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SHYL vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SHYLVOO
YTD Return7.60%23.27%
1Y Return14.69%40.74%
3Y Return (Ann)4.57%9.79%
5Y Return (Ann)4.59%15.52%
Sharpe Ratio3.703.45
Sortino Ratio6.164.57
Omega Ratio1.791.65
Calmar Ratio8.314.15
Martin Ratio33.6022.76
Ulcer Index0.44%1.83%
Daily Std Dev4.02%12.05%
Max Drawdown-19.26%-33.99%
Current Drawdown-0.34%-0.78%

Correlation

-0.50.00.51.00.7

The correlation between SHYL and VOO is 0.72, 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.

Performance

SHYL vs. VOO - Performance Comparison

In the year-to-date period, SHYL achieves a 7.60% return, which is significantly lower than VOO's 23.27% 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%5.00%10.00%15.00%JuneJulyAugustSeptemberOctober
6.62%
16.69%
SHYL
VOO

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SHYL vs. VOO - Expense Ratio Comparison

SHYL has a 0.20% expense ratio, which is higher than VOO's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SHYL
Xtrackers Short Duration High Yield Bond ETF
Expense ratio chart for SHYL: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for VOO: 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

SHYL vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers Short Duration High Yield Bond ETF (SHYL) and Vanguard S&P 500 ETF (VOO). 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.


SHYL
Sharpe ratio
The chart of Sharpe ratio for SHYL, currently valued at 3.70, compared to the broader market-2.000.002.004.006.003.70
Sortino ratio
The chart of Sortino ratio for SHYL, currently valued at 6.16, compared to the broader market0.005.0010.006.16
Omega ratio
The chart of Omega ratio for SHYL, currently valued at 1.79, compared to the broader market1.001.502.002.503.003.501.79
Calmar ratio
The chart of Calmar ratio for SHYL, currently valued at 8.31, compared to the broader market0.005.0010.0015.008.31
Martin ratio
The chart of Martin ratio for SHYL, currently valued at 33.60, compared to the broader market0.0020.0040.0060.0080.00100.00120.0033.60
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.45, compared to the broader market-2.000.002.004.006.003.45
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.57, compared to the broader market0.005.0010.004.57
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.65, compared to the broader market1.001.502.002.503.003.501.65
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.15, compared to the broader market0.005.0010.0015.004.15
Martin ratio
The chart of Martin ratio for VOO, currently valued at 22.76, compared to the broader market0.0020.0040.0060.0080.00100.00120.0022.76

SHYL vs. VOO - Sharpe Ratio Comparison

The current SHYL Sharpe Ratio is 3.70, which is comparable to the VOO Sharpe Ratio of 3.45. The chart below compares the historical Sharpe Ratios of SHYL and VOO, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctober
3.70
3.45
SHYL
VOO

Dividends

SHYL vs. VOO - Dividend Comparison

SHYL's dividend yield for the trailing twelve months is around 7.16%, more than VOO's 1.27% yield.


TTM20232022202120202019201820172016201520142013
SHYL
Xtrackers Short Duration High Yield Bond ETF
6.58%6.60%5.52%4.65%6.16%5.93%5.54%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.27%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

SHYL vs. VOO - Drawdown Comparison

The maximum SHYL drawdown since its inception was -19.26%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for SHYL and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctober
-0.34%
-0.78%
SHYL
VOO

Volatility

SHYL vs. VOO - Volatility Comparison

The current volatility for Xtrackers Short Duration High Yield Bond ETF (SHYL) is 0.68%, while Vanguard S&P 500 ETF (VOO) has a volatility of 2.50%. This indicates that SHYL experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctober
0.68%
2.50%
SHYL
VOO