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

Key characteristics


SLQDSJNK
YTD Return4.59%8.53%
1Y Return7.78%13.69%
3Y Return (Ann)1.83%4.65%
5Y Return (Ann)2.13%5.28%
10Y Return (Ann)2.25%4.36%
Sharpe Ratio3.613.49
Sortino Ratio6.115.55
Omega Ratio1.811.72
Calmar Ratio2.987.82
Martin Ratio26.0531.51
Ulcer Index0.29%0.42%
Daily Std Dev2.10%3.75%
Max Drawdown-12.69%-19.74%
Current Drawdown-0.48%0.00%

Correlation

-0.50.00.51.00.3

The correlation between SLQD and SJNK is 0.28, 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

SLQD vs. SJNK - Performance Comparison

In the year-to-date period, SLQD achieves a 4.59% return, which is significantly lower than SJNK's 8.53% return. Over the past 10 years, SLQD has underperformed SJNK with an annualized return of 2.25%, while SJNK has yielded a comparatively higher 4.36% 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%JuneJulyAugustSeptemberOctoberNovember
3.74%
6.76%
SLQD
SJNK

Compare stocks, funds, or ETFs

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


SLQD vs. SJNK - Expense Ratio Comparison

SLQD has a 0.06% expense ratio, which is lower than SJNK's 0.40% expense ratio.


SJNK
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
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%
Expense ratio chart for SLQD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

SLQD vs. SJNK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares 0-5 Year Investment Grade Corporate Bond ETF (SLQD) 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.


SLQD
Sharpe ratio
The chart of Sharpe ratio for SLQD, currently valued at 3.61, compared to the broader market-2.000.002.004.003.61
Sortino ratio
The chart of Sortino ratio for SLQD, currently valued at 6.11, compared to the broader market0.005.0010.006.11
Omega ratio
The chart of Omega ratio for SLQD, currently valued at 1.81, compared to the broader market1.001.502.002.503.001.81
Calmar ratio
The chart of Calmar ratio for SLQD, currently valued at 2.98, compared to the broader market0.005.0010.0015.002.98
Martin ratio
The chart of Martin ratio for SLQD, currently valued at 26.05, compared to the broader market0.0020.0040.0060.0080.00100.00120.0026.05
SJNK
Sharpe ratio
The chart of Sharpe ratio for SJNK, currently valued at 3.49, compared to the broader market-2.000.002.004.003.49
Sortino ratio
The chart of Sortino ratio for SJNK, currently valued at 5.55, compared to the broader market0.005.0010.005.55
Omega ratio
The chart of Omega ratio for SJNK, currently valued at 1.72, compared to the broader market1.001.502.002.503.001.72
Calmar ratio
The chart of Calmar ratio for SJNK, currently valued at 7.82, compared to the broader market0.005.0010.0015.007.82
Martin ratio
The chart of Martin ratio for SJNK, currently valued at 31.51, compared to the broader market0.0020.0040.0060.0080.00100.00120.0031.51

SLQD vs. SJNK - Sharpe Ratio Comparison

The current SLQD Sharpe Ratio is 3.61, which is comparable to the SJNK Sharpe Ratio of 3.49. The chart below compares the historical Sharpe Ratios of SLQD 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 Ratio2.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.61
3.49
SLQD
SJNK

Dividends

SLQD vs. SJNK - Dividend Comparison

SLQD's dividend yield for the trailing twelve months is around 3.59%, less than SJNK's 7.26% yield.


TTM20232022202120202019201820172016201520142013
SLQD
iShares 0-5 Year Investment Grade Corporate Bond ETF
3.59%2.99%2.00%1.67%2.34%2.89%2.56%1.98%1.81%1.43%1.24%0.23%
SJNK
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
7.26%7.20%5.85%4.21%5.34%5.64%5.69%5.64%5.65%5.81%5.46%5.34%

Drawdowns

SLQD vs. SJNK - Drawdown Comparison

The maximum SLQD drawdown since its inception was -12.69%, smaller than the maximum SJNK drawdown of -19.74%. Use the drawdown chart below to compare losses from any high point for SLQD and SJNK. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.48%
0
SLQD
SJNK

Volatility

SLQD vs. SJNK - Volatility Comparison

The current volatility for iShares 0-5 Year Investment Grade Corporate Bond ETF (SLQD) is 0.53%, while SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK) has a volatility of 0.77%. This indicates that SLQD experiences smaller price fluctuations and is considered to be less risky than SJNK 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%1.40%JuneJulyAugustSeptemberOctoberNovember
0.53%
0.77%
SLQD
SJNK