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

Correlation

The correlation between UTG and SPHY is 0.30, 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.


-0.50.00.51.00.3

Performance

UTG vs. SPHY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Reaves Utility Income Trust (UTG) and SPDR Portfolio High Yield Bond ETF (SPHY). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
16.53%
4.83%
UTG
SPHY

Key characteristics

Sharpe Ratio

UTG:

1.72

SPHY:

2.05

Sortino Ratio

UTG:

2.24

SPHY:

2.93

Omega Ratio

UTG:

1.30

SPHY:

1.38

Calmar Ratio

UTG:

1.53

SPHY:

3.75

Martin Ratio

UTG:

8.99

SPHY:

15.03

Ulcer Index

UTG:

2.70%

SPHY:

0.57%

Daily Std Dev

UTG:

14.12%

SPHY:

4.18%

Max Drawdown

UTG:

-67.51%

SPHY:

-21.97%

Current Drawdown

UTG:

-11.44%

SPHY:

-1.51%

Returns By Period

In the year-to-date period, UTG achieves a 23.80% return, which is significantly higher than SPHY's 7.88% return. Over the past 10 years, UTG has outperformed SPHY with an annualized return of 8.08%, while SPHY has yielded a comparatively lower 4.50% annualized return.


UTG

YTD

23.80%

1M

-7.19%

6M

17.34%

1Y

23.85%

5Y*

3.96%

10Y*

8.08%

SPHY

YTD

7.88%

1M

-0.48%

6M

4.79%

1Y

8.16%

5Y*

4.26%

10Y*

4.50%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

UTG vs. SPHY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Reaves Utility Income Trust (UTG) 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 UTG, currently valued at 1.72, compared to the broader market-4.00-2.000.002.001.722.05
The chart of Sortino ratio for UTG, currently valued at 2.23, compared to the broader market-4.00-2.000.002.004.002.242.93
The chart of Omega ratio for UTG, currently valued at 1.30, compared to the broader market0.501.001.502.001.301.38
The chart of Calmar ratio for UTG, currently valued at 1.53, compared to the broader market0.002.004.006.001.533.75
The chart of Martin ratio for UTG, currently valued at 8.99, compared to the broader market0.0010.0020.008.9915.03
UTG
SPHY

The current UTG Sharpe Ratio is 1.72, which is comparable to the SPHY Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of UTG 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.72
2.05
UTG
SPHY

Dividends

UTG vs. SPHY - Dividend Comparison

UTG's dividend yield for the trailing twelve months is around 7.40%, more than SPHY's 7.18% yield.


TTM20232022202120202019201820172016201520142013
UTG
Reaves Utility Income Trust
7.40%8.53%8.07%6.35%6.59%5.69%6.86%6.54%9.42%7.29%5.53%6.85%
SPHY
SPDR Portfolio High Yield Bond ETF
7.18%7.30%6.46%5.13%5.63%5.73%4.09%4.41%4.28%4.29%3.98%4.40%

Drawdowns

UTG vs. SPHY - Drawdown Comparison

The maximum UTG drawdown since its inception was -67.51%, which is greater than SPHY's maximum drawdown of -21.97%. Use the drawdown chart below to compare losses from any high point for UTG and SPHY. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.44%
-1.51%
UTG
SPHY

Volatility

UTG vs. SPHY - Volatility Comparison

Reaves Utility Income Trust (UTG) has a higher volatility of 6.47% compared to SPDR Portfolio High Yield Bond ETF (SPHY) at 1.31%. This indicates that UTG's price experiences larger fluctuations and is considered to be riskier than SPHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
6.47%
1.31%
UTG
SPHY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab