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

Correlation

The correlation between SPHY and HYG is 0.57, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

SPHY vs. HYG - Performance Comparison

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

65.00%70.00%75.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
77.76%
73.17%
SPHY
HYG

Key characteristics

Sharpe Ratio

SPHY:

2.03

HYG:

1.94

Sortino Ratio

SPHY:

2.92

HYG:

2.79

Omega Ratio

SPHY:

1.37

HYG:

1.35

Calmar Ratio

SPHY:

3.74

HYG:

3.69

Martin Ratio

SPHY:

14.64

HYG:

13.41

Ulcer Index

SPHY:

0.58%

HYG:

0.65%

Daily Std Dev

SPHY:

4.21%

HYG:

4.47%

Max Drawdown

SPHY:

-21.97%

HYG:

-34.24%

Current Drawdown

SPHY:

-1.07%

HYG:

-1.14%

Returns By Period

The year-to-date returns for both investments are quite close, with SPHY having a 8.37% return and HYG slightly higher at 8.40%. Over the past 10 years, SPHY has outperformed HYG with an annualized return of 4.57%, while HYG has yielded a comparatively lower 4.04% annualized return.


SPHY

YTD

8.37%

1M

-0.16%

6M

5.22%

1Y

8.23%

5Y*

4.32%

10Y*

4.57%

HYG

YTD

8.40%

1M

-0.17%

6M

5.65%

1Y

8.17%

5Y*

3.19%

10Y*

4.04%

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. HYG - Expense Ratio Comparison

SPHY has a 0.10% expense ratio, which is lower than HYG's 0.49% expense ratio.


HYG
iShares iBoxx $ High Yield Corporate Bond ETF
Expense ratio chart for HYG: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
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

SPHY vs. HYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio High Yield Bond ETF (SPHY) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG). 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 market0.002.004.002.031.94
The chart of Sortino ratio for SPHY, currently valued at 2.92, compared to the broader market-2.000.002.004.006.008.0010.002.922.79
The chart of Omega ratio for SPHY, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.35
The chart of Calmar ratio for SPHY, currently valued at 3.74, compared to the broader market0.005.0010.0015.003.743.69
The chart of Martin ratio for SPHY, currently valued at 14.64, compared to the broader market0.0020.0040.0060.0080.00100.0014.6413.41
SPHY
HYG

The current SPHY Sharpe Ratio is 2.03, which is comparable to the HYG Sharpe Ratio of 1.94. The chart below compares the historical Sharpe Ratios of SPHY and HYG, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.03
1.94
SPHY
HYG

Dividends

SPHY vs. HYG - Dividend Comparison

SPHY's dividend yield for the trailing twelve months is around 7.81%, more than HYG's 6.49% 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%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
6.49%5.75%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%6.10%

Drawdowns

SPHY vs. HYG - Drawdown Comparison

The maximum SPHY drawdown since its inception was -21.97%, smaller than the maximum HYG drawdown of -34.24%. Use the drawdown chart below to compare losses from any high point for SPHY and HYG. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.07%
-1.14%
SPHY
HYG

Volatility

SPHY vs. HYG - Volatility Comparison

SPDR Portfolio High Yield Bond ETF (SPHY) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG) have volatilities of 1.45% and 1.49%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


0.80%1.00%1.20%1.40%JulyAugustSeptemberOctoberNovemberDecember
1.45%
1.49%
SPHY
HYG
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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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