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

Correlation

The correlation between SHYG and SHY is 0.08, 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.


-0.50.00.51.00.1

Performance

SHYG vs. SHY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares 0-5 Year High Yield Corporate Bond ETF (SHYG) and iShares 1-3 Year Treasury Bond ETF (SHY). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
5.58%
2.72%
SHYG
SHY

Key characteristics

Sharpe Ratio

SHYG:

2.68

SHY:

2.38

Sortino Ratio

SHYG:

4.01

SHY:

3.67

Omega Ratio

SHYG:

1.50

SHY:

1.48

Calmar Ratio

SHYG:

5.12

SHY:

3.93

Martin Ratio

SHYG:

21.18

SHY:

10.42

Ulcer Index

SHYG:

0.42%

SHY:

0.40%

Daily Std Dev

SHYG:

3.32%

SHY:

1.76%

Max Drawdown

SHYG:

-19.26%

SHY:

-5.71%

Current Drawdown

SHYG:

-0.42%

SHY:

-0.45%

Returns By Period

In the year-to-date period, SHYG achieves a 8.42% return, which is significantly higher than SHY's 3.70% return. Over the past 10 years, SHYG has outperformed SHY with an annualized return of 4.55%, while SHY has yielded a comparatively lower 1.24% annualized return.


SHYG

YTD

8.42%

1M

0.56%

6M

5.68%

1Y

8.88%

5Y (annualized)

4.33%

10Y (annualized)

4.55%

SHY

YTD

3.70%

1M

0.41%

6M

2.63%

1Y

4.12%

5Y (annualized)

1.25%

10Y (annualized)

1.24%

Compare stocks, funds, or ETFs

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


SHYG vs. SHY - Expense Ratio Comparison

SHYG has a 0.30% expense ratio, which is higher than SHY's 0.15% expense ratio.


SHYG
iShares 0-5 Year High Yield Corporate Bond ETF
Expense ratio chart for SHYG: 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%
Expense ratio chart for SHY: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

SHYG vs. SHY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares 0-5 Year High Yield Corporate Bond ETF (SHYG) and iShares 1-3 Year Treasury Bond ETF (SHY). 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 SHYG, currently valued at 2.68, compared to the broader market0.002.004.002.682.38
The chart of Sortino ratio for SHYG, currently valued at 4.01, compared to the broader market-2.000.002.004.006.008.0010.004.013.67
The chart of Omega ratio for SHYG, currently valued at 1.50, compared to the broader market0.501.001.502.002.503.001.501.48
The chart of Calmar ratio for SHYG, currently valued at 5.12, compared to the broader market0.005.0010.0015.005.123.93
The chart of Martin ratio for SHYG, currently valued at 21.18, compared to the broader market0.0020.0040.0060.0080.00100.0021.1810.42
SHYG
SHY

The current SHYG Sharpe Ratio is 2.68, which is comparable to the SHY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of SHYG and SHY, 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 Ratio2.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
2.68
2.38
SHYG
SHY

Dividends

SHYG vs. SHY - Dividend Comparison

SHYG's dividend yield for the trailing twelve months is around 6.27%, more than SHY's 3.57% yield.


TTM20232022202120202019201820172016201520142013
SHYG
iShares 0-5 Year High Yield Corporate Bond ETF
6.27%6.54%5.57%4.84%5.07%5.32%5.90%5.49%5.53%5.17%4.33%0.85%
SHY
iShares 1-3 Year Treasury Bond ETF
3.57%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.72%0.54%0.36%0.26%

Drawdowns

SHYG vs. SHY - Drawdown Comparison

The maximum SHYG drawdown since its inception was -19.26%, which is greater than SHY's maximum drawdown of -5.71%. Use the drawdown chart below to compare losses from any high point for SHYG and SHY. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.42%
-0.45%
SHYG
SHY

Volatility

SHYG vs. SHY - Volatility Comparison

iShares 0-5 Year High Yield Corporate Bond ETF (SHYG) has a higher volatility of 0.72% compared to iShares 1-3 Year Treasury Bond ETF (SHY) at 0.36%. This indicates that SHYG's price experiences larger fluctuations and is considered to be riskier than SHY 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%JulyAugustSeptemberOctoberNovemberDecember
0.72%
0.36%
SHYG
SHY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab