THYF vs. XHYE

Last updated Jun 4, 2026

THYF (T. Rowe Price U.S. High Yield ETF) and XHYE (BondBloxx US High Yield Energy Sector ETF) are both High Yield Bonds funds. THYF is actively managed, while XHYE is passively managed. Over the past 3 years, THYF returned 8.57%/yr vs 8.50%/yr for XHYE. A 0.70 correlation means they provide meaningful diversification when combined. THYF charges 0.56%/yr vs 0.35%/yr for XHYE.

Performance

THYF vs. XHYE - 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 BondBloxx US High Yield Energy Sector ETF (XHYE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, THYF achieves a 1.50% return, which is significantly lower than XHYE's 3.57% return.

THYF

• 1D: -0.35%
• 1M: 0.61%
• YTD: 1.50%
• 6M: 1.90%
• 1Y: 7.02%
• 3Y*: 8.57%
• 5Y*: —
• 10Y*: —

XHYE

• 1D: 0.00%
• 1M: -0.13%
• YTD: 3.57%
• 6M: 3.93%
• 1Y: 9.25%
• 3Y*: 8.50%
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

THYF vs. XHYE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
THYF T. Rowe Price U.S. High Yield ETF	1.50%	7.77%	8.51%	11.32%	1.53%
XHYE BondBloxx US High Yield Energy Sector ETF	3.57%	6.73%	7.46%	11.49%	1.49%

Correlation

The correlation between THYF and XHYE is 0.49, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.49
Correlation (3Y) Calculated over the trailing 3-year period	0.62
Correlation (All Time) Calculated using the full available price history since Oct 27, 2022	0.70

Over the past year, the correlation between THYF and XHYE has dropped to 0.49 - well below their long-term average of 0.70, suggesting their price drivers have been diverging.

THYF vs. XHYE - Sectors Allocation Comparison

Sectors	THYF	XHYE
Financial Services	34.0%	-
Basic Materials	18.3%	-
Healthcare	9.8%	-
Consumer Cyclical	8.1%	-
Real Estate	6.8%	-
Industrials	6.1%	-
Energy	4.3%	49.2%
Consumer Defensive	3.9%	-
Technology	3.7%	0.3%
Communication Services	3.7%	-
Utilities	1.4%	-

Return for Risk

THYF vs. XHYE — Risk / Return Rank

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

THYF

THYF Risk / Return Rank: 61
THYF Sharpe Ratio Rank: 59
THYF Sortino Ratio Rank: 66
THYF Omega Ratio Rank: 64
THYF Calmar Ratio Rank: 51
THYF Martin Ratio Rank: 63

XHYE

XHYE Risk / Return Rank: 94
XHYE Sharpe Ratio Rank: 91
XHYE Sortino Ratio Rank: 95
XHYE Omega Ratio Rank: 94
XHYE Calmar Ratio Rank: 95
XHYE Martin Ratio Rank: 94

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

THYF vs. XHYE - Risk-Adjusted Trends Comparison

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

	THYF	XHYE	Difference
Sharpe ratio: Return per unit of total volatility	2.01	3.18	-1.17
Sortino ratio: Return per unit of downside risk	3.08	5.13	-2.05
Omega ratio: Gain probability vs. loss probability	1.39	1.69	-0.29
Calmar ratio: Return relative to maximum drawdown	2.51	8.50	-5.98
Martin ratio: Return relative to average drawdown	11.49	26.98	-15.48
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

THYF vs. XHYE - Sharpe Ratio Comparison

The current THYF Sharpe Ratio is 2.01, which is lower than the XHYE Sharpe Ratio of 3.18. The chart below compares the historical Sharpe Ratios of THYF and XHYE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	THYF	XHYE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.01	3.18	-1.17
Sharpe Ratio (All Time) Calculated using the full available price history	1.47	0.84	+0.63

Drawdowns

THYF vs. XHYE - Drawdown Comparison

The maximum THYF drawdown since its inception was -5.24%, smaller than the maximum XHYE drawdown of -8.87%. Use the drawdown chart below to compare losses from any high point for THYF and XHYE.

Drawdown Indicators

	THYF	XHYE	Difference
Max Drawdown Largest peak-to-trough decline	-5.24%	-8.87%	+3.63%
Max Drawdown (1Y) Largest decline over 1 year	-2.80%	-1.21%	-1.59%
Max Drawdown (3Y) Largest decline over 3 years	-5.07%	-6.40%	+1.33%
Current Drawdown Current decline from peak	-0.35%	-0.36%	+0.01%
Average Drawdown Average peak-to-trough decline	-0.82%	-1.42%	+0.60%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.61%	0.38%	+0.23%

Volatility

THYF vs. XHYE - Volatility Comparison

T. Rowe Price U.S. High Yield ETF (THYF) has a higher volatility of 1.12% compared to BondBloxx US High Yield Energy Sector ETF (XHYE) at 0.56%. This indicates that THYF's price experiences larger fluctuations and is considered to be riskier than XHYE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	THYF	XHYE	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.12%	0.56%	+0.56%
Volatility (6M) Calculated over the trailing 6-month period	2.72%	1.98%	+0.74%
Volatility (1Y) Calculated over the trailing 1-year period	3.52%	3.24%	+0.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.82%	7.60%	-1.78%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.82%	7.60%	-1.78%

THYF vs. XHYE - Expense Ratio Comparison

THYF has a 0.56% expense ratio, which is higher than XHYE's 0.35% expense ratio.

Dividends

THYF vs. XHYE - Dividend Comparison

THYF's dividend yield for the trailing twelve months is around 7.02%, more than XHYE's 5.79% yield.

Position	TTM	2025	2024	2023	2022
THYF T. Rowe Price U.S. High Yield ETF	7.02%	7.17%	7.30%	8.02%	1.50%
XHYE BondBloxx US High Yield Energy Sector ETF	5.79%	6.55%	7.04%	6.46%	5.46%

Frequently Asked Questions

Can I hold both THYF and XHYE in my portfolio?

THYF and XHYE have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, THYF or XHYE?

THYF has higher volatility (1.12%) compared to XHYE (0.56%). In terms of maximum drawdown, THYF dropped -5.24% vs XHYE's -8.87%.

Which ETF is better, THYF or XHYE?

On 3-year performance, THYF leads with 8.57% vs 8.50% for XHYE. On fees, XHYE is cheaper at 0.35% per year. On volatility, XHYE has been the lower-risk option at 0.56%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, THYF or XHYE?

Over the 3-year period, THYF has performed better with a 8.57% return vs 8.50%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, THYF or XHYE?

XHYE is cheaper with a 0.35% expense ratio, compared with 0.56% for THYF.

Which ETF pays a higher dividend yield, THYF or XHYE?

THYF has the higher dividend yield at 7.02%, compared with 5.79% for XHYE.

What is the main difference between THYF and XHYE?

They also come from different issuers: T. Rowe Price and BondBloxx. Their fees differ too: 0.56% for THYF and 0.35% for XHYE.

Which has better risk-adjusted returns?

XHYE currently has the higher Sharpe Ratio (3.18 vs 2.01), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.