SIO vs. VGMS

Last updated Jun 25, 2026

SIO (Touchstone Strategic Income Opportunities ETF) and VGMS (Vanguard Multi-Sector Income Bond ETF) are both Multisector Bonds funds. Both are actively managed. Over the past year, SIO returned 5.82% vs 6.37% for VGMS. A 0.67 correlation means they provide meaningful diversification when combined. SIO charges 0.65%/yr vs 0.30%/yr for VGMS.

Performance

SIO vs. VGMS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Touchstone Strategic Income Opportunities ETF (SIO) and Vanguard Multi-Sector Income Bond ETF (VGMS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SIO achieves a 1.36% return, which is significantly lower than VGMS's 1.67% return.

SIO

• 1D: 0.37%
• 1M: 0.95%
• YTD: 1.36%
• 6M: 1.33%
• 1Y: 5.82%
• 3Y*: 7.44%
• 5Y*: —
• 10Y*: —

VGMS

• 1D: 0.20%
• 1M: 0.93%
• YTD: 1.67%
• 6M: 1.67%
• 1Y: 6.37%
• 3Y*: —
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

SIO vs. VGMS - Yearly Performance Comparison

	2026 (YTD)	2025
SIO Touchstone Strategic Income Opportunities ETF	1.36%	5.51%
VGMS Vanguard Multi-Sector Income Bond ETF	1.67%	5.51%

Correlation

The correlation between SIO and VGMS is 0.68, 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	0.68
Correlation (All Time) Calculated using the full available price history since Jun 11, 2025	0.67

The correlation between SIO and VGMS has been stable across timeframes, ranging from 0.67 to 0.68 - a consistent structural relationship.

Return for Risk

SIO vs. VGMS — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SIO

SIO Risk / Return Rank: 45
SIO Sharpe Ratio Rank: 43
SIO Sortino Ratio Rank: 43
SIO Omega Ratio Rank: 42
SIO Calmar Ratio Rank: 51
SIO Martin Ratio Rank: 45

VGMS

VGMS Risk / Return Rank: 69
VGMS Sharpe Ratio Rank: 68
VGMS Sortino Ratio Rank: 73
VGMS Omega Ratio Rank: 72
VGMS Calmar Ratio Rank: 59
VGMS Martin Ratio Rank: 72

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.

SIO vs. VGMS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Touchstone Strategic Income Opportunities ETF (SIO) and Vanguard Multi-Sector Income Bond ETF (VGMS). 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.

	SIO	VGMS	Difference
Sharpe ratio: Return per unit of total volatility	1.34	1.97	-0.63
Sortino ratio: Return per unit of downside risk	1.97	2.93	-0.95
Omega ratio: Gain probability vs. loss probability	1.25	1.38	-0.13
Calmar ratio: Return relative to maximum drawdown	2.23	2.60	-0.37
Martin ratio: Return relative to average drawdown	6.60	11.76	-5.16

SIO vs. VGMS - Sharpe Ratio Comparison

The current SIO Sharpe Ratio is 1.34, which is lower than the VGMS Sharpe Ratio of 1.97. The chart below compares the historical Sharpe Ratios of SIO and VGMS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

SIO vs. VGMS - Drawdown Comparison

The maximum SIO drawdown since its inception was -6.94%, which is greater than VGMS's maximum drawdown of -2.46%. Use the drawdown chart below to compare losses from any high point for SIO and VGMS.

Drawdown Indicators

	SIO	VGMS	Difference
Max Drawdown Largest peak-to-trough decline	-6.94%	-2.46%	-4.48%
Max Drawdown (1Y) Largest decline over 1 year	-2.62%	-2.46%	-0.16%
Max Drawdown (3Y) Largest decline over 3 years	-4.34%	—	—
Current Drawdown Current decline from peak	-0.58%	0.00%	-0.58%
Average Drawdown Average peak-to-trough decline	-1.24%	-0.30%	-0.94%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.88%	0.54%	+0.34%

Volatility

SIO vs. VGMS - Volatility Comparison

The current volatility for Touchstone Strategic Income Opportunities ETF (SIO) is 1.01%, while Vanguard Multi-Sector Income Bond ETF (VGMS) has a volatility of 1.07%. This indicates that SIO experiences smaller price fluctuations and is considered to be less risky than VGMS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SIO	VGMS	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.01%	1.07%	-0.06%
Volatility (6M) Calculated over the trailing 6-month period	3.01%	2.64%	+0.37%
Volatility (1Y) Calculated over the trailing 1-year period	4.36%	3.26%	+1.10%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.98%	3.24%	+1.74%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.98%	3.24%	+1.74%

SIO vs. VGMS - Expense Ratio Comparison

SIO has a 0.65% expense ratio, which is higher than VGMS's 0.30% expense ratio.

Dividends

SIO vs. VGMS - Dividend Comparison

SIO's dividend yield for the trailing twelve months is around 6.90%, more than VGMS's 5.13% yield.

Position	TTM	2025	2024	2023	2022
SIO Touchstone Strategic Income Opportunities ETF	6.90%	6.80%	5.30%	5.37%	3.12%
VGMS Vanguard Multi-Sector Income Bond ETF	5.13%	2.94%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both SIO and VGMS in my portfolio?

SIO and VGMS have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SIO or VGMS?

VGMS has higher volatility (1.07%) compared to SIO (1.01%). In terms of maximum drawdown, SIO dropped -6.94% vs VGMS's -2.46%.

Which ETF is better, SIO or VGMS?

On 1-year performance, VGMS leads with 6.37% vs 5.82% for SIO. On fees, VGMS is cheaper at 0.30% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SIO or VGMS?

Over the 1-year period, VGMS has performed better with a 6.37% return vs 5.82%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SIO or VGMS?

VGMS is cheaper with a 0.30% expense ratio, compared with 0.65% for SIO.

Which ETF pays a higher dividend yield, SIO or VGMS?

SIO has the higher dividend yield at 6.90%, compared with 5.13% for VGMS.

What is the main difference between SIO and VGMS?

They also come from different issuers: Touchstone and Vanguard. Their fees differ too: 0.65% for SIO and 0.30% for VGMS.

Which has better risk-adjusted returns?

VGMS currently has the higher Sharpe Ratio (1.97 vs 1.34), 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.