EXG vs. SHYG

Last updated Jun 24, 2026

EXG (Eaton Vance Tax-Managed Global Diversified Equity Income Fund) and SHYG (iShares 0-5 Year High Yield Corporate Bond ETF) are both funds - EXG is a Dividend fund actively managed by Eaton Vance, while SHYG is a High Yield Bonds fund tracking the Markit iBoxx USD Liquid High Yield 0-5 Index. EXG is actively managed, while SHYG is passively managed. Over the past 10 years, EXG returned 10.92%/yr vs 5.21%/yr for SHYG. A 0.58 correlation means they provide meaningful diversification when combined. EXG charges 1.07%/yr vs 0.30%/yr for SHYG.

Performance

EXG vs. SHYG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Eaton Vance Tax-Managed Global Diversified Equity Income Fund (EXG) and iShares 0-5 Year High Yield Corporate Bond ETF (SHYG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EXG achieves a 3.51% return, which is significantly higher than SHYG's 1.72% return. Over the past 10 years, EXG has outperformed SHYG with an annualized return of 10.92%, while SHYG has yielded a comparatively lower 5.21% annualized return.

EXG

• 1D: -0.94%
• 1M: 1.77%
• YTD: 3.51%
• 6M: 4.94%
• 1Y: 21.38%
• 3Y*: 16.39%
• 5Y*: 7.79%
• 10Y*: 10.92%

SHYG

• 1D: -0.07%
• 1M: 0.39%
• YTD: 1.72%
• 6M: 1.94%
• 1Y: 6.03%
• 3Y*: 8.27%
• 5Y*: 4.78%
• 10Y*: 5.21%

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

EXG vs. SHYG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EXG Eaton Vance Tax-Managed Global Diversified Equity Income Fund	3.51%	27.79%	16.04%	11.46%	-22.24%	31.53%	10.19%	28.71%	-12.09%	29.58%
SHYG iShares 0-5 Year High Yield Corporate Bond ETF	1.72%	7.94%	8.17%	10.38%	-4.71%	4.60%	3.15%	9.93%	0.02%	5.11%

Correlation

The correlation between EXG and SHYG is 0.64, 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	0.64
Correlation (3Y) Calculated over the trailing 3-year period	0.62
Correlation (5Y) Calculated over the trailing 5-year period	0.64
Correlation (10Y) Calculated over the trailing 10-year period	0.61
Correlation (All Time) Calculated using the full available price history since Oct 17, 2013	0.58

The correlation between EXG and SHYG has been stable across timeframes, ranging from 0.58 to 0.64 - a consistent structural relationship.

Return for Risk

EXG vs. SHYG — Risk / Return Rank

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

EXG

EXG Risk / Return Rank: 30
EXG Sharpe Ratio Rank: 33
EXG Sortino Ratio Rank: 33
EXG Omega Ratio Rank: 31
EXG Calmar Ratio Rank: 19
EXG Martin Ratio Rank: 32

SHYG

SHYG Risk / Return Rank: 68
SHYG Sharpe Ratio Rank: 59
SHYG Sortino Ratio Rank: 66
SHYG Omega Ratio Rank: 65
SHYG Calmar Ratio Rank: 71
SHYG Martin Ratio Rank: 79

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.

EXG vs. SHYG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Tax-Managed Global Diversified Equity Income Fund (EXG) and iShares 0-5 Year High Yield Corporate Bond ETF (SHYG). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	EXG	SHYG	Difference
Sharpe ratio: Return per unit of total volatility	1.53	1.89	-0.36
Sortino ratio: Return per unit of downside risk	2.22	2.90	-0.68
Omega ratio: Gain probability vs. loss probability	1.27	1.38	-0.10
Calmar ratio: Return relative to maximum drawdown	1.50	3.46	-1.95
Martin ratio: Return relative to average drawdown	6.86	14.95	-8.10

EXG vs. SHYG - Sharpe Ratio Comparison

The current EXG Sharpe Ratio is 1.53, which is comparable to the SHYG Sharpe Ratio of 1.89. The chart below compares the historical Sharpe Ratios of EXG and SHYG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

EXG vs. SHYG - Drawdown Comparison

The maximum EXG drawdown since its inception was -58.45%, which is greater than SHYG's maximum drawdown of -19.26%. Use the drawdown chart below to compare losses from any high point for EXG and SHYG.

Drawdown Indicators

	EXG	SHYG	Difference
Max Drawdown Largest peak-to-trough decline	-58.45%	-19.26%	-39.19%
Max Drawdown (1Y) Largest decline over 1 year	-14.28%	-1.75%	-12.53%
Max Drawdown (3Y) Largest decline over 3 years	-15.12%	-4.53%	-10.59%
Max Drawdown (5Y) Largest decline over 5 years	-27.82%	-9.39%	-18.43%
Max Drawdown (10Y) Largest decline over 10 years	-45.36%	-19.26%	-26.10%
Current Drawdown Current decline from peak	-1.56%	-0.16%	-1.40%
Average Drawdown Average peak-to-trough decline	-9.59%	-1.44%	-8.15%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.12%	0.40%	+2.72%

Volatility

EXG vs. SHYG - Volatility Comparison

Eaton Vance Tax-Managed Global Diversified Equity Income Fund (EXG) has a higher volatility of 4.29% compared to iShares 0-5 Year High Yield Corporate Bond ETF (SHYG) at 0.83%. This indicates that EXG's price experiences larger fluctuations and is considered to be riskier than SHYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EXG	SHYG	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.29%	0.83%	+3.46%
Volatility (6M) Calculated over the trailing 6-month period	11.47%	2.57%	+8.90%
Volatility (1Y) Calculated over the trailing 1-year period	14.03%	3.20%	+10.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.54%	5.74%	+11.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.99%	6.41%	+13.58%

EXG vs. SHYG - Expense Ratio Comparison

EXG has a 1.07% expense ratio, which is higher than SHYG's 0.30% expense ratio.

Dividends

EXG vs. SHYG - Dividend Comparison

EXG's dividend yield for the trailing twelve months is around 8.33%, more than SHYG's 7.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EXG Eaton Vance Tax-Managed Global Diversified Equity Income Fund	8.33%	8.27%	9.27%	8.60%	10.59%	7.27%	8.43%	8.42%	12.23%	9.84%	12.16%	11.02%
SHYG iShares 0-5 Year High Yield Corporate Bond ETF	7.00%	7.03%	6.93%	6.54%	5.57%	4.83%	5.07%	5.33%	5.90%	5.49%	5.53%	5.17%

Frequently Asked Questions

Can I hold both EXG and SHYG in my portfolio?

EXG and SHYG have a correlation of 0.64, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EXG or SHYG?

EXG has higher volatility (4.29%) compared to SHYG (0.83%). In terms of maximum drawdown, EXG dropped -58.45% vs SHYG's -19.26%.

Which has better risk-adjusted returns?

SHYG currently has the higher Sharpe Ratio (1.89 vs 1.53), 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.