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

Performance

SUSC vs. SJNK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware USD Corporate Bond ETF (SUSC) and SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.51%
6.08%
SUSC
SJNK

Returns By Period

In the year-to-date period, SUSC achieves a 2.32% return, which is significantly lower than SJNK's 8.15% return.


SUSC

YTD

2.32%

1M

-0.38%

6M

3.51%

1Y

7.63%

5Y (annualized)

0.29%

10Y (annualized)

N/A

SJNK

YTD

8.15%

1M

0.93%

6M

6.08%

1Y

11.59%

5Y (annualized)

5.29%

10Y (annualized)

4.39%

Key characteristics


SUSCSJNK
Sharpe Ratio1.263.18
Sortino Ratio1.845.00
Omega Ratio1.221.65
Calmar Ratio0.506.93
Martin Ratio4.5327.32
Ulcer Index1.69%0.42%
Daily Std Dev6.08%3.65%
Max Drawdown-22.41%-19.74%
Current Drawdown-8.37%-0.35%

Compare stocks, funds, or ETFs

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


SUSC vs. SJNK - Expense Ratio Comparison

SUSC has a 0.18% 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 SUSC: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Correlation

-0.50.00.51.00.4

The correlation between SUSC and SJNK is 0.38, 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.

Risk-Adjusted Performance

SUSC vs. SJNK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware USD Corporate Bond ETF (SUSC) 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.


Sharpe ratio
The chart of Sharpe ratio for SUSC, currently valued at 1.26, compared to the broader market0.002.004.001.263.18
The chart of Sortino ratio for SUSC, currently valued at 1.84, compared to the broader market-2.000.002.004.006.008.0010.0012.001.845.00
The chart of Omega ratio for SUSC, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.65
The chart of Calmar ratio for SUSC, currently valued at 0.50, compared to the broader market0.005.0010.0015.000.506.93
The chart of Martin ratio for SUSC, currently valued at 4.53, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.5327.32
SUSC
SJNK

The current SUSC Sharpe Ratio is 1.26, which is lower than the SJNK Sharpe Ratio of 3.18. The chart below compares the historical Sharpe Ratios of SUSC 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
1.26
3.18
SUSC
SJNK

Dividends

SUSC vs. SJNK - Dividend Comparison

SUSC's dividend yield for the trailing twelve months is around 4.25%, less than SJNK's 7.29% yield.


TTM20232022202120202019201820172016201520142013
SUSC
iShares ESG Aware USD Corporate Bond ETF
4.25%3.83%2.97%2.21%2.20%3.08%3.88%1.70%0.00%0.00%0.00%0.00%
SJNK
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
7.29%7.20%5.85%4.21%5.34%5.64%5.69%5.64%5.65%5.81%5.46%5.34%

Drawdowns

SUSC vs. SJNK - Drawdown Comparison

The maximum SUSC drawdown since its inception was -22.41%, which is greater than SJNK's maximum drawdown of -19.74%. Use the drawdown chart below to compare losses from any high point for SUSC and SJNK. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.37%
-0.35%
SUSC
SJNK

Volatility

SUSC vs. SJNK - Volatility Comparison

iShares ESG Aware USD Corporate Bond ETF (SUSC) has a higher volatility of 1.77% compared to SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK) at 0.81%. This indicates that SUSC's price experiences larger fluctuations and is considered to be riskier than SJNK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.77%
0.81%
SUSC
SJNK