ZHY.TO vs. VAB.TO
ZHY.TO (BMO High Yield US Corporate Bond Hedged to CAD Index ETF) and VAB.TO (Vanguard Canadian Aggregate Bond Index ETF) are both exchange-traded funds - ZHY.TO is a High Yield Bonds fund tracking the Bloomberg U.S. High Yield Very Liquid Index CAD Hedged, while VAB.TO is a Canadian Government Bonds fund tracking the Bloomberg Global Aggregate Canadian Float Adjusted Bond Index. Both are passively managed. Over the past 10 years, ZHY.TO returned 3.77%/yr vs 1.54%/yr for VAB.TO. At a 0.09 correlation, their price movements are largely independent. ZHY.TO charges 0.61%/yr vs 0.09%/yr for VAB.TO.
Performance
ZHY.TO vs. VAB.TO - Performance Comparison
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Returns By Period
In the year-to-date period, ZHY.TO achieves a 0.71% return, which is significantly lower than VAB.TO's 1.60% return. Over the past 10 years, ZHY.TO has outperformed VAB.TO with an annualized return of 3.77%, while VAB.TO has yielded a comparatively lower 1.54% annualized return.
ZHY.TO
- 1D
- -0.09%
- 1M
- -0.01%
- YTD
- 0.71%
- 6M
- 0.74%
- 1Y
- 4.74%
- 3Y*
- 7.06%
- 5Y*
- 2.53%
- 10Y*
- 3.77%
VAB.TO
- 1D
- -0.04%
- 1M
- 1.55%
- YTD
- 1.60%
- 6M
- 1.06%
- 1Y
- 2.83%
- 3Y*
- 4.18%
- 5Y*
- 0.65%
- 10Y*
- 1.54%
ZHY.TO vs. VAB.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ZHY.TO BMO High Yield US Corporate Bond Hedged to CAD Index ETF | 0.71% | 6.27% | 6.04% | 11.48% | -12.80% | 4.03% | 3.31% | 13.45% | -3.88% | 5.06% |
VAB.TO Vanguard Canadian Aggregate Bond Index ETF | 1.60% | 2.28% | 3.98% | 6.90% | -11.86% | -2.88% | 8.26% | 6.77% | 1.13% | 2.30% |
Correlation
The correlation between ZHY.TO and VAB.TO is 0.46, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.46 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.38 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.33 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since Dec 7, 2011 | 0.09 |
Over the past year, ZHY.TO and VAB.TO have become more correlated (0.46) than their long-term average of 0.09, meaning their price movements have been converging.
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Return for Risk
ZHY.TO vs. VAB.TO — Risk / Return Rank
ZHY.TO
VAB.TO
ZHY.TO vs. VAB.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BMO High Yield US Corporate Bond Hedged to CAD Index ETF (ZHY.TO) and Vanguard Canadian Aggregate Bond Index ETF (VAB.TO). 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.
| ZHY.TO | VAB.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.22 | ||
| Sortino ratioReturn per unit of downside risk | +0.38 | ||
| Omega ratioGain probability vs. loss probability | 1.16 | 1.11 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 1.61 | 1.00 | +0.61 |
| Martin ratioReturn relative to average drawdown | 6.01 | 2.37 | +3.63 |
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
| ZHY.TO | VAB.TO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.87 | 0.65 | +0.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.27 | 0.10 | +0.17 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.35 | 0.24 | +0.11 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.45 | 0.39 | +0.06 |
Drawdowns
ZHY.TO vs. VAB.TO - Drawdown Comparison
The maximum ZHY.TO drawdown since its inception was -28.44%, which is greater than VAB.TO's maximum drawdown of -18.39%. Use the drawdown chart below to compare losses from any high point for ZHY.TO and VAB.TO.
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Drawdown Indicators
| ZHY.TO | VAB.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.44% | -18.39% | -10.05% |
Max Drawdown (1Y)Largest decline over 1 year | -2.96% | -2.83% | -0.13% |
Max Drawdown (3Y)Largest decline over 3 years | -5.70% | -5.31% | -0.39% |
Max Drawdown (5Y)Largest decline over 5 years | -17.11% | -15.82% | -1.29% |
Max Drawdown (10Y)Largest decline over 10 years | -28.44% | -18.39% | -10.05% |
Current DrawdownCurrent decline from peak | -0.91% | -1.94% | +1.03% |
Average DrawdownAverage peak-to-trough decline | -2.86% | -4.11% | +1.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.79% | 1.20% | -0.41% |
Volatility
ZHY.TO vs. VAB.TO - Volatility Comparison
BMO High Yield US Corporate Bond Hedged to CAD Index ETF (ZHY.TO) has a higher volatility of 1.96% compared to Vanguard Canadian Aggregate Bond Index ETF (VAB.TO) at 1.59%. This indicates that ZHY.TO's price experiences larger fluctuations and is considered to be riskier than VAB.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZHY.TO | VAB.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.96% | 1.59% | +0.37% |
Volatility (6M)Calculated over the trailing 6-month period | 4.11% | 3.45% | +0.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.50% | 4.38% | +1.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.51% | 6.58% | +2.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.92% | 6.48% | +4.44% |
ZHY.TO vs. VAB.TO - Expense Ratio Comparison
ZHY.TO has a 0.61% expense ratio, which is higher than VAB.TO's 0.09% expense ratio.
Dividends
ZHY.TO vs. VAB.TO - Dividend Comparison
ZHY.TO's dividend yield for the trailing twelve months is around 6.38%, more than VAB.TO's 3.32% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VAB.TO Vanguard Canadian Aggregate Bond Index ETF | 3.32% | 3.33% | 3.19% | 2.95% | 2.87% | 2.48% | 2.50% | 2.65% | 2.79% | 2.77% | 2.75% | 2.78% |
ZHY.TO BMO High Yield US Corporate Bond Hedged to CAD Index ETF | 6.38% | 6.10% | 6.13% | 6.43% | 6.71% | 5.49% | 6.09% | 6.50% | 6.25% | 6.10% | 5.84% | 7.12% |
Frequently Asked Questions
ZHY.TO and VAB.TO have a correlation of 0.46, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, VAB.TO is cheaper at 0.09% per year. The better choice depends on whether you care most about return, fees, risk, or income.
VAB.TO is cheaper with a 0.09% expense ratio, compared with 0.61% for ZHY.TO.
ZHY.TO is categorized as High Yield Bonds, while VAB.TO is Canadian Government Bonds. ZHY.TO tracks Bloomberg U.S. High Yield Very Liquid Index CAD Hedged, while VAB.TO tracks Bloomberg Global Aggregate Canadian Float Adjusted Bond Index. They also come from different issuers: BMO and Vanguard. Their fees differ too: 0.61% for ZHY.TO and 0.09% for VAB.TO.
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