PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
HYG vs. EWJ
Performance
Return for Risk
Drawdowns
Volatility
Dividends

HYG vs. EWJ

Last updated Jun 9, 2026

HYG (iShares iBoxx $ High Yield Corporate Bond ETF) and EWJ (iShares MSCI Japan ETF) are both exchange-traded funds - HYG is a High Yield Bonds fund tracking the Markit iBoxx USD Liquid High Yield Index, while EWJ is a Japan Equities fund tracking the MSCI Japan Index. Both are passively managed. Over the past 10 years, HYG returned 4.88%/yr vs 9.21%/yr for EWJ. A 0.52 correlation means they provide meaningful diversification when combined. Both charge a 0.49% expense ratio.

Performance

HYG vs. EWJ - Performance Comparison

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

Loading charts...

Returns By Period

In the year-to-date period, HYG achieves a 1.14% return, which is significantly lower than EWJ's 13.88% return. Over the past 10 years, HYG has underperformed EWJ with an annualized return of 4.88%, while EWJ has yielded a comparatively higher 9.21% annualized return.

HYG

1D
0.14%
1M
-0.24%
YTD
1.14%
6M
1.72%
1Y
6.36%
3Y*
8.34%
5Y*
3.69%
10Y*
4.88%

EWJ

1D
1.36%
1M
-0.29%
YTD
13.88%
6M
14.67%
1Y
30.27%
3Y*
17.05%
5Y*
8.50%
10Y*
9.21%
*Multi-year figures are annualized to reflect compound growth (CAGR)

HYG vs. EWJ - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
HYG
iShares iBoxx $ High Yield Corporate Bond ETF		1.14%8.59%7.97%11.54%-10.98%3.76%4.47%14.09%-2.02%6.07%
EWJ
iShares MSCI Japan ETF		13.88%25.84%7.03%20.29%-17.72%1.16%15.40%19.34%-14.10%24.27%

Correlation

The correlation between HYG and EWJ is 0.60, 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

0.60

Correlation (3Y)
Calculated over the trailing 3-year period

0.58

Correlation (5Y)
Calculated over the trailing 5-year period

0.59

Correlation (10Y)
Calculated over the trailing 10-year period

0.58

Correlation (All Time)
Calculated using the full available price history since Apr 11, 2007

0.52

The correlation between HYG and EWJ has been stable across timeframes, ranging from 0.52 to 0.60 - a consistent structural relationship.

HYG vs. EWJ - Sectors Allocation Comparison

Sectors
HYG
EWJ

Utilities

99.6%
1.1%

Real Estate

0.4%
2.3%

Basic Materials

-

3.0%

Communication Services

-

7.9%

Consumer Cyclical

-

12.2%

Consumer Defensive

-

3.6%

Energy

-

1.1%

Financial Services

-

17.5%

Healthcare

-

6.3%

Industrials

-

26.0%

Technology

-

19.1%

Utilities

HYG
99.6%
EWJ
1.1%

Real Estate

HYG
0.4%
EWJ
2.3%

Basic Materials

HYG

-

EWJ
3.0%

Communication Services

HYG

-

EWJ
7.9%

Consumer Cyclical

HYG

-

EWJ
12.2%

Consumer Defensive

HYG

-

EWJ
3.6%

Energy

HYG

-

EWJ
1.1%

Financial Services

HYG

-

EWJ
17.5%

Healthcare

HYG

-

EWJ
6.3%

Industrials

HYG

-

EWJ
26.0%

Technology

HYG

-

EWJ
19.1%

Compare stocks, funds, or ETFs

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

iShares iBoxx $ High Yield Corporate Bond ETF

iShares MSCI Japan ETF

Often compared with HYG:
HYG vs. LQDHYG vs. JNKHYG vs. SPHYHYG vs. AGGHYG vs. USHYHYG vs. HYGHHYG vs. SHYG
Often compared with EWJ:
EWJ vs. DXJEWJ vs. ^N225EWJ vs. EWJVEWJ vs. EWYEWJ vs. FLJPEWJ vs. HEWJEWJ vs. JPXN

Return for Risk

HYG vs. EWJ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
HYG
HYG Risk / Return Rank: 6060
Overall Rank
HYG Sharpe Ratio Rank: 5454
Sharpe Ratio Rank
HYG Sortino Ratio Rank: 5858
Sortino Ratio Rank
HYG Omega Ratio Rank: 5656
Omega Ratio Rank
HYG Calmar Ratio Rank: 6060
Calmar Ratio Rank
HYG Martin Ratio Rank: 7171
Martin Ratio Rank
EWJ
EWJ Risk / Return Rank: 5050
Overall Rank
EWJ Sharpe Ratio Rank: 4848
Sharpe Ratio Rank
EWJ Sortino Ratio Rank: 5050
Sortino Ratio Rank
EWJ Omega Ratio Rank: 5151
Omega Ratio Rank
EWJ Calmar Ratio Rank: 5050
Calmar Ratio Rank
EWJ Martin Ratio Rank: 4949
Martin Ratio Rank
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.

