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PHB vs. SJNK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PHB and SJNK is 0.81, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

PHB vs. SJNK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Fundamental High Yield® Corporate Bond ETF (PHB) and SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.11%
5.19%
PHB
SJNK

Key characteristics

Sharpe Ratio

PHB:

1.22

SJNK:

2.16

Sortino Ratio

PHB:

1.72

SJNK:

3.11

Omega Ratio

PHB:

1.22

SJNK:

1.40

Calmar Ratio

PHB:

2.35

SJNK:

4.60

Martin Ratio

PHB:

7.54

SJNK:

17.15

Ulcer Index

PHB:

0.69%

SJNK:

0.45%

Daily Std Dev

PHB:

4.25%

SJNK:

3.57%

Max Drawdown

PHB:

-44.79%

SJNK:

-19.74%

Current Drawdown

PHB:

-1.63%

SJNK:

-0.98%

Returns By Period

In the year-to-date period, PHB achieves a 5.30% return, which is significantly lower than SJNK's 7.92% return. Over the past 10 years, PHB has underperformed SJNK with an annualized return of 4.00%, while SJNK has yielded a comparatively higher 4.51% annualized return.


PHB

YTD

5.30%

1M

-0.55%

6M

3.11%

1Y

5.30%

5Y*

3.10%

10Y*

4.00%

SJNK

YTD

7.92%

1M

-0.22%

6M

5.19%

1Y

7.74%

5Y*

4.88%

10Y*

4.51%

Compare stocks, funds, or ETFs

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


PHB vs. SJNK - Expense Ratio Comparison

PHB has a 0.50% expense ratio, which is higher than SJNK's 0.40% expense ratio.


PHB
Invesco Fundamental High Yield® Corporate Bond ETF
Expense ratio chart for PHB: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for SJNK: 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%

Risk-Adjusted Performance

PHB vs. SJNK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Fundamental High Yield® Corporate Bond ETF (PHB) and SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK). 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.


Sharpe ratio
The chart of Sharpe ratio for PHB, currently valued at 1.22, compared to the broader market0.002.004.001.222.16
The chart of Sortino ratio for PHB, currently valued at 1.72, compared to the broader market-2.000.002.004.006.008.0010.001.723.11
The chart of Omega ratio for PHB, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.40
The chart of Calmar ratio for PHB, currently valued at 2.35, compared to the broader market0.005.0010.0015.002.354.60
The chart of Martin ratio for PHB, currently valued at 7.54, compared to the broader market0.0020.0040.0060.0080.00100.007.5417.15
PHB
SJNK

The current PHB Sharpe Ratio is 1.22, which is lower than the SJNK Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of PHB and SJNK, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.22
2.16
PHB
SJNK

Dividends

PHB vs. SJNK - Dividend Comparison

PHB's dividend yield for the trailing twelve months is around 5.69%, less than SJNK's 7.50% yield.


TTM20232022202120202019201820172016201520142013
PHB
Invesco Fundamental High Yield® Corporate Bond ETF
5.69%4.68%3.53%3.38%3.89%4.03%4.45%4.14%4.58%4.70%4.48%4.62%
SJNK
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
7.50%7.20%5.85%4.21%5.34%5.64%5.69%5.64%5.65%5.81%5.46%5.34%

Drawdowns

PHB vs. SJNK - Drawdown Comparison

The maximum PHB drawdown since its inception was -44.79%, which is greater than SJNK's maximum drawdown of -19.74%. Use the drawdown chart below to compare losses from any high point for PHB and SJNK. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.63%
-0.98%
PHB
SJNK

Volatility

PHB vs. SJNK - Volatility Comparison

Invesco Fundamental High Yield® Corporate Bond ETF (PHB) has a higher volatility of 1.75% compared to SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK) at 1.26%. This indicates that PHB's price experiences larger fluctuations and is considered to be riskier than SJNK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.60%0.80%1.00%1.20%1.40%1.60%1.80%JulyAugustSeptemberOctoberNovemberDecember
1.75%
1.26%
PHB
SJNK
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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