CWB vs. ITWO
CWB (SPDR Bloomberg Barclays Convertible Securities ETF) and ITWO (Proshares Russell 2000 High Income ETF) are both exchange-traded funds - CWB is a Preferred Stock/Convertible Bonds fund tracking the Bloomberg US Convertibles Liquid Bond, while ITWO is a Derivative Income fund tracking the Cboe Russell 2000 Daily Covered Call Index. Both are passively managed. Over the past year, CWB returned 21.43% vs 31.91% for ITWO. A 0.80 correlation means they provide meaningful diversification when combined. CWB charges 0.40%/yr vs 0.55%/yr for ITWO.
Performance
CWB vs. ITWO - Performance Comparison
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Returns By Period
In the year-to-date period, CWB achieves a 14.96% return, which is significantly lower than ITWO's 20.44% return.
CWB
- 1D
- 0.33%
- 1M
- -7.84%
- 6M
- 9.22%
- YTD
- 14.96%
- 1Y
- 21.43%
- 3Y*
- 14.79%
- 5Y*
- 5.52%
- 10Y*
- 11.62%
- ALL TIME*
- 11.57%
ITWO
- 1D
- -0.63%
- 1M
- -0.78%
- 6M
- 11.95%
- YTD
- 20.44%
- 1Y
- 31.91%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 20.57%
CWB vs. ITWO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
CWB SPDR Bloomberg Barclays Convertible Securities ETF | 14.96% | 16.61% | 7.04% |
ITWO Proshares Russell 2000 High Income ETF | 20.44% | 14.25% | 3.10% |
Correlation
The correlation between CWB and ITWO is 0.76, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.76 |
Correlation (All Time) Calculated using the full available price history since Sep 5, 2024 | 0.80 |
The correlation between CWB and ITWO has been stable across timeframes, ranging from 0.76 to 0.80 - a consistent structural relationship.
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Return for Risk
CWB vs. ITWO — Risk / Return Rank
CWB
ITWO
CWB vs. ITWO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Bloomberg Barclays Convertible Securities ETF (CWB) and Proshares Russell 2000 High Income ETF (ITWO). 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.
| CWB | ITWO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.35 | ||
| Sortino ratioReturn per unit of downside risk | -0.51 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.28 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.60 | 3.27 | -0.67 |
| Martin ratioReturn relative to average drawdown | 8.03 | 10.94 | -2.91 |
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Drawdowns
CWB vs. ITWO - Drawdown Comparison
The maximum CWB drawdown since its inception was -32.06%, which is greater than ITWO's maximum drawdown of -24.77%. Use the drawdown chart below to compare losses from any high point for CWB and ITWO.
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Drawdown Indicators
| CWB | ITWO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.06% | -24.77% | -7.29% |
Max Drawdown (1Y)Largest decline over 1 year | -8.28% | -9.79% | +1.51% |
Max Drawdown (3Y)Largest decline over 3 years | -11.92% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -28.41% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -32.06% | — | — |
Current DrawdownCurrent decline from peak | -7.98% | -2.51% | -5.47% |
Average DrawdownAverage peak-to-trough decline | -6.15% | -4.88% | -1.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.67% | 2.92% | -0.25% |
Volatility
CWB vs. ITWO - Volatility Comparison
SPDR Bloomberg Barclays Convertible Securities ETF (CWB) has a higher volatility of 5.19% compared to Proshares Russell 2000 High Income ETF (ITWO) at 3.64%. This indicates that CWB's price experiences larger fluctuations and is considered to be riskier than ITWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CWB | ITWO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.19% | 3.64% | +1.55% |
Volatility (6M)Calculated over the trailing 6-month period | 13.31% | 13.85% | -0.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.01% | 18.88% | -2.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.33% | 20.33% | -7.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.62% | 20.33% | -5.71% |
CWB vs. ITWO - Expense Ratio Comparison
CWB has a 0.40% expense ratio, which is lower than ITWO's 0.55% expense ratio.
Dividends
CWB vs. ITWO - Dividend Comparison
CWB's dividend yield for the trailing twelve months is around 1.45%, less than ITWO's 7.32% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CWB SPDR Bloomberg Barclays Convertible Securities ETF | 1.45% | 1.69% | 1.85% | 1.97% | 2.21% | 1.97% | 2.34% | 3.03% | 6.17% | 4.25% | 4.60% | 7.52% |
ITWO Proshares Russell 2000 High Income ETF | 7.32% | 12.12% | 4.11% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
CWB and ITWO have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CWB has higher volatility (5.19%) compared to ITWO (3.64%). In terms of maximum drawdown, