SJB vs. DHY
SJB (ProShares Short High Yield) and DHY (Dimensional High Yield Equity Fund) are both funds - SJB is a Inverse Bonds fund tracking the iBoxx $ Liquid High Yield Index (-100%), while DHY is a Dividend fund managed by Dimensional Fund Advisors. Over the past 10 years, SJB returned -3.84%/yr vs 6.12%/yr for DHY. At a correlation of -0.36, they often move in opposite directions. SJB charges 0.95%/yr vs 0.04%/yr for DHY.
Performance
SJB vs. DHY - Performance Comparison
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Returns By Period
In the year-to-date period, SJB achieves a 0.48% return, which is significantly higher than DHY's -8.85% return. Over the past 10 years, SJB has underperformed DHY with an annualized return of -3.84%, while DHY has yielded a comparatively higher 6.12% annualized return.
SJB
- 1D
- -0.20%
- 1M
- -0.13%
- YTD
- 0.48%
- 6M
- 0.59%
- 1Y
- -0.45%
- 3Y*
- -2.01%
- 5Y*
- -0.58%
- 10Y*
- -3.84%
DHY
- 1D
- -0.57%
- 1M
- -0.57%
- YTD
- -8.85%
- 6M
- -10.39%
- 1Y
- -6.76%
- 3Y*
- 6.33%
- 5Y*
- 1.82%
- 10Y*
- 6.12%
SJB vs. DHY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SJB ProShares Short High Yield | 0.48% | -1.87% | -0.84% | -5.63% | 9.57% | -6.69% | -9.23% | -11.42% | 2.47% | -6.17% |
DHY Dimensional High Yield Equity Fund | -8.85% | 2.19% | 18.18% | 24.13% | -21.75% | 16.99% | 0.10% | 26.18% | -16.10% | 17.06% |
Correlation
The correlation between SJB and DHY is -0.33, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.33 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.28 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.39 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.37 |
Correlation (All Time) Calculated using the full available price history since Mar 23, 2011 | -0.36 |
The correlation between SJB and DHY shifts across timeframes, from -0.39 (5 years) to -0.28 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
SJB vs. DHY — Risk / Return Rank
SJB
DHY
SJB vs. DHY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Short High Yield (SJB) and Dimensional High Yield Equity Fund (DHY). 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.
| SJB | DHY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.44 | ||
| Sortino ratioReturn per unit of downside risk | +0.59 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 0.91 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | -0.17 | -0.53 | +0.36 |
| Martin ratioReturn relative to average drawdown | -0.31 | -1.28 | +0.97 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SJB | DHY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.12 | -0.56 | +0.44 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.08 | 0.12 | -0.20 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.45 | 0.34 | -0.79 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.60 | 0.17 | -0.77 |
Drawdowns
SJB vs. DHY - Drawdown Comparison
The maximum SJB drawdown since its inception was -58.06%, smaller than the maximum DHY drawdown of -71.47%. Use the drawdown chart below to compare losses from any high point for SJB and DHY.
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Drawdown Indicators
| SJB | DHY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -58.06% | -71.47% | +13.41% |
Max Drawdown (1Y)Largest decline over 1 year | -2.74% | -12.80% | +10.06% |
Max Drawdown (3Y)Largest decline over 3 years | -10.54% | -12.80% | +2.26% |
Max Drawdown (5Y)Largest decline over 5 years | -13.30% | -27.23% | +13.93% |
Max Drawdown (10Y)Largest decline over 10 years | -34.57% | -41.36% | +6.79% |
Current DrawdownCurrent decline from peak | -57.51% | -12.03% | -45.48% |
Average DrawdownAverage peak-to-trough decline | -42.48% | -12.36% | -30.12% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.45% | 5.28% | -3.83% |
Volatility
SJB vs. DHY - Volatility Comparison
The current volatility for ProShares Short High Yield (SJB) is 1.22%, while Dimensional High Yield Equity Fund (DHY) has a volatility of 3.43%. This indicates that SJB experiences smaller price fluctuations and is considered to be less risky than DHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SJB | DHY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.22% | 3.43% | -2.21% |
Volatility (6M)Calculated over the trailing 6-month period | 2.95% | 9.99% | -7.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.83% | 12.14% | -8.31% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.51% | 15.37% | -7.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.52% | 17.98% | -9.46% |
SJB vs. DHY - Expense Ratio Comparison
SJB has a 0.95% expense ratio, which is higher than DHY's 0.04% expense ratio.
Dividends
SJB vs. DHY - Dividend Comparison
SJB's dividend yield for the trailing twelve months is around 3.44%, less than DHY's 10.63% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DHY Dimensional High Yield Equity Fund | 10.63% | 9.30% | 8.69% | 9.39% | 10.57% | 7.61% | 8.68% | 9.02% | 11.20% | 9.40% | 10.52% | 12.63% |
SJB ProShares Short High Yield | 3.44% | 3.86% | 5.86% | 4.10% | 0.46% | 0.00% | 0.07% | 1.27% | 0.71% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
SJB and DHY have a correlation of -0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DHY has higher volatility (3.43%) compared to SJB (1.22%). In terms of maximum drawdown, SJB dropped -58.06% vs DHY's -71.47%.
SJB currently has the higher Sharpe Ratio (-0.12 vs -0.56), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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