HYG vs. MTUM
HYG (iShares iBoxx $ High Yield Corporate Bond ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - HYG is a High Yield Bonds fund tracking the Markit iBoxx USD Liquid High Yield Index, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 10 years, HYG returned 5.03%/yr vs 17.54%/yr for MTUM. A 0.60 correlation means they provide meaningful diversification when combined. HYG charges 0.49%/yr vs 0.15%/yr for MTUM.
Performance
HYG vs. MTUM - Performance Comparison
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Returns By Period
In the year-to-date period, HYG achieves a 1.78% return, which is significantly lower than MTUM's 33.55% return. Over the past 10 years, HYG has underperformed MTUM with an annualized return of 5.03%, while MTUM has yielded a comparatively higher 17.54% annualized return.
HYG
- 1D
- 0.13%
- 1M
- 1.25%
- YTD
- 1.78%
- 6M
- 2.29%
- 1Y
- 6.95%
- 3Y*
- 8.47%
- 5Y*
- 3.83%
- 10Y*
- 5.03%
MTUM
- 1D
- 2.96%
- 1M
- 11.98%
- YTD
- 33.55%
- 6M
- 34.98%
- 1Y
- 46.22%
- 3Y*
- 33.86%
- 5Y*
- 15.90%
- 10Y*
- 17.54%
HYG vs. MTUM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 1.78% | 8.59% | 7.97% | 11.54% | -10.98% | 3.76% | 4.47% | 14.09% | -2.02% | 6.07% |
MTUM iShares MSCI USA Momentum Factor ETF | 33.55% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -1.67% | 37.50% |
Correlation
The correlation between HYG and MTUM 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 | 0.59 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.60 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.62 |
Correlation (All Time) Calculated using the full available price history since Apr 18, 2013 | 0.60 |
The correlation between HYG and MTUM has been stable across timeframes, ranging from 0.59 to 0.64 - a consistent structural relationship.
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Return for Risk
HYG vs. MTUM — Risk / Return Rank
HYG
MTUM
HYG vs. MTUM - 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 USA Momentum Factor ETF (MTUM). 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 | MTUM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.40 | ||
| Sortino ratioReturn per unit of downside risk | -0.17 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.40 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 2.98 | 4.02 | -1.04 |
| Martin ratioReturn relative to average drawdown | 13.11 | 15.48 | -2.38 |
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Drawdowns
HYG vs. MTUM - Drawdown Comparison
The maximum HYG drawdown since its inception was -34.25%, roughly equal to the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for HYG and MTUM.
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Drawdown Indicators
| HYG | MTUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.25% | -34.08% | -0.17% |
Max Drawdown (1Y)Largest decline over 1 year | -2.34% | -11.54% | +9.20% |
Max Drawdown (3Y)Largest decline over 3 years | -4.56% | -20.99% | +16.43% |
Max Drawdown (5Y)Largest decline over 5 years | -15.79% | -32.28% | +16.49% |
Max Drawdown (10Y)Largest decline over 10 years | -22.03% | -34.08% | +12.05% |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -3.24% | -6.20% | +2.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.53% | 2.99% | -2.46% |
Volatility
HYG vs. MTUM - Volatility Comparison
The current volatility for iShares iBoxx $ High Yield Corporate Bond ETF (HYG) is 1.31%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 11.20%. This indicates that HYG experiences smaller price fluctuations and is considered to be less risky than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| HYG | MTUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.31% | 11.20% | -9.89% |
Volatility (6M)Calculated over the trailing 6-month period | 3.08% | 18.83% | -15.75% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.87% | 21.08% | -17.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.53% | 20.99% | -13.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.29% | 21.23% | -12.94% |
HYG vs. MTUM - Expense Ratio Comparison
HYG has a 0.49% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Dividends
HYG vs. MTUM - Dividend Comparison
HYG's dividend yield for the trailing twelve months is around 5.89%, more than MTUM's 0.70% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 5.89% | 5.71% | 6.01% | 5.74% | 5.30% | 4.02% | 4.88% | 4.99% | 5.54% | 5.12% | 5.27% | 5.90% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.70% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
Frequently Asked Questions
HYG and MTUM 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.
MTUM has higher volatility (11.20%) compared to HYG (1.31%). In terms of maximum drawdown, HYG dropped -34.25% vs MTUM's -34.08%.
On 10-year performance, MTUM leads with 17.54% vs 5.03% for HYG. On fees, MTUM is cheaper at 0.15% per year. On volatility, HYG has been the lower-risk option at 1.31%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, MTUM has performed better with a 17.54% return vs 5.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
MTUM is cheaper with a 0.15% expense ratio, compared with 0.49% for HYG.
HYG has the higher dividend yield at 5.89%, compared with 0.70% for MTUM.
HYG is categorized as High Yield Bonds, while MTUM is Momentum. HYG tracks Markit iBoxx USD Liquid High Yield Index, while MTUM tracks MSCI USA Momentum SR Variant Index. Their fees differ too: 0.49% for HYG and 0.15% for MTUM.
MTUM currently has the higher Sharpe Ratio (2.21 vs 1.81), 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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