DHY vs. HYG

Last updated Jun 4, 2026

DHY (Dimensional High Yield Equity Fund) and HYG (iShares iBoxx $ High Yield Corporate Bond ETF) are both funds - DHY is a Dividend fund managed by Dimensional Fund Advisors, while HYG is a High Yield Bonds fund tracking the iBoxx $ Liquid High Yield Index. Over the past 10 years, DHY returned 6.31%/yr vs 4.94%/yr for HYG. At a 0.35 correlation, their price movements are largely independent. DHY charges 0.04%/yr vs 0.49%/yr for HYG.

Performance

DHY vs. HYG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional High Yield Equity Fund (DHY) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DHY achieves a -8.33% return, which is significantly lower than HYG's 1.32% return. Over the past 10 years, DHY has outperformed HYG with an annualized return of 6.31%, while HYG has yielded a comparatively lower 4.94% annualized return.

DHY

• 1D: 0.00%
• 1M: 0.00%
• YTD: -8.33%
• 6M: -9.88%
• 1Y: -6.23%
• 3Y*: 6.71%
• 5Y*: 1.94%
• 10Y*: 6.31%

HYG

• 1D: -0.28%
• 1M: 0.36%
• YTD: 1.32%
• 6M: 1.73%
• 1Y: 6.51%
• 3Y*: 8.48%
• 5Y*: 3.77%
• 10Y*: 4.94%

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

DHY vs. HYG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DHY Dimensional High Yield Equity Fund	-8.33%	2.19%	18.18%	24.13%	-21.75%	16.99%	0.10%	26.18%	-16.10%	17.06%
HYG iShares iBoxx $ High Yield Corporate Bond ETF	1.32%	8.59%	7.97%	11.54%	-10.98%	3.76%	4.47%	14.09%	-2.02%	6.07%

Correlation

The correlation between DHY and HYG is 0.32, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.32
Correlation (3Y) Calculated over the trailing 3-year period	0.28
Correlation (5Y) Calculated over the trailing 5-year period	0.39
Correlation (10Y) Calculated over the trailing 10-year period	0.36
Correlation (All Time) Calculated using the full available price history since Apr 12, 2007	0.35

The correlation between DHY and HYG shifts across timeframes, from 0.28 (3 years) to 0.39 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

DHY vs. HYG — Risk / Return Rank

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

DHY

DHY Risk / Return Rank: 1
DHY Sharpe Ratio Rank: 1
DHY Sortino Ratio Rank: 1
DHY Omega Ratio Rank: 1
DHY Calmar Ratio Rank: 1
DHY Martin Ratio Rank: 1

HYG

HYG Risk / Return Rank: 55
HYG Sharpe Ratio Rank: 49
HYG Sortino Ratio Rank: 52
HYG Omega Ratio Rank: 52
HYG Calmar Ratio Rank: 55
HYG Martin Ratio Rank: 66

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.

DHY vs. HYG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional High Yield Equity Fund (DHY) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG). 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.

	DHY	HYG	Difference
Sharpe ratio Return per unit of total volatility	-0.52	1.72	-2.23
Sortino ratio Return per unit of downside risk	-0.66	2.59	-3.25
Omega ratio Gain probability vs. loss probability	0.92	1.33	-0.41
Calmar ratio Return relative to maximum drawdown	-0.49	2.79	-3.28
Martin ratio Return relative to average drawdown	-1.19	12.34	-13.53
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DHY vs. HYG - Sharpe Ratio Comparison

The current DHY Sharpe Ratio is -0.52, which is lower than the HYG Sharpe Ratio of 1.72. The chart below compares the historical Sharpe Ratios of DHY and HYG, 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

	DHY	HYG	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.52	1.72	-2.23
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.13	0.50	-0.38
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.35	0.60	-0.25
Sharpe Ratio (All Time) Calculated using the full available price history	0.17	0.46	-0.29

Drawdowns

DHY vs. HYG - Drawdown Comparison

The maximum DHY drawdown since its inception was -71.47%, which is greater than HYG's maximum drawdown of -34.25%. Use the drawdown chart below to compare losses from any high point for DHY and HYG.

Drawdown Indicators

	DHY	HYG	Difference
Max Drawdown Largest peak-to-trough decline	-71.47%	-34.25%	-37.22%
Max Drawdown (1Y) Largest decline over 1 year	-12.80%	-2.34%	-10.46%
Max Drawdown (3Y) Largest decline over 3 years	-12.80%	-4.56%	-8.24%
Max Drawdown (5Y) Largest decline over 5 years	-27.23%	-15.79%	-11.44%
Max Drawdown (10Y) Largest decline over 10 years	-41.36%	-22.03%	-19.33%
Current Drawdown Current decline from peak	-11.52%	-0.28%	-11.24%
Average Drawdown Average peak-to-trough decline	-12.36%	-3.24%	-9.12%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.23%	0.53%	+4.70%

Volatility

DHY vs. HYG - Volatility Comparison

Dimensional High Yield Equity Fund (DHY) has a higher volatility of 3.39% compared to iShares iBoxx $ High Yield Corporate Bond ETF (HYG) at 1.21%. This indicates that DHY's price experiences larger fluctuations and is considered to be riskier than HYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DHY	HYG	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.39%	1.21%	+2.18%
Volatility (6M) Calculated over the trailing 6-month period	10.00%	3.01%	+6.99%
Volatility (1Y) Calculated over the trailing 1-year period	12.17%	3.81%	+8.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.37%	7.53%	+7.84%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.99%	8.29%	+9.70%

DHY vs. HYG - Expense Ratio Comparison

DHY has a 0.04% expense ratio, which is lower than HYG's 0.49% expense ratio.

Dividends

DHY vs. HYG - Dividend Comparison

DHY's dividend yield for the trailing twelve months is around 10.57%, more than HYG's 5.92% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DHY Dimensional High Yield Equity Fund	10.57%	9.30%	8.69%	9.39%	10.57%	7.61%	8.68%	9.02%	11.20%	9.40%	10.52%	12.63%
HYG iShares iBoxx $ High Yield Corporate Bond ETF	5.92%	5.71%	6.01%	5.74%	5.30%	4.02%	4.88%	4.99%	5.54%	5.12%	5.27%	5.90%

Frequently Asked Questions

Can I hold both DHY and HYG in my portfolio?

DHY and HYG have a correlation of 0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DHY or HYG?

DHY has higher volatility (3.39%) compared to HYG (1.21%). In terms of maximum drawdown, DHY dropped -71.47% vs HYG's -34.25%.

Which has better risk-adjusted returns?

HYG currently has the higher Sharpe Ratio (1.72 vs -0.52), 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.