PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
KHYB vs. SGOV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


KHYBSGOV
YTD Return12.48%4.62%
1Y Return17.97%5.39%
3Y Return (Ann)2.63%3.78%
Sharpe Ratio4.8922.10
Ulcer Index0.31%0.00%
Daily Std Dev3.62%0.25%
Max Drawdown-33.01%-0.03%
Current Drawdown-9.33%0.00%

Correlation

-0.50.00.51.00.1

The correlation between KHYB and SGOV is 0.06, 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

KHYB vs. SGOV - Performance Comparison

In the year-to-date period, KHYB achieves a 12.48% return, which is significantly higher than SGOV's 4.62% 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%JuneJulyAugustSeptemberOctoberNovember
7.22%
2.61%
KHYB
SGOV

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


KHYB vs. SGOV - Expense Ratio Comparison

KHYB has a 0.69% expense ratio, which is higher than SGOV's 0.03% expense ratio.


KHYB
KraneShares Asia Pacific High Income Bond ETF
Expense ratio chart for KHYB: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
Expense ratio chart for SGOV: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

KHYB vs. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for KraneShares Asia Pacific High Income Bond ETF (KHYB) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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.


KHYB
Sharpe ratio
The chart of Sharpe ratio for KHYB, currently valued at 4.89, compared to the broader market-2.000.002.004.006.004.89
Sortino ratio
The chart of Sortino ratio for KHYB, currently valued at 7.61, compared to the broader market-2.000.002.004.006.008.0010.0012.007.61
Omega ratio
The chart of Omega ratio for KHYB, currently valued at 2.25, compared to the broader market1.001.502.002.503.002.25
Calmar ratio
The chart of Calmar ratio for KHYB, currently valued at 0.76, compared to the broader market0.005.0010.0015.000.76
Martin ratio
The chart of Martin ratio for KHYB, currently valued at 56.31, compared to the broader market0.0020.0040.0060.0080.00100.00120.0056.31
SGOV
Sharpe ratio
The chart of Sharpe ratio for SGOV, currently valued at 22.10, compared to the broader market-2.000.002.004.006.0022.10
Sortino ratio
No data

KHYB vs. SGOV - Sharpe Ratio Comparison

The current KHYB Sharpe Ratio is 4.89, which is lower than the SGOV Sharpe Ratio of 22.10. The chart below compares the historical Sharpe Ratios of KHYB and SGOV, 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 Ratio0.005.0010.0015.0020.00JuneJulyAugustSeptemberOctoberNovember
4.89
22.10
KHYB
SGOV

Dividends

KHYB vs. SGOV - Dividend Comparison

KHYB's dividend yield for the trailing twelve months is around 15.36%, more than SGOV's 5.24% yield.


TTM202320222021202020192018
KHYB
KraneShares Asia Pacific High Income Bond ETF
15.36%15.56%9.67%6.22%6.87%4.93%2.56%
SGOV
iShares 0-3 Month Treasury Bond ETF
5.24%4.87%1.45%0.03%0.04%0.00%0.00%

Drawdowns

KHYB vs. SGOV - Drawdown Comparison

The maximum KHYB drawdown since its inception was -33.01%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for KHYB and SGOV. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.33%
0
KHYB
SGOV

Volatility

KHYB vs. SGOV - Volatility Comparison

KraneShares Asia Pacific High Income Bond ETF (KHYB) has a higher volatility of 0.56% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that KHYB's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
0.56%
0.08%
KHYB
SGOV