EHI vs VGI: Correlation
Western Asset Global High Income Fund Inc (EHI) and Virtus Global Multi-Sector Income Fund (VGI) show a strong relationship: their 3-year correlation of weekly returns is 0.70.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EHI and VGI?
Over the past 3 years, EHI and VGI moved with a correlation of 0.70, which is strong. Recent behaviour matches the longer record: 0.70 over 1 year against 0.70 over 3. Over 5 years the correlation is 0.64, and the annualized covariance of weekly returns is 81.8 %².
In EHI's tracked universe of 15 assets, VGI sits right near the top at #3. Twelve-month performance is nearly a tie, at -0.6% for EHI and +3.8% for VGI.
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.
EHI vs VGI: side by side
| EHI (Western Asset Global High Income Fund Inc) | VGI (Virtus Global Multi-Sector Income Fund) | |
|---|---|---|
| 1-year return | -0.6% | +3.8% |
| 5-year return | -1.0% | +11.9% |
| Volatility (ann.) | 11.4% | 10.3% |
| Beta vs S&P 500 | 0.45 | 0.38 |
| Max drawdown (3Y) | -16.0% | -11.3% |
| Market cap | $0.2B | $0.1B |
| P/E (trailing) | 8.0 | 7.8 |
| Dividend yield | 14.66% | 0.00% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | EHI | VGI |
|---|---|---|
| 2022 | -25.2% | -22.3% |
| 2023 | +19.2% | +13.4% |
| 2024 | +4.2% | +10.4% |
| 2025 | +9.1% | +16.1% |
| 2026 | -2.3% | +1.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EHI and VGI good diversifiers for each other?
Only partially. A correlation of 0.70 means EHI and VGI share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between EHI and VGI?
Using weekly returns as of 2026-08-27: 0.70 over 3 years, with 0.70 over the last year and 0.64 over 5 years.
Is VGI a good diversifier for EHI?
Only partially. A correlation of 0.70 means EHI and VGI share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
What does a correlation of 0.70 mean?
On the −1 to +1 scale, 0.70 describes how much the two returns move together: +1 is lockstep, 0 is independence, negative values mean opposite directions. It says nothing about which performed better.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/ehi-vs-vgi.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/ehi-vs-vgi/)
No key needed, free to use. Full endpoint list in the API documentation.
Related comparisons
Hubs: EHI correlations · VGI correlations
