PG vs. VYM
PG (The Procter & Gamble Company) is a stock, while VYM (Vanguard High Dividend Yield ETF) is Dividend fund tracking the FTSE High Dividend Yield Index. Over the past 10 years, PG returned 8.96%/yr vs 11.95%/yr for VYM. A 0.53 correlation means they provide meaningful diversification when combined.
Performance
PG vs. VYM - Performance Comparison
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Returns By Period
In the year-to-date period, PG achieves a 5.93% return, which is significantly lower than VYM's 12.37% return. Over the past 10 years, PG has underperformed VYM with an annualized return of 8.96%, while VYM has yielded a comparatively higher 11.95% annualized return.
PG
- 1D
- 0.86%
- 1M
- 4.83%
- YTD
- 5.93%
- 6M
- 6.28%
- 1Y
- -3.97%
- 3Y*
- 3.69%
- 5Y*
- 4.73%
- 10Y*
- 8.96%
VYM
- 1D
- 0.80%
- 1M
- 1.97%
- YTD
- 12.37%
- 6M
- 11.19%
- 1Y
- 25.94%
- 3Y*
- 18.06%
- 5Y*
- 11.59%
- 10Y*
- 11.95%
PG vs. VYM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PG The Procter & Gamble Company | 5.93% | -12.26% | 17.25% | -0.86% | -5.05% | 20.52% | 14.15% | 39.70% | 3.57% | 12.69% |
VYM Vanguard High Dividend Yield ETF | 12.37% | 15.42% | 17.60% | 6.57% | -0.43% | 26.20% | 1.15% | 24.06% | -5.92% | 16.42% |
Correlation
The correlation between PG and VYM is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.31 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.40 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.43 |
Correlation (All Time) Calculated using the full available price history since Nov 16, 2006 | 0.53 |
Over the past year, the correlation between PG and VYM has dropped to 0.23 - well below their long-term average of 0.53, suggesting their price drivers have been diverging.
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Return for Risk
PG vs. VYM — Risk / Return Rank
PG
VYM
PG vs. VYM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for The Procter & Gamble Company (PG) and Vanguard High Dividend Yield ETF (VYM). 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.
| PG | VYM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.67 | ||
| Sortino ratioReturn per unit of downside risk | -3.68 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.42 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | -0.37 | 3.70 | -4.07 |
| Martin ratioReturn relative to average drawdown | -0.68 | 13.81 | -14.49 |
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Drawdowns
PG vs. VYM - Drawdown Comparison
The maximum PG drawdown since its inception was -54.25%, roughly equal to the maximum VYM drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for PG and VYM.
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Drawdown Indicators
| PG | VYM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.25% | -56.98% | +2.73% |
Max Drawdown (1Y)Largest decline over 1 year | -15.52% | -6.69% | -8.83% |
Max Drawdown (3Y)Largest decline over 3 years | -21.15% | -14.46% | -6.69% |
Max Drawdown (5Y)Largest decline over 5 years | -23.77% | -15.84% | -7.93% |
Max Drawdown (10Y)Largest decline over 10 years | -23.77% | -35.21% | +11.44% |
Current DrawdownCurrent decline from peak | -13.29% | -0.52% | -12.77% |
Average DrawdownAverage peak-to-trough decline | -12.16% | -7.18% | -4.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.80% | 1.80% | +7.00% |
Volatility
PG vs. VYM - Volatility Comparison
The Procter & Gamble Company (PG) has a higher volatility of 6.99% compared to Vanguard High Dividend Yield ETF (VYM) at 3.31%. This indicates that PG's price experiences larger fluctuations and is considered to be riskier than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PG | VYM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.99% | 3.31% | +3.68% |
Volatility (6M)Calculated over the trailing 6-month period | 15.01% | 7.81% | +7.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.78% | 10.47% | +8.31% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.82% | 13.99% | +3.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.05% | 16.35% | +2.70% |
Dividends
PG vs. VYM - Dividend Comparison
PG's dividend yield for the trailing twelve months is around 2.85%, more than VYM's 2.19% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PG The Procter & Gamble Company | 2.85% | 2.91% | 2.36% | 2.55% | 2.38% | 2.08% | 2.24% | 2.37% | 3.09% | 2.98% | 3.18% | 3.31% |
VYM Vanguard High Dividend Yield ETF | 2.19% | 2.44% | 2.74% | 3.12% | 3.01% | 2.76% | 3.18% | 3.03% | 3.40% | 2.80% | 2.91% | 3.22% |
Frequently Asked Questions
PG and VYM have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PG has higher volatility (6.99%) compared to VYM (3.31%). In terms of maximum drawdown, PG dropped -54.25% vs VYM's -56.98%.
VYM currently has the higher Sharpe Ratio (2.37 vs -0.30), 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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