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THYF vs. SJNK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between THYF and SJNK is 0.63, 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.


Performance

THYF vs. SJNK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price U.S. High Yield ETF (THYF) and SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

THYF:

1.16

SJNK:

1.45

Sortino Ratio

THYF:

1.69

SJNK:

2.12

Omega Ratio

THYF:

1.28

SJNK:

1.33

Calmar Ratio

THYF:

1.28

SJNK:

1.64

Martin Ratio

THYF:

5.99

SJNK:

8.80

Ulcer Index

THYF:

1.09%

SJNK:

0.89%

Daily Std Dev

THYF:

5.46%

SJNK:

5.40%

Max Drawdown

THYF:

-5.24%

SJNK:

-19.74%

Current Drawdown

THYF:

-0.92%

SJNK:

-0.71%

Returns By Period

In the year-to-date period, THYF achieves a 0.99% return, which is significantly lower than SJNK's 1.58% return.


THYF

YTD

0.99%

1M

2.85%

6M

1.33%

1Y

6.27%

3Y*

N/A

5Y*

N/A

10Y*

N/A

SJNK

YTD

1.58%

1M

2.34%

6M

1.72%

1Y

7.78%

3Y*

7.53%

5Y*

6.67%

10Y*

4.41%

*Annualized

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THYF vs. SJNK - Expense Ratio Comparison

THYF has a 0.56% expense ratio, which is higher than SJNK's 0.40% expense ratio.


Risk-Adjusted Performance

THYF vs. SJNK — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

THYF
The Risk-Adjusted Performance Rank of THYF is 8787
Overall Rank
The Sharpe Ratio Rank of THYF is 8686
Sharpe Ratio Rank
The Sortino Ratio Rank of THYF is 8686
Sortino Ratio Rank
The Omega Ratio Rank of THYF is 9090
Omega Ratio Rank
The Calmar Ratio Rank of THYF is 8787
Calmar Ratio Rank
The Martin Ratio Rank of THYF is 8787
Martin Ratio Rank

SJNK
The Risk-Adjusted Performance Rank of SJNK is 9191
Overall Rank
The Sharpe Ratio Rank of SJNK is 9090
Sharpe Ratio Rank
The Sortino Ratio Rank of SJNK is 9191
Sortino Ratio Rank
The Omega Ratio Rank of SJNK is 9292
Omega Ratio Rank
The Calmar Ratio Rank of SJNK is 9191
Calmar Ratio Rank
The Martin Ratio Rank of SJNK is 9292
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

THYF vs. SJNK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price U.S. High Yield ETF (THYF) 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.


The current THYF Sharpe Ratio is 1.16, which is comparable to the SJNK Sharpe Ratio of 1.45. The chart below compares the historical Sharpe Ratios of THYF 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.


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Dividends

THYF vs. SJNK - Dividend Comparison

THYF's dividend yield for the trailing twelve months is around 7.26%, less than SJNK's 7.48% yield.


TTM20242023202220212020201920182017201620152014
THYF
T. Rowe Price U.S. High Yield ETF
7.26%7.30%8.02%1.50%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SJNK
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
7.48%7.47%7.20%5.85%4.21%5.34%5.64%5.69%5.64%5.65%5.81%5.46%

Drawdowns

THYF vs. SJNK - Drawdown Comparison

The maximum THYF drawdown since its inception was -5.24%, smaller than the maximum SJNK drawdown of -19.74%. Use the drawdown chart below to compare losses from any high point for THYF and SJNK. For additional features, visit the drawdowns tool.


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Volatility

THYF vs. SJNK - Volatility Comparison

The current volatility for T. Rowe Price U.S. High Yield ETF (THYF) is 1.45%, while SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK) has a volatility of 1.72%. This indicates that THYF experiences smaller price fluctuations and is considered to be less risky than SJNK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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