EARN vs HYG: Correlation
How closely do Ellington Credit Company (EARN) and iShares iBoxx High Yield Corporate Bond ETF (HYG) trade together? Their weekly returns over three years give a correlation of 0.67, which is strong.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EARN and HYG?
Across a 3-year window, the weekly returns of EARN and HYG correlate at 0.67, strong. The relationship has been stable: the 1-year correlation (0.59) sits close to the 3-year figure. Stretching to 5 years gives 0.57, with an annualized covariance of 77.9 %².
Few assets follow EARN as closely as HYG, which ranks #1 of 14 tracked partners. Over the last 12 months HYG came out ahead by 12.5 percentage points (-7.9% against +4.6%). One caveat on sizing: EARN is 5.3 times as volatile as the other leg, so an equal-dollar split is far from equal-risk.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
EARN vs HYG: side by side
| EARN (Ellington Credit Company) | HYG (iShares iBoxx High Yield Corporate Bond ETF) | |
|---|---|---|
| 1-year return | -7.9% | +4.6% |
| 5-year return | -17.5% | +19.9% |
| Volatility (ann.) | 24.8% | 4.7% |
| Beta vs S&P 500 | 0.92 | 0.22 |
| Max drawdown (3Y) | -31.2% | -4.6% |
| Market cap | $0.2B | – |
| P/E (trailing) | 15.9 | – |
| Dividend yield | 21.57% | 5.94% |
| Expense ratio | – | 0.49% |
| Assets under management | – | $17.1B |
| Sector / category | US Listed | ETF · Bonds |
HYG is a High Yield Bond fund from iShares: $17.1B under management, a 0.49% expense ratio, a 5.94% trailing dividend yield.
Year-by-year returns
| Year | EARN | HYG |
|---|---|---|
| 2022 | -25.0% | -11.0% |
| 2023 | +3.0% | +11.5% |
| 2024 | +24.6% | +8.0% |
| 2025 | -5.9% | +8.6% |
| 2026 | -5.0% | +2.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EARN and HYG good diversifiers for each other?
To a limited degree. At 0.67 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
FAQ
What is the correlation between EARN and HYG?
Using weekly returns as of 2026-08-27: 0.67 over 3 years, with 0.59 over the last year and 0.57 over 5 years.
Is HYG a good diversifier for EARN?
To a limited degree. At 0.67 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
What does a correlation of 0.67 mean?
A reading of 0.67 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/earn-vs-hyg.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/earn-vs-hyg/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: EARN correlations · HYG correlations
