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SHYG vs. VGPMX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

SHYG vs. VGPMX

Last updated Jun 13, 2026

SHYG (iShares 0-5 Year High Yield Corporate Bond ETF) and VGPMX (Vanguard Global Capital Cycles Fund) are both funds - SHYG is a High Yield Bonds fund tracking the Markit iBoxx USD Liquid High Yield 0-5 Index, while VGPMX is a Global Equities fund managed by Vanguard. Over the past 10 years, SHYG returned 5.22%/yr vs 10.81%/yr for VGPMX. At a 0.44 correlation, their price movements are largely independent. SHYG charges 0.30%/yr vs 0.36%/yr for VGPMX.

Performance

SHYG vs. VGPMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares 0-5 Year High Yield Corporate Bond ETF (SHYG) and Vanguard Global Capital Cycles Fund (VGPMX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, SHYG achieves a 1.72% return, which is significantly lower than VGPMX's 15.44% return. Over the past 10 years, SHYG has underperformed VGPMX with an annualized return of 5.22%, while VGPMX has yielded a comparatively higher 10.81% annualized return.

SHYG

1D
0.05%
1M
0.44%
YTD
1.72%
6M
2.29%
1Y
6.45%
3Y*
8.09%
5Y*
4.82%
10Y*
5.22%

VGPMX

1D
2.65%
1M
-3.44%
YTD
15.44%
6M
19.37%
1Y
53.94%
3Y*
29.26%
5Y*
19.29%
10Y*
10.81%
*Multi-year figures are annualized to reflect compound growth (CAGR)

SHYG vs. VGPMX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
SHYG
iShares 0-5 Year High Yield Corporate Bond ETF		1.72%7.94%8.17%10.38%-4.71%4.60%3.15%9.93%0.02%5.11%
VGPMX
Vanguard Global Capital Cycles Fund		15.44%65.96%5.78%10.06%7.34%19.50%17.21%20.67%-32.26%13.75%

Correlation

The correlation between SHYG and VGPMX is 0.58, 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

0.58

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

0.57

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

0.58

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

0.51

Correlation (All Time)
Calculated using the full available price history since Oct 17, 2013

0.44

The correlation between SHYG and VGPMX shifts across timeframes, from 0.44 (all time) to 0.58 (5 years), reflecting how their relationship changes across market environments.

SHYG vs. VGPMX - Sectors Allocation Comparison

Sectors
SHYG
VGPMX

Utilities

99.3%
4.7%

Real Estate

0.7%
2.2%

Basic Materials

-

38.0%

Communication Services

-

6.5%

Consumer Cyclical

-

5.1%

Consumer Defensive

-

9.4%

Energy

-

4.4%

Financial Services

-

5.7%

Healthcare

-

11.9%

Industrials

-

2.6%

Technology

-

9.5%

Utilities

SHYG
99.3%
VGPMX
4.7%

Real Estate

SHYG
0.7%
VGPMX
2.2%

Basic Materials

SHYG

-

VGPMX
38.0%

Communication Services

SHYG

-

VGPMX
6.5%

Consumer Cyclical

SHYG

-

VGPMX
5.1%

Consumer Defensive

SHYG

-

VGPMX
9.4%

Energy

SHYG

-

VGPMX
4.4%

Financial Services

SHYG

-

VGPMX
5.7%

Healthcare

SHYG

-

VGPMX
11.9%

Industrials

SHYG

-

VGPMX
2.6%

Technology

SHYG

-

VGPMX
9.5%

Compare stocks, funds, or ETFs

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iShares 0-5 Year High Yield Corporate Bond ETF

Vanguard Global Capital Cycles Fund

Often compared with SHYG:
SHYG vs. HYGSHYG vs. SJNKSHYG vs. SPHYSHYG vs. SHYSHYG vs. SHYLSHYG vs. LQDSHYG vs. HYDB
Often compared with VGPMX:
VGPMX vs. FSAGXVGPMX vs. GLDVGPMX vs. VOOVGPMX vs. VTSAXVGPMX vs. GLDMVGPMX vs. VTIVGPMX vs. GLTR

Return for Risk

SHYG vs. VGPMX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
SHYG
SHYG Risk / Return Rank: 8080
Overall Rank
SHYG Sharpe Ratio Rank: 7373
Sharpe Ratio Rank
SHYG Sortino Ratio Rank: 8181
Sortino Ratio Rank
SHYG Omega Ratio Rank: 7979
Omega Ratio Rank
SHYG Calmar Ratio Rank: 8181
Calmar Ratio Rank
SHYG Martin Ratio Rank: 8787
Martin Ratio Rank
VGPMX
VGPMX Risk / Return Rank: 9292
Overall Rank
VGPMX Sharpe Ratio Rank: 9797
Sharpe Ratio Rank
VGPMX Sortino Ratio Rank: 8888
Sortino Ratio Rank
VGPMX Omega Ratio Rank: 8888
Omega Ratio Rank
VGPMX Calmar Ratio Rank: 9393
Calmar Ratio Rank
VGPMX Martin Ratio Rank: 9494
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.

