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

Key characteristics


NUHYIBHD
YTD Return7.38%5.24%
1Y Return14.16%6.79%
3Y Return (Ann)1.94%4.11%
5Y Return (Ann)2.81%4.04%
Sharpe Ratio2.784.16
Sortino Ratio4.546.52
Omega Ratio1.562.07
Calmar Ratio1.7513.81
Martin Ratio21.2279.28
Ulcer Index0.66%0.09%
Daily Std Dev5.01%1.71%
Max Drawdown-20.14%-20.11%
Current Drawdown-0.48%-0.02%

Correlation

-0.50.00.51.00.6

The correlation between NUHY and IBHD is 0.59, 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

NUHY vs. IBHD - Performance Comparison

In the year-to-date period, NUHY achieves a 7.38% return, which is significantly higher than IBHD's 5.24% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-1.00%0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.48%
2.97%
NUHY
IBHD

Compare stocks, funds, or ETFs

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


NUHY vs. IBHD - Expense Ratio Comparison

NUHY has a 0.30% expense ratio, which is lower than IBHD's 0.35% 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 NUHY: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Risk-Adjusted Performance

NUHY vs. IBHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Nuveen ESG High Yield Corporate Bond ETF (NUHY) and iShares iBonds 2024 Term High Yield & Income ETF (IBHD). 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.


NUHY
Sharpe ratio
The chart of Sharpe ratio for NUHY, currently valued at 2.78, compared to the broader market-2.000.002.004.002.78
Sortino ratio
The chart of Sortino ratio for NUHY, currently valued at 4.54, compared to the broader market0.005.0010.004.54
Omega ratio
The chart of Omega ratio for NUHY, currently valued at 1.56, compared to the broader market1.001.502.002.503.001.56
Calmar ratio
The chart of Calmar ratio for NUHY, currently valued at 1.75, compared to the broader market0.005.0010.0015.001.75
Martin ratio
The chart of Martin ratio for NUHY, currently valued at 21.22, compared to the broader market0.0020.0040.0060.0080.00100.0021.22
IBHD
Sharpe ratio
The chart of Sharpe ratio for IBHD, currently valued at 4.16, compared to the broader market-2.000.002.004.004.16
Sortino ratio
The chart of Sortino ratio for IBHD, currently valued at 6.52, compared to the broader market0.005.0010.006.52
Omega ratio
The chart of Omega ratio for IBHD, currently valued at 2.07, compared to the broader market1.001.502.002.503.002.07
Calmar ratio
The chart of Calmar ratio for IBHD, currently valued at 13.81, compared to the broader market0.005.0010.0015.0013.81
Martin ratio
The chart of Martin ratio for IBHD, currently valued at 79.28, compared to the broader market0.0020.0040.0060.0080.00100.0079.28

NUHY vs. IBHD - Sharpe Ratio Comparison

The current NUHY Sharpe Ratio is 2.78, which is lower than the IBHD Sharpe Ratio of 4.16. The chart below compares the historical Sharpe Ratios of NUHY and IBHD, 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 Ratio1.001.502.002.503.003.504.004.50JuneJulyAugustSeptemberOctoberNovember
2.78
4.16
NUHY
IBHD

Dividends

NUHY vs. IBHD - Dividend Comparison

NUHY's dividend yield for the trailing twelve months is around 6.65%, more than IBHD's 6.27% yield.


TTM20232022202120202019
NUHY
Nuveen ESG High Yield Corporate Bond ETF
6.65%6.65%6.36%4.88%5.11%1.37%
IBHD
iShares iBonds 2024 Term High Yield & Income ETF
6.27%6.90%4.91%4.43%5.50%3.59%

Drawdowns

NUHY vs. IBHD - Drawdown Comparison

The maximum NUHY drawdown since its inception was -20.14%, roughly equal to the maximum IBHD drawdown of -20.11%. Use the drawdown chart below to compare losses from any high point for NUHY and IBHD. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.48%
-0.02%
NUHY
IBHD

Volatility

NUHY vs. IBHD - Volatility Comparison

Nuveen ESG High Yield Corporate Bond ETF (NUHY) has a higher volatility of 1.22% compared to iShares iBonds 2024 Term High Yield & Income ETF (IBHD) at 0.24%. This indicates that NUHY's price experiences larger fluctuations and is considered to be riskier than IBHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%JuneJulyAugustSeptemberOctoberNovember
1.22%
0.24%
NUHY
IBHD