CTWO vs. RLY
CTWO (COtwo Advisors Physical European Carbon Allowance Trust) and RLY (State Street Multi-Asset Real Return ETF) are both exchange-traded funds - CTWO is a Commodities fund tracking the No Index (Physical Commodity), while RLY is a Global Allocation fund tracking the Bloomberg U.S. Government Inflation-Linked Bond Index. Both are passively managed. Over the past year, CTWO returned 11.47% vs 27.64% for RLY. Their 0.12 correlation means their historical movements had little consistent relationship. CTWO charges 0.79%/yr vs 0.50%/yr for RLY.
Performance
CTWO vs. RLY - Performance Comparison
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Returns By Period
In the year-to-date period, CTWO achieves a -8.19% return, which is significantly lower than RLY's 15.77% return.
CTWO
- 1D
- -0.68%
- 1M
- 7.21%
- 6M
- -15.47%
- YTD
- -8.19%
- 1Y
- 11.47%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- -3.72%
RLY
- 1D
- -0.46%
- 1M
- 4.07%
- 6M
- 7.44%
- YTD
- 15.77%
- 1Y
- 27.64%
- 3Y*
- 12.72%
- 5Y*
- 10.48%
- 10Y*
- 8.27%
- ALL TIME*
- 4.79%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $84.57K | $60.56K | $22.12K | |
| $4.60M | $7.84M | $7.75M |
CTWO vs. RLY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
CTWO COtwo Advisors Physical European Carbon Allowance Trust | -8.19% | 4.42% |
RLY State Street Multi-Asset Real Return ETF | 15.77% | 9.81% |
Correlation
The correlation between CTWO and RLY is 0.08, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.08 |
Correlation (All Time) Calculated using the full available price history since Jun 20, 2025 | 0.12 |
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Return for Risk
CTWO vs. RLY — Risk / Return Rank
CTWO
RLY
CTWO vs. RLY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for COtwo Advisors Physical European Carbon Allowance Trust (CTWO) and State Street Multi-Asset Real Return ETF (RLY). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CTWO | RLY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.25 | ||
| Sortino ratioReturn per unit of downside risk | -2.88 | ||
| Omega ratioGain probability vs. loss probability | 1.10 | 1.48 | -0.38 |
| Calmar ratioReturn relative to maximum drawdown | 0.33 | 3.66 | -3.32 |
| Martin ratioReturn relative to average drawdown | 0.62 | 12.77 | -12.15 |
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Drawdowns
CTWO vs. RLY - Drawdown Comparison
The maximum CTWO drawdown since its inception was -30.13%, smaller than the maximum RLY drawdown of -37.75%. Use the drawdown chart below to compare losses from any high point for CTWO and RLY.
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Drawdown Indicators
| CTWO | RLY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.13% | -37.75% | +7.62% |
Max Drawdown (1Y)Largest decline over 1 year | -30.13% | -7.54% | -22.59% |
Max Drawdown (3Y)Largest decline over 3 years | — | -10.08% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -18.94% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.17% | — |
Current DrawdownCurrent decline from peak | -18.64% | -2.74% | -15.90% |
Average DrawdownAverage peak-to-trough decline | -13.39% | -9.40% | -3.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 16.15% | 2.16% | +13.99% |
Volatility
CTWO vs. RLY - Volatility Comparison
COtwo Advisors Physical European Carbon Allowance Trust (CTWO) has a higher volatility of 8.32% compared to State Street Multi-Asset Real Return ETF (RLY) at 2.68%. This indicates that CTWO's price experiences larger fluctuations and is considered to be riskier than RLY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CTWO | RLY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.32% | 2.68% | +5.64% |
Volatility (6M)Calculated over the trailing 6-month period | 22.58% | 8.44% | +14.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 28.20% | 10.60% | +17.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.03% | 13.46% | +15.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 29.03% | 13.80% | +15.23% |
CTWO vs. RLY - Expense Ratio Comparison
CTWO has a 0.79% expense ratio, which is higher than RLY's 0.50% expense ratio.
Dividends
CTWO vs. RLY - Dividend Comparison
CTWO has not paid dividends to shareholders, while RLY's dividend yield for the trailing twelve months is around 3.06%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CTWO COtwo Advisors Physical European Carbon Allowance Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
RLY State Street Multi-Asset Real Return ETF | 3.06% | 3.24% | 3.31% | 3.71% | 5.66% | 12.15% | 2.16% | 3.45% | 2.76% | 1.85% | 2.07% | 1.80% |
Frequently Asked Questions
CTWO and RLY have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CTWO has higher volatility (8.32%) compared to RLY (2.68%). In terms of maximum drawdown, CTWO dropped -30.13% vs RLY's -37.75%.
On 1-year performance, RLY leads with 27.64% vs 11.47% for CTWO. On fees, RLY is cheaper at 0.50% per year. On volatility, RLY has been the lower-risk option at 2.68%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, RLY has performed better with a 27.64% return vs 11.47%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
RLY is cheaper with a 0.50% expense ratio, compared with 0.79% for CTWO.
RLY has the higher dividend yield at 3.06%, compared with 0.00% for CTWO.
CTWO is categorized as Commodities, while RLY is Global Allocation. CTWO tracks No Index (Physical Commodity), while RLY tracks Bloomberg U.S. Government Inflation-Linked Bond Index. They also come from different issuers: COtwo Advisors and State Street. Their fees differ too: 0.79% for CTWO and 0.50% for RLY.
RLY currently has the higher Sharpe Ratio (2.61 vs 0.35), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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