SHYG vs. VGPMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares 0-5 Year High Yield Corporate Bond ETF (SHYG) and Vanguard Global Capital Cycles Fund (VGPMX). 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.

SHYGVGPMXDifference
Sharpe ratioReturn per unit of total volatility
2.02
3.14

-1.12

Sortino ratioReturn per unit of downside risk
3.11
3.81

-0.71

Omega ratioGain probability vs. loss probability

1.40

1.54

-0.14

Calmar ratioReturn relative to maximum drawdown

3.70

4.32

-0.62

Martin ratioReturn relative to average drawdown

16.02

17.40

-1.37

SHYG vs. VGPMX - Sharpe Ratio Comparison

The current SHYG Sharpe Ratio is 2.02, which is lower than the VGPMX Sharpe Ratio of 3.14. The chart below compares the historical Sharpe Ratios of SHYG and VGPMX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

SHYG vs. VGPMX - Drawdown Comparison

The maximum SHYG drawdown since its inception was -19.26%, smaller than the maximum VGPMX drawdown of -78.85%. Use the drawdown chart below to compare losses from any high point for SHYG and VGPMX.

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Drawdown Indicators

SHYGVGPMXDifference

Max Drawdown

Largest peak-to-trough decline

-19.26%

-78.85%

+59.59%

Max Drawdown (1Y)

Largest decline over 1 year

-1.75%

-12.80%

+11.05%

Max Drawdown (3Y)

Largest decline over 3 years

-4.53%

-14.63%

+10.10%

Max Drawdown (5Y)

Largest decline over 5 years

-9.39%

-22.71%

+13.32%

Max Drawdown (10Y)

Largest decline over 10 years

-19.26%

-54.59%

+35.33%

Current Drawdown

Current decline from peak

0.00%

-4.71%

+4.71%

Average Drawdown

Average peak-to-trough decline

-1.44%

-34.53%

+33.09%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.40%

3.17%

-2.77%

Volatility

SHYG vs. VGPMX - Volatility Comparison

The current volatility for iShares 0-5 Year High Yield Corporate Bond ETF (SHYG) is 0.98%, while Vanguard Global Capital Cycles Fund (VGPMX) has a volatility of 7.38%. This indicates that SHYG experiences smaller price fluctuations and is considered to be less risky than VGPMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

SHYGVGPMXDifference

Volatility (1M)

Calculated over the trailing 1-month period

0.98%

7.38%

-6.40%

Volatility (6M)

Calculated over the trailing 6-month period

2.55%

14.90%

-12.35%

Volatility (1Y)

Calculated over the trailing 1-year period

3.20%

17.61%

-14.41%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

5.73%

17.54%

-11.81%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

6.42%

20.91%

-14.49%

SHYG vs. VGPMX - Expense Ratio Comparison

SHYG has a 0.30% expense ratio, which is lower than VGPMX's 0.36% expense ratio.

Dividends

SHYG vs. VGPMX - Dividend Comparison

SHYG's dividend yield for the trailing twelve months is around 7.00%, more than VGPMX's 3.38% yield.

PositionTTM20252024202320222021202020192018201720162015
SHYG
iShares 0-5 Year High Yield Corporate Bond ETF		7.00%7.03%6.93%6.54%5.57%4.83%5.07%5.33%5.90%5.49%5.53%5.17%
VGPMX
Vanguard Global Capital Cycles Fund		3.38%2.59%2.68%3.22%3.27%3.26%2.03%2.39%3.02%0.02%1.72%2.32%

Frequently Asked Questions

SHYG and VGPMX have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

VGPMX has higher volatility (7.38%) compared to SHYG (0.98%). In terms of maximum drawdown, SHYG dropped -19.26% vs VGPMX's -78.85%.

VGPMX currently has the higher Sharpe Ratio (3.14 vs 2.02), 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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