VMBS vs. HYG
VMBS (Vanguard Mortgage-Backed Securities ETF) and HYG (iShares iBoxx $ High Yield Corporate Bond ETF) are both exchange-traded funds - VMBS is a Mortgage Backed Securities fund tracking the Barclays Capital U.S. MBS Index, while HYG is a High Yield Bonds fund tracking the Markit iBoxx USD Liquid High Yield Index. Both are passively managed. Over the past 10 years, VMBS returned 1.36%/yr vs 4.91%/yr for HYG. At a 0.17 correlation, their price movements are largely independent. VMBS charges 0.04%/yr vs 0.49%/yr for HYG.
Performance
VMBS vs. HYG - Performance Comparison
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Returns By Period
In the year-to-date period, VMBS achieves a 0.70% return, which is significantly lower than HYG's 1.51% return. Over the past 10 years, VMBS has underperformed HYG with an annualized return of 1.36%, while HYG has yielded a comparatively higher 4.91% annualized return.
VMBS
- 1D
- 0.04%
- 1M
- 0.18%
- YTD
- 0.70%
- 6M
- 1.11%
- 1Y
- 6.25%
- 3Y*
- 4.63%
- 5Y*
- 0.49%
- 10Y*
- 1.36%
HYG
- 1D
- 0.19%
- 1M
- 0.40%
- YTD
- 1.51%
- 6M
- 1.84%
- 1Y
- 6.51%
- 3Y*
- 8.57%
- 5Y*
- 3.81%
- 10Y*
- 4.91%
VMBS vs. HYG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
VMBS Vanguard Mortgage-Backed Securities ETF | 0.70% | 8.36% | 1.70% | 5.34% | -11.90% | -1.28% | 3.76% | 6.19% | 0.91% | 2.47% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 1.51% | 8.59% | 7.97% | 11.54% | -10.98% | 3.76% | 4.47% | 14.09% | -2.02% | 6.07% |
Correlation
The correlation between VMBS and HYG is 0.57, 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 | 0.57 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.61 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.51 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.31 |
Correlation (All Time) Calculated using the full available price history since Nov 24, 2009 | 0.17 |
Over the past year, VMBS and HYG have become more correlated (0.57) than their long-term average of 0.17, meaning their price movements have been converging.
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Return for Risk
VMBS vs. HYG — Risk / Return Rank
VMBS
HYG
VMBS vs. HYG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Mortgage-Backed Securities ETF (VMBS) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG). 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.
| VMBS | HYG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.26 | ||
| Sortino ratioReturn per unit of downside risk | -0.44 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.33 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | 2.34 | 2.79 | -0.45 |
| Martin ratioReturn relative to average drawdown | 7.83 | 12.34 | -4.52 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| VMBS | HYG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.45 | 1.72 | -0.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.07 | 0.51 | -0.44 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.25 | 0.59 | -0.34 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.46 | 0.46 | 0.00 |
Drawdowns
VMBS vs. HYG - Drawdown Comparison
The maximum VMBS drawdown since its inception was -17.47%, smaller than the maximum HYG drawdown of -34.25%. Use the drawdown chart below to compare losses from any high point for VMBS and HYG.
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Drawdown Indicators
| VMBS | HYG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.47% | -34.25% | +16.78% |
Max Drawdown (1Y)Largest decline over 1 year | -2.68% | -2.34% | -0.34% |
Max Drawdown (3Y)Largest decline over 3 years | -7.65% | -4.56% | -3.09% |
Max Drawdown (5Y)Largest decline over 5 years | -17.12% | -15.79% | -1.33% |
Max Drawdown (10Y)Largest decline over 10 years | -17.47% | -22.03% | +4.56% |
Current DrawdownCurrent decline from peak | -1.29% | -0.09% | -1.20% |
Average DrawdownAverage peak-to-trough decline | -2.49% | -3.24% | +0.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.80% | 0.53% | +0.27% |
Volatility
VMBS vs. HYG - Volatility Comparison
Vanguard Mortgage-Backed Securities ETF (VMBS) has a higher volatility of 1.61% compared to iShares iBoxx $ High Yield Corporate Bond ETF (HYG) at 1.21%. This indicates that VMBS's price experiences larger fluctuations and is considered to be riskier than HYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VMBS | HYG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.61% | 1.21% | +0.40% |
Volatility (6M)Calculated over the trailing 6-month period | 3.16% | 3.01% | +0.15% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.37% | 3.81% | +0.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.77% | 7.53% | -0.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.40% | 8.29% | -2.89% |
VMBS vs. HYG - Expense Ratio Comparison
VMBS has a 0.04% expense ratio, which is lower than HYG's 0.49% expense ratio.
Dividends
VMBS vs. HYG - Dividend Comparison
VMBS's dividend yield for the trailing twelve months is around 4.18%, less than HYG's 5.91% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 5.91% | 5.71% | 6.01% | 5.74% | 5.30% | 4.02% | 4.88% | 4.99% | 5.54% | 5.12% | 5.27% | 5.90% |
VMBS Vanguard Mortgage-Backed Securities ETF | 4.18% | 4.20% | 3.94% | 3.31% | 2.35% | 1.02% | 2.01% | 2.77% | 2.72% | 2.16% | 2.10% | 2.12% |
Frequently Asked Questions
VMBS and HYG have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VMBS has higher volatility (1.61%) compared to HYG (1.21%). In terms of maximum drawdown, VMBS dropped -17.47% vs HYG's -34.25%.
On 10-year performance, HYG leads with 4.91% vs 1.36% for VMBS. On fees, VMBS is cheaper at 0.04% per year. On volatility, HYG has been the lower-risk option at 1.21%. 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 4.91% return vs 1.36%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VMBS is cheaper with a 0.04% expense ratio, compared with 0.49% for HYG.
HYG has the higher dividend yield at 5.91%, compared with 4.18% for VMBS.
VMBS is categorized as Mortgage Backed Securities, while HYG is High Yield Bonds. VMBS tracks Barclays Capital U.S. MBS Index, while HYG tracks Markit iBoxx USD Liquid High Yield Index. They also come from different issuers: Vanguard and iShares. Their fees differ too: 0.04% for VMBS and 0.49% for HYG.
HYG currently has the higher Sharpe Ratio (1.72 vs 1.45), 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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