HYG vs. GOVT
HYG (iShares iBoxx $ High Yield Corporate Bond ETF) and GOVT (iShares U.S. Treasury Bond ETF) are both exchange-traded funds - HYG is a High Yield Bonds fund tracking the Markit iBoxx USD Liquid High Yield Index, while GOVT is a Government Bonds fund tracking the ICE U.S. Treasury Core Bond Index. Both are passively managed. Over the past 10 years, HYG returned 5.04%/yr vs 0.84%/yr for GOVT. At a 0.07 correlation, their price movements are largely independent. HYG charges 0.49%/yr vs 0.05%/yr for GOVT.
Performance
HYG vs. GOVT - Performance Comparison
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Returns By Period
In the year-to-date period, HYG achieves a 1.65% return, which is significantly higher than GOVT's 0.11% return. Over the past 10 years, HYG has outperformed GOVT with an annualized return of 5.04%, while GOVT has yielded a comparatively lower 0.84% annualized return.
HYG
- 1D
- 0.00%
- 1M
- 1.12%
- YTD
- 1.65%
- 6M
- 2.21%
- 1Y
- 6.81%
- 3Y*
- 8.52%
- 5Y*
- 3.75%
- 10Y*
- 5.04%
GOVT
- 1D
- -0.09%
- 1M
- 0.96%
- YTD
- 0.11%
- 6M
- 0.47%
- 1Y
- 3.64%
- 3Y*
- 3.10%
- 5Y*
- -0.50%
- 10Y*
- 0.84%
HYG vs. GOVT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 1.65% | 8.59% | 7.97% | 11.54% | -10.98% | 3.76% | 4.47% | 14.09% | -2.02% | 6.07% |
GOVT iShares U.S. Treasury Bond ETF | 0.11% | 3.77% | 2.95% | 4.17% | -13.39% | -1.11% | 7.28% | 7.36% | 0.26% | 2.19% |
Correlation
The correlation between HYG and GOVT is 0.52, 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 | 0.52 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.55 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.43 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.18 |
Correlation (All Time) Calculated using the full available price history since Feb 24, 2012 | 0.07 |
Over the past year, HYG and GOVT have become more correlated (0.52) than their long-term average of 0.07, meaning their price movements have been converging.
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Return for Risk
HYG vs. GOVT — Risk / Return Rank
HYG
GOVT
HYG vs. GOVT - 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 U.S. Treasury Bond ETF (GOVT). 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.
| HYG | GOVT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.75 | ||
| Sortino ratioReturn per unit of downside risk | +1.12 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.16 | +0.16 |
| Calmar ratioReturn relative to maximum drawdown | 2.79 | 1.17 | +1.62 |
| Martin ratioReturn relative to average drawdown | 12.25 | 3.27 | +8.97 |
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Drawdowns
HYG vs. GOVT - Drawdown Comparison
The maximum HYG drawdown since its inception was -34.25%, which is greater than GOVT's maximum drawdown of -19.07%. Use the drawdown chart below to compare losses from any high point for HYG and GOVT.
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Drawdown Indicators
| HYG | GOVT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.25% | -19.07% | -15.18% |
Max Drawdown (1Y)Largest decline over 1 year | -2.34% | -2.85% | +0.51% |
Max Drawdown (3Y)Largest decline over 3 years | -4.56% | -5.43% | +0.87% |
Max Drawdown (5Y)Largest decline over 5 years | -15.79% | -16.60% | +0.81% |
Max Drawdown (10Y)Largest decline over 10 years | -22.03% | -19.07% | -2.96% |
Current DrawdownCurrent decline from peak | 0.00% | -6.97% | +6.97% |
Average DrawdownAverage peak-to-trough decline | -3.24% | -5.25% | +2.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.53% | 1.02% | -0.49% |
Volatility
HYG vs. GOVT - Volatility Comparison
iShares iBoxx $ High Yield Corporate Bond ETF (HYG) has a higher volatility of 1.31% compared to iShares U.S. Treasury Bond ETF (GOVT) at 1.15%. This indicates that HYG's price experiences larger fluctuations and is considered to be riskier than GOVT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| HYG | GOVT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.31% | 1.15% | +0.16% |
Volatility (6M)Calculated over the trailing 6-month period | 3.08% | 2.58% | +0.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.87% | 3.59% | +0.28% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.53% | 6.04% | +1.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.29% | 5.23% | +3.06% |
HYG vs. GOVT - Expense Ratio Comparison
HYG has a 0.49% expense ratio, which is higher than GOVT's 0.05% expense ratio.
Dividends
HYG vs. GOVT - Dividend Comparison
HYG's dividend yield for the trailing twelve months is around 5.90%, more than GOVT's 3.58% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GOVT iShares U.S. Treasury Bond ETF | 3.58% | 3.49% | 3.14% | 2.65% | 1.77% | 0.96% | 2.17% | 1.98% | 1.97% | 1.57% | 1.40% | 1.25% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 5.90% | 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 GOVT have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
HYG has higher volatility (1.31%) compared to GOVT (1.15%). In terms of maximum drawdown, HYG dropped -34.25% vs GOVT's -19.07%.
On 10-year performance, HYG leads with 5.04% vs 0.84% for GOVT. On fees, GOVT is cheaper at 0.05% per year. On volatility, GOVT has been the lower-risk option at 1.15%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, HYG has performed better with a 5.04% return vs 0.84%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GOVT is cheaper with a 0.05% expense ratio, compared with 0.49% for HYG.
HYG has the higher dividend yield at 5.90%, compared with 3.58% for GOVT.
HYG is categorized as High Yield Bonds, while GOVT is Government Bonds. HYG tracks Markit iBoxx USD Liquid High Yield Index, while GOVT tracks ICE U.S. Treasury Core Bond Index. Their fees differ too: 0.49% for HYG and 0.05% for GOVT.
HYG currently has the higher Sharpe Ratio (1.68 vs 0.93), 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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