EHI vs VLT: Correlation
How closely do Western Asset Global High Income Fund Inc (EHI) and Invesco High Income Trust II (VLT) trade together? Their weekly returns over three years give a correlation of 0.72, which is strong.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EHI and VLT?
On 3 years of weekly data the EHI/VLT correlation comes out at 0.72, strong. Little has changed lately, as the 1-year reading of 0.74 lands near the 3-year figure. The 5-year figure is 0.71, and annualized covariance runs at 82.1 %².
VLT is one of the assets that tracks EHI most closely: it ranks #2 out of the 15 assets we track against EHI. Twelve-month performance is nearly a tie, at -0.6% for EHI and -1.3% for VLT.
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 VLT: side by side
| EHI (Western Asset Global High Income Fund Inc) | VLT (Invesco High Income Trust II) | |
|---|---|---|
| 1-year return | -0.6% | -1.3% |
| 5-year return | -1.0% | +12.4% |
| Volatility (ann.) | 11.4% | 10.0% |
| Beta vs S&P 500 | 0.45 | 0.47 |
| Max drawdown (3Y) | -16.0% | -13.4% |
| Market cap | $0.2B | – |
| P/E (trailing) | 8.0 | 13.9 |
| Dividend yield | 14.66% | 11.52% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | EHI | VLT |
|---|---|---|
| 2022 | -25.2% | -20.9% |
| 2023 | +19.2% | +13.1% |
| 2024 | +4.2% | +17.3% |
| 2025 | +9.1% | +13.2% |
| 2026 | -2.3% | -4.9% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EHI and VLT good diversifiers for each other?
To a limited degree. At 0.72 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 EHI and VLT?
As of 2026-08-27, the correlation of weekly returns between EHI and VLT is 0.72 over 3 years, 0.74 over 1 year and 0.71 over 5 years.
Is VLT a good diversifier for EHI?
To a limited degree. At 0.72 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 0.72 mean?
A reading of 0.72 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/ehi-vs-vlt.json
Markdown for the live badge, attribution link included:
[](https://www.pairbook.io/pair/ehi-vs-vlt/)
No key needed, free to use. Full endpoint list in the API documentation.
Related comparisons
Hubs: EHI correlations · VLT correlations
