HYG vs. EFA
Compare and contrast key facts about iShares iBoxx $ High Yield Corporate Bond ETF (HYG) and iShares MSCI EAFE ETF (EFA).
HYG and EFA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. HYG is a passively managed fund by iShares that tracks the performance of the iBoxx $ Liquid High Yield Index. It was launched on Apr 11, 2007. EFA is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Index. It was launched on Aug 14, 2001. Both HYG and EFA are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: HYG or EFA.
Key characteristics
| HYG | EFA | |
|---|---|---|
| YTD Return | 8.25% | 4.15% |
| 1Y Return | 13.37% | 12.09% |
| 3Y Return (Ann) | 2.76% | 1.47% |
| 5Y Return (Ann) | 3.50% | 5.41% |
| 10Y Return (Ann) | 3.96% | 4.88% |
| Sharpe Ratio | 2.91 | 0.94 |
| Sortino Ratio | 4.53 | 1.36 |
| Omega Ratio | 1.57 | 1.17 |
| Calmar Ratio | 2.48 | 1.39 |
| Martin Ratio | 21.88 | 4.51 |
| Ulcer Index | 0.62% | 2.66% |
| Daily Std Dev | 4.65% | 12.76% |
| Max Drawdown | -34.24% | -61.04% |
| Current Drawdown | -0.71% | -8.65% |
Correlation
The correlation between HYG and EFA is 0.63, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
HYG vs. EFA - Performance Comparison
In the year-to-date period, HYG achieves a 8.25% return, which is significantly higher than EFA's 4.15% return. Over the past 10 years, HYG has underperformed EFA with an annualized return of 3.96%, while EFA has yielded a comparatively higher 4.88% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
HYG vs. EFA - Expense Ratio Comparison
HYG has a 0.49% expense ratio, which is higher than EFA's 0.32% expense ratio.
Risk-Adjusted Performance
HYG vs. EFA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares iBoxx $ High Yield Corporate Bond ETF (HYG) and iShares MSCI EAFE ETF (EFA). 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.
Dividends
HYG vs. EFA - Dividend Comparison
HYG's dividend yield for the trailing twelve months is around 5.90%, more than EFA's 3.01% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 5.90% | 5.75% | 5.30% | 4.02% | 4.88% | 4.99% | 5.54% | 5.12% | 5.27% | 5.90% | 5.69% | 6.10% |
EFA iShares MSCI EAFE ETF | 3.01% | 2.98% | 2.69% | 3.33% | 2.13% | 3.10% | 3.39% | 2.57% | 3.07% | 2.76% | 3.72% | 2.54% |
Drawdowns
HYG vs. EFA - Drawdown Comparison
The maximum HYG drawdown since its inception was -34.24%, smaller than the maximum EFA drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for HYG and EFA. For additional features, visit the drawdowns tool.
Volatility
HYG vs. EFA - Volatility Comparison
The current volatility for iShares iBoxx $ High Yield Corporate Bond ETF (HYG) is 1.13%, while iShares MSCI EAFE ETF (EFA) has a volatility of 4.00%. This indicates that HYG experiences smaller price fluctuations and is considered to be less risky than EFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.