BGHSX vs. GHYG
BGHSX (BrandywineGLOBAL - High Yield Fund) and GHYG (iShares US & Intl High Yield Corp Bond ETF) are both High Yield Bonds funds. Over the past 3 years, BGHSX returned 8.00%/yr vs 8.95%/yr for GHYG. A 0.60 correlation means they provide meaningful diversification when combined. BGHSX charges 0.54%/yr vs 0.40%/yr for GHYG.
Performance
BGHSX vs. GHYG - Performance Comparison
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Returns By Period
In the year-to-date period, BGHSX achieves a 0.14% return, which is significantly lower than GHYG's 0.58% return.
BGHSX
- 1D
- -0.20%
- 1M
- 0.33%
- YTD
- 0.14%
- 6M
- 0.52%
- 1Y
- 4.58%
- 3Y*
- 8.00%
- 5Y*
- —
- 10Y*
- —
GHYG
- 1D
- -0.04%
- 1M
- 0.31%
- YTD
- 0.58%
- 6M
- 1.41%
- 1Y
- 6.29%
- 3Y*
- 8.95%
- 5Y*
- 3.27%
- 10Y*
- 4.76%
BGHSX vs. GHYG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
BGHSX BrandywineGLOBAL - High Yield Fund | 0.14% | 5.55% | 9.90% | 13.21% | -10.23% | 1.12% |
GHYG iShares US & Intl High Yield Corp Bond ETF | 0.58% | 11.28% | 5.85% | 13.29% | -12.15% | -0.18% |
Correlation
The correlation between BGHSX and GHYG is 0.61, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.61 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.59 |
Correlation (All Time) Calculated using the full available price history since Aug 5, 2021 | 0.60 |
The correlation between BGHSX and GHYG has been stable across timeframes, ranging from 0.59 to 0.61 - a consistent structural relationship.
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Return for Risk
BGHSX vs. GHYG — Risk / Return Rank
BGHSX
GHYG
BGHSX vs. GHYG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BrandywineGLOBAL - High Yield Fund (BGHSX) and iShares US & Intl High Yield Corp Bond ETF (GHYG). 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.
| BGHSX | GHYG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.14 | ||
| Sortino ratioReturn per unit of downside risk | +0.56 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.24 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 1.76 | 1.64 | +0.12 |
| Martin ratioReturn relative to average drawdown | 7.15 | 6.14 | +1.01 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| BGHSX | GHYG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.49 | 1.35 | +0.14 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.43 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.54 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.84 | 0.55 | +0.29 |
Drawdowns
BGHSX vs. GHYG - Drawdown Comparison
The maximum BGHSX drawdown since its inception was -14.30%, smaller than the maximum GHYG drawdown of -27.36%. Use the drawdown chart below to compare losses from any high point for BGHSX and GHYG.
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Drawdown Indicators
| BGHSX | GHYG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.30% | -27.36% | +13.06% |
Max Drawdown (1Y)Largest decline over 1 year | -2.67% | -3.84% | +1.17% |
Max Drawdown (3Y)Largest decline over 3 years | -4.55% | -4.46% | -0.09% |
Max Drawdown (5Y)Largest decline over 5 years | — | -20.44% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -27.36% | — |
Current DrawdownCurrent decline from peak | -0.20% | -0.78% | +0.58% |
Average DrawdownAverage peak-to-trough decline | -3.24% | -3.35% | +0.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.66% | 1.03% | -0.37% |
Volatility
BGHSX vs. GHYG - Volatility Comparison
The current volatility for BrandywineGLOBAL - High Yield Fund (BGHSX) is 0.88%, while iShares US & Intl High Yield Corp Bond ETF (GHYG) has a volatility of 1.91%. This indicates that BGHSX experiences smaller price fluctuations and is considered to be less risky than GHYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BGHSX | GHYG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.88% | 1.91% | -1.03% |
Volatility (6M)Calculated over the trailing 6-month period | 2.31% | 3.83% | -1.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.17% | 4.69% | -1.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.48% | 7.64% | -3.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.48% | 8.77% | -4.29% |
BGHSX vs. GHYG - Expense Ratio Comparison
BGHSX has a 0.54% expense ratio, which is higher than GHYG's 0.40% expense ratio.
Dividends
BGHSX vs. GHYG - Dividend Comparison
BGHSX's dividend yield for the trailing twelve months is around 6.26%, which matches GHYG's 6.24% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BGHSX BrandywineGLOBAL - High Yield Fund | 6.26% | 7.08% | 7.49% | 5.23% | 5.32% | 4.71% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
GHYG iShares US & Intl High Yield Corp Bond ETF | 6.24% | 6.03% | 6.11% | 5.60% | 4.64% | 4.57% | 4.36% | 4.61% | 5.62% | 4.60% | 4.61% | 4.79% |
Frequently Asked Questions
BGHSX and GHYG have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GHYG has higher volatility (1.91%) compared to BGHSX (0.88%). In terms of maximum drawdown, BGHSX dropped -14.30% vs GHYG's -27.36%.
BGHSX currently has the higher Sharpe Ratio (1.49 vs 1.35), 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.
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