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SPHY vs. BND
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPHY and BND is 0.23, 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.


-0.50.00.51.00.2

Performance

SPHY vs. BND - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio High Yield Bond ETF (SPHY) and Vanguard Total Bond Market ETF (BND). The values are adjusted to include any dividend payments, if applicable.

20.00%30.00%40.00%50.00%60.00%70.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
77.76%
19.98%
SPHY
BND

Key characteristics

Sharpe Ratio

SPHY:

2.03

BND:

0.31

Sortino Ratio

SPHY:

2.92

BND:

0.46

Omega Ratio

SPHY:

1.37

BND:

1.05

Calmar Ratio

SPHY:

3.74

BND:

0.12

Martin Ratio

SPHY:

14.64

BND:

0.87

Ulcer Index

SPHY:

0.58%

BND:

1.91%

Daily Std Dev

SPHY:

4.21%

BND:

5.43%

Max Drawdown

SPHY:

-21.97%

BND:

-18.84%

Current Drawdown

SPHY:

-1.07%

BND:

-9.27%

Returns By Period

In the year-to-date period, SPHY achieves a 8.37% return, which is significantly higher than BND's 1.48% return. Over the past 10 years, SPHY has outperformed BND with an annualized return of 4.57%, while BND has yielded a comparatively lower 1.36% annualized return.


SPHY

YTD

8.37%

1M

-0.16%

6M

5.22%

1Y

8.23%

5Y*

4.32%

10Y*

4.57%

BND

YTD

1.48%

1M

-0.24%

6M

1.41%

1Y

1.67%

5Y*

-0.34%

10Y*

1.36%

Compare stocks, funds, or ETFs

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


SPHY vs. BND - Expense Ratio Comparison

SPHY has a 0.10% expense ratio, which is higher than BND'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%.


SPHY
SPDR Portfolio High Yield Bond ETF
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%
Expense ratio chart for BND: 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

SPHY vs. BND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio High Yield Bond ETF (SPHY) and Vanguard Total Bond Market ETF (BND). 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 SPHY, currently valued at 2.03, compared to the broader market0.002.004.002.030.31
The chart of Sortino ratio for SPHY, currently valued at 2.92, compared to the broader market-2.000.002.004.006.008.0010.002.920.46
The chart of Omega ratio for SPHY, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.05
The chart of Calmar ratio for SPHY, currently valued at 3.74, compared to the broader market0.005.0010.0015.003.740.12
The chart of Martin ratio for SPHY, currently valued at 14.64, compared to the broader market0.0020.0040.0060.0080.00100.0014.640.87
SPHY
BND

The current SPHY Sharpe Ratio is 2.03, which is higher than the BND Sharpe Ratio of 0.31. The chart below compares the historical Sharpe Ratios of SPHY and BND, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.03
0.31
SPHY
BND

Dividends

SPHY vs. BND - Dividend Comparison

SPHY's dividend yield for the trailing twelve months is around 7.81%, more than BND's 3.62% yield.


TTM20232022202120202019201820172016201520142013
SPHY
SPDR Portfolio High Yield Bond ETF
7.81%7.30%6.46%5.13%5.63%5.73%4.09%4.41%4.28%4.29%3.98%4.40%
BND
Vanguard Total Bond Market ETF
3.33%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

SPHY vs. BND - Drawdown Comparison

The maximum SPHY drawdown since its inception was -21.97%, which is greater than BND's maximum drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for SPHY and BND. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.07%
-9.27%
SPHY
BND

Volatility

SPHY vs. BND - Volatility Comparison

The current volatility for SPDR Portfolio High Yield Bond ETF (SPHY) is 1.45%, while Vanguard Total Bond Market ETF (BND) has a volatility of 1.65%. This indicates that SPHY experiences smaller price fluctuations and is considered to be less risky than BND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.80%1.00%1.20%1.40%1.60%1.80%JulyAugustSeptemberOctoberNovemberDecember
1.45%
1.65%
SPHY
BND
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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.

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