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

Performance

SWSBX vs. SPHY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab Short-Term Bond Index Fund (SWSBX) and SPDR Portfolio High Yield Bond ETF (SPHY). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.01%
6.16%
SWSBX
SPHY

Returns By Period

In the year-to-date period, SWSBX achieves a 3.12% return, which is significantly lower than SPHY's 8.59% return.


SWSBX

YTD

3.12%

1M

-0.60%

6M

3.01%

1Y

5.54%

5Y (annualized)

1.04%

10Y (annualized)

N/A

SPHY

YTD

8.59%

1M

0.28%

6M

6.16%

1Y

13.50%

5Y (annualized)

4.94%

10Y (annualized)

4.63%

Key characteristics


SWSBXSPHY
Sharpe Ratio1.933.11
Sortino Ratio3.054.89
Omega Ratio1.391.62
Calmar Ratio1.163.73
Martin Ratio8.2624.50
Ulcer Index0.68%0.56%
Daily Std Dev2.93%4.41%
Max Drawdown-8.97%-21.97%
Current Drawdown-1.42%-0.38%

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SWSBX vs. SPHY - Expense Ratio Comparison

SWSBX has a 0.06% expense ratio, which is lower than SPHY's 0.10% expense ratio. Despite the difference, 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 SWSBX: 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%

Correlation

-0.50.00.51.00.2

The correlation between SWSBX and SPHY is 0.22, 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

SWSBX vs. SPHY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Short-Term Bond Index Fund (SWSBX) and SPDR Portfolio High Yield Bond ETF (SPHY). 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 SWSBX, currently valued at 1.93, compared to the broader market0.002.004.001.933.11
The chart of Sortino ratio for SWSBX, currently valued at 3.05, compared to the broader market0.005.0010.003.054.89
The chart of Omega ratio for SWSBX, currently valued at 1.39, compared to the broader market1.002.003.004.001.391.62
The chart of Calmar ratio for SWSBX, currently valued at 1.16, compared to the broader market0.005.0010.0015.0020.0025.001.163.73
The chart of Martin ratio for SWSBX, currently valued at 8.26, compared to the broader market0.0020.0040.0060.0080.00100.008.2624.50
SWSBX
SPHY

The current SWSBX Sharpe Ratio is 1.93, which is lower than the SPHY Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of SWSBX and SPHY, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.93
3.11
SWSBX
SPHY

Dividends

SWSBX vs. SPHY - Dividend Comparison

SWSBX's dividend yield for the trailing twelve months is around 3.92%, less than SPHY's 7.77% yield.


TTM20232022202120202019201820172016201520142013
SWSBX
Schwab Short-Term Bond Index Fund
3.92%3.16%1.49%0.90%1.56%2.40%2.12%1.55%0.00%0.00%0.00%0.00%
SPHY
SPDR Portfolio High Yield Bond ETF
7.77%7.30%6.46%5.13%5.63%5.73%4.09%4.41%4.28%4.29%3.98%4.40%

Drawdowns

SWSBX vs. SPHY - Drawdown Comparison

The maximum SWSBX drawdown since its inception was -8.97%, smaller than the maximum SPHY drawdown of -21.97%. Use the drawdown chart below to compare losses from any high point for SWSBX and SPHY. For additional features, visit the drawdowns tool.


-3.00%-2.50%-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.42%
-0.38%
SWSBX
SPHY

Volatility

SWSBX vs. SPHY - Volatility Comparison

The current volatility for Schwab Short-Term Bond Index Fund (SWSBX) is 0.71%, while SPDR Portfolio High Yield Bond ETF (SPHY) has a volatility of 1.03%. This indicates that SWSBX experiences smaller price fluctuations and is considered to be less risky than SPHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.60%0.80%1.00%1.20%1.40%JuneJulyAugustSeptemberOctoberNovember
0.71%
1.03%
SWSBX
SPHY