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SHYU.L vs. SPHY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SHYU.LSPHY
YTD Return4.29%7.92%
1Y Return7.50%17.08%
3Y Return (Ann)4.38%3.22%
5Y Return (Ann)3.52%4.78%
10Y Return (Ann)6.02%4.45%
Sharpe Ratio1.003.54
Sortino Ratio1.505.85
Omega Ratio1.211.75
Calmar Ratio1.242.38
Martin Ratio3.0231.10
Ulcer Index2.31%0.55%
Daily Std Dev6.99%4.83%
Max Drawdown-15.01%-21.97%
Current Drawdown-1.30%-0.58%

Correlation

-0.50.00.51.00.4

The correlation between SHYU.L and SPHY is 0.36, 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

SHYU.L vs. SPHY - Performance Comparison

In the year-to-date period, SHYU.L achieves a 4.29% return, which is significantly lower than SPHY's 7.92% return. Over the past 10 years, SHYU.L has outperformed SPHY with an annualized return of 6.02%, while SPHY has yielded a comparatively lower 4.45% annualized 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%JuneJulyAugustSeptemberOctober
6.35%
6.79%
SHYU.L
SPHY

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SHYU.L vs. SPHY - Expense Ratio Comparison

SHYU.L has a 0.50% expense ratio, which is higher than SPHY's 0.10% expense ratio.


SHYU.L
iShares $ High Yield Corp Bond UCITS ETF
Expense ratio chart for SHYU.L: 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 SPHY: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

SHYU.L vs. SPHY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares $ High Yield Corp Bond UCITS ETF (SHYU.L) and SPDR Portfolio High Yield Bond ETF (SPHY). 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.


SHYU.L
Sharpe ratio
The chart of Sharpe ratio for SHYU.L, currently valued at 1.84, compared to the broader market-2.000.002.004.006.001.84
Sortino ratio
The chart of Sortino ratio for SHYU.L, currently valued at 2.91, compared to the broader market0.005.0010.002.91
Omega ratio
The chart of Omega ratio for SHYU.L, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for SHYU.L, currently valued at 2.45, compared to the broader market0.005.0010.0015.002.45
Martin ratio
The chart of Martin ratio for SHYU.L, currently valued at 9.52, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.52
SPHY
Sharpe ratio
The chart of Sharpe ratio for SPHY, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Sortino ratio
The chart of Sortino ratio for SPHY, currently valued at 4.87, compared to the broader market0.005.0010.004.87
Omega ratio
The chart of Omega ratio for SPHY, currently valued at 1.63, compared to the broader market1.001.502.002.503.001.63
Calmar ratio
The chart of Calmar ratio for SPHY, currently valued at 2.73, compared to the broader market0.005.0010.0015.002.73
Martin ratio
The chart of Martin ratio for SPHY, currently valued at 25.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.0025.37

SHYU.L vs. SPHY - Sharpe Ratio Comparison

The current SHYU.L Sharpe Ratio is 1.00, which is lower than the SPHY Sharpe Ratio of 3.54. The chart below compares the historical Sharpe Ratios of SHYU.L and SPHY, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctober
1.84
3.06
SHYU.L
SPHY

Dividends

SHYU.L vs. SPHY - Dividend Comparison

SHYU.L's dividend yield for the trailing twelve months is around 6.11%, less than SPHY's 7.74% yield.


TTM20232022202120202019201820172016201520142013
SHYU.L
iShares $ High Yield Corp Bond UCITS ETF
6.11%5.76%4.82%4.27%5.16%5.58%5.52%5.74%5.16%5.87%5.56%6.09%
SPHY
SPDR Portfolio High Yield Bond ETF
7.74%7.30%6.47%5.14%5.63%5.73%4.09%4.41%4.27%4.29%3.98%4.41%

Drawdowns

SHYU.L vs. SPHY - Drawdown Comparison

The maximum SHYU.L drawdown since its inception was -15.01%, smaller than the maximum SPHY drawdown of -21.97%. Use the drawdown chart below to compare losses from any high point for SHYU.L and SPHY. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctober
-0.86%
-0.58%
SHYU.L
SPHY

Volatility

SHYU.L vs. SPHY - Volatility Comparison

iShares $ High Yield Corp Bond UCITS ETF (SHYU.L) has a higher volatility of 1.10% compared to SPDR Portfolio High Yield Bond ETF (SPHY) at 0.93%. This indicates that SHYU.L's price experiences larger fluctuations and is considered to be riskier than SPHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctober
1.10%
0.93%
SHYU.L
SPHY