STPZ vs. HYG
Compare and contrast key facts about PIMCO 1-5 Year US TIPS Index ETF (STPZ) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG).
STPZ and HYG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. STPZ is a passively managed fund by PIMCO that tracks the performance of the ICE BofA US Inflation-Linked Treasury (1-5 Y). It was launched on Aug 20, 2009. HYG is a passively managed fund by iShares that tracks the performance of the iBoxx $ Liquid High Yield Index. It was launched on Apr 11, 2007. Both STPZ and HYG are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: STPZ or HYG.
Key characteristics
| STPZ | HYG | |
|---|---|---|
| YTD Return | 4.19% | 8.90% |
| 1Y Return | 6.39% | 14.88% |
| 3Y Return (Ann) | 1.25% | 2.95% |
| 5Y Return (Ann) | 3.10% | 3.68% |
| 10Y Return (Ann) | 2.11% | 4.01% |
| Sharpe Ratio | 2.60 | 3.25 |
| Sortino Ratio | 4.29 | 5.16 |
| Omega Ratio | 1.55 | 1.65 |
| Calmar Ratio | 1.76 | 2.48 |
| Martin Ratio | 17.68 | 25.18 |
| Ulcer Index | 0.36% | 0.61% |
| Daily Std Dev | 2.44% | 4.74% |
| Max Drawdown | -6.76% | -34.24% |
| Current Drawdown | -0.89% | -0.11% |
Correlation
The correlation between STPZ and HYG is 0.17, 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
STPZ vs. HYG - Performance Comparison
In the year-to-date period, STPZ achieves a 4.19% return, which is significantly lower than HYG's 8.90% return. Over the past 10 years, STPZ has underperformed HYG with an annualized return of 2.11%, while HYG has yielded a comparatively higher 4.01% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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STPZ vs. HYG - Expense Ratio Comparison
STPZ has a 0.20% expense ratio, which is lower than HYG's 0.49% expense ratio.
Risk-Adjusted Performance
STPZ vs. HYG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for PIMCO 1-5 Year US TIPS Index ETF (STPZ) 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.
Dividends
STPZ vs. HYG - Dividend Comparison
STPZ's dividend yield for the trailing twelve months is around 1.83%, less than HYG's 6.34% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
STPZ PIMCO 1-5 Year US TIPS Index ETF | 1.83% | 1.63% | 5.88% | 3.65% | 1.86% | 1.76% | 2.39% | 1.51% | 0.65% | 0.49% | 0.86% | 0.09% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 6.34% | 5.75% | 5.30% | 4.02% | 4.88% | 4.99% | 5.54% | 5.12% | 5.27% | 5.90% | 5.69% | 6.10% |
Drawdowns
STPZ vs. HYG - Drawdown Comparison
The maximum STPZ drawdown since its inception was -6.76%, smaller than the maximum HYG drawdown of -34.24%. Use the drawdown chart below to compare losses from any high point for STPZ and HYG. For additional features, visit the drawdowns tool.
Volatility
STPZ vs. HYG - Volatility Comparison
The current volatility for PIMCO 1-5 Year US TIPS Index ETF (STPZ) is 0.55%, while iShares iBoxx $ High Yield Corporate Bond ETF (HYG) has a volatility of 1.04%. This indicates that STPZ experiences smaller price fluctuations and is considered to be less risky than HYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.