%2.36%1.94%1.65%1.44%1.26%1.41%

Drawdowns

JNK vs. SPSB - Drawdown Comparison

The maximum JNK drawdown since its inception was -38.48%, which is greater than SPSB's maximum drawdown of -11.75%. Use the drawdown chart below to compare losses from any high point for JNK and SPSB. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.68%
-0.60%
JNK
SPSB

Volatility

JNK vs. SPSB - Volatility Comparison

SPDR Barclays High Yield Bond ETF (JNK) has a higher volatility of 1.22% compared to SPDR Portfolio Short Term Corporate Bond ETF (SPSB) at 0.38%. This indicates that JNK's price experiences larger fluctuations and is considered to be riskier than SPSB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.60%0.80%1.00%1.20%1.40%1.60%JuneJulyAugustSeptemberOctoberNovember
1.22%
0.38%
JNK
SPSB