High Yield (HYG) vs Short Treasury (SHY)
Live side-by-side comparison with current values, changes, and key statistics.
Why This Comparison Matters
HYG/SHY strips out most duration to isolate HY credit risk premium. HYG outperformance signals credit spreads tightening and risk-on appetite. SHY outperformance signals credit stress or safe-haven demand even in short-duration form. The ratio is a very clean credit-risk gauge.
Cross-Asset Analysis
To orient the reader: High Yield Credit (HYG) represents iShares iBoxx High Yield Corporate Bond ETF and 1-3Y Treasury (SHY) represents iShares 1-3 Year Treasury Bond ETF, short duration, which is why this comparison sits in the cross asset pair category on Convex. Idiosyncratic shocks in either High Yield Credit (HYG) or 1-3Y Treasury (SHY) produce spread moves independent of the broader macro story. Watching High Yield Credit (HYG) in tandem with 1-3Y Treasury (SHY) provides insight into how macro factors transmit across different parts of the global market structure.
Tactical allocators rotate across the High Yield Credit (HYG)-1-3Y Treasury (SHY) spread based on where each asset sits relative to its fundamental anchor. Risk-off regimes tighten correlations and compress the High Yield Credit (HYG)-1-3Y Treasury (SHY) spread into tighter ranges. In risk-on periods, correlations across asset classes settle toward historical values, and the High Yield Credit (HYG)-1-3Y Treasury (SHY) spread tends to obey its historical fair value.
High Yield Credit (HYG) and 1-3Y Treasury (SHY) come from different asset classes, and the linkage between them reveals cross-asset macro dynamics that neither alone can express. Policy interventions can mechanically reshape the High Yield Credit (HYG)-1-3Y Treasury (SHY) spread, most notably when central banks purchase specific asset classes.
90-Day Statistics
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Frequently Asked Questions
What is the relationship between High Yield Credit (HYG) and 1-3Y Treasury (SHY)?+
High Yield Credit (HYG) and 1-3Y Treasury (SHY) are connected through shared macro drivers across asset classes. When the dominant macro driver shifts, both respond, though with different sensitivities and at different speeds. The spread between High Yield Credit (HYG) and 1-3Y Treasury (SHY) captures the specific macro signal that flows through this relationship.
When does High Yield Credit (HYG) typically lead 1-3Y Treasury (SHY)?+
High Yield Credit (HYG) tends to lead 1-3Y Treasury (SHY) during macro regime changes, where the more liquid asset moves first. In those periods, moves in High Yield Credit (HYG) precede corresponding moves in 1-3Y Treasury (SHY) by days to weeks, depending on the transmission channel and the depth of each market.
How are High Yield Credit (HYG) and 1-3Y Treasury (SHY) historically correlated?+
Long-run correlation between High Yield Credit (HYG) and 1-3Y Treasury (SHY) varies by regime. Cross-asset correlations vary by regime, tending to tighten in stress and loosen during normal conditions. The correlation is not stable: it shifts with macro conditions, and the periods when it breaks down are often the most informative moments in the High Yield Credit (HYG)-1-3Y Treasury (SHY) relationship.
What macro conditions drive divergence between High Yield Credit (HYG) and 1-3Y Treasury (SHY)?+
Divergence between High Yield Credit (HYG) and 1-3Y Treasury (SHY) typically arises from idiosyncratic shocks in one asset, policy interventions, or structural shifts in demand. When one asset's idiosyncratic drivers dominate, the spread moves in ways that the common macro story does not predict, which is usually a signal to look more carefully at the specific drivers at work in High Yield Credit (HYG) or 1-3Y Treasury (SHY).
Is High Yield Credit (HYG) a hedge for 1-3Y Treasury (SHY)?+
Cross-asset hedges between High Yield Credit (HYG) and 1-3Y Treasury (SHY) work when the macro drivers of the two assets are sufficiently decorrelated, which depends on the regime and therefore needs to be reviewed as conditions change. Effective hedging requires matching the hedge to the specific risk being protected, and the High Yield Credit (HYG)-1-3Y Treasury (SHY) pair is best stress-tested under scenarios the investor most worries about before being sized into a real portfolio.
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Data sourced from FRED, CoinGecko, CBOE, and other providers. This page is for informational purposes only and does not constitute financial advice. Past performance does not guarantee future results.