HYG vs. EWJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares iBoxx $ High Yield Corporate Bond ETF (HYG) and iShares MSCI Japan ETF (EWJ). 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.

HYGEWJDifference
Sharpe ratioReturn per unit of total volatility
1.67
1.53

+0.14

Sortino ratioReturn per unit of downside risk
2.49
2.21

+0.29

Omega ratioGain probability vs. loss probability

1.32

1.29

+0.03

Calmar ratioReturn relative to maximum drawdown

2.73

2.24

+0.49

Martin ratioReturn relative to average drawdown

12.02

7.56

+4.46

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

HYG vs. EWJ - Sharpe Ratio Comparison

The current HYG Sharpe Ratio is 1.67, which is comparable to the EWJ Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of HYG and EWJ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Sharpe Ratios by Period

HYGEWJDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.67

1.53

+0.14

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.49

0.47

+0.03

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.59

0.53

+0.06

Sharpe Ratio (All Time)

Calculated using the full available price history

0.46

0.11

+0.35

Drawdowns

HYG vs. EWJ - Drawdown Comparison

The maximum HYG drawdown since its inception was -34.25%, smaller than the maximum EWJ drawdown of -60.93%. Use the drawdown chart below to compare losses from any high point for HYG and EWJ.

Loading charts...

Drawdown Indicators

HYGEWJDifference

Max Drawdown

Largest peak-to-trough decline

-34.25%

-60.93%

+26.68%

Max Drawdown (1Y)

Largest decline over 1 year

-2.34%

-13.59%

+11.25%

Max Drawdown (3Y)

Largest decline over 3 years

-4.56%

-14.68%

+10.12%

Max Drawdown (5Y)

Largest decline over 5 years

-15.79%

-33.14%

+17.35%

Max Drawdown (10Y)

Largest decline over 10 years

-22.03%

-33.14%

+11.11%

Current Drawdown

Current decline from peak

-0.45%

-2.32%

+1.87%

Average Drawdown

Average peak-to-trough decline

-3.24%

-21.73%

+18.49%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.53%

4.02%

-3.49%

Volatility

HYG vs. EWJ - Volatility Comparison

The current volatility for iShares iBoxx $ High Yield Corporate Bond ETF (HYG) is 1.23%, while iShares MSCI Japan ETF (EWJ) has a volatility of 5.21%. This indicates that HYG experiences smaller price fluctuations and is considered to be less risky than EWJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

HYGEWJDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.23%

5.21%

-3.98%

Volatility (6M)

Calculated over the trailing 6-month period

3.05%

15.51%

-12.46%

Volatility (1Y)

Calculated over the trailing 1-year period

3.84%

19.89%

-16.05%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

7.53%

18.31%

-10.78%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

8.29%

17.31%

-9.02%

HYG vs. EWJ - Expense Ratio Comparison

Both HYG and EWJ have an expense ratio of 0.49%.

Dividends

HYG vs. EWJ - Dividend Comparison

HYG's dividend yield for the trailing twelve months is around 5.93%, more than EWJ's 3.97% yield.

PositionTTM20252024202320222021202020192018201720162015
EWJ
iShares MSCI Japan ETF		3.97%4.52%2.34%2.03%1.23%2.08%1.04%2.03%1.71%1.25%1.95%1.27%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF		5.93%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

HYG and EWJ have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

EWJ has higher volatility (5.21%) compared to HYG (1.23%). In terms of maximum drawdown, HYG dropped -34.25% vs EWJ's -60.93%.

On 10-year performance, EWJ leads with 9.21% vs 4.88% for HYG. Both ETFs have the same 0.49% expense ratio. On volatility, HYG has been the lower-risk option at 1.23%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, EWJ has performed better with a 9.21% return vs 4.88%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

HYG and EWJ have the same expense ratio: 0.49% per year.

HYG has the higher dividend yield at 5.93%, compared with 3.97% for EWJ.

HYG is categorized as High Yield Bonds, while EWJ is Japan Equities. HYG tracks Markit iBoxx USD Liquid High Yield Index, while EWJ tracks MSCI Japan Index.

HYG currently has the higher Sharpe Ratio (1.67 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.

Portfolio Optimizer

Find the right allocation for HYG and EWJ

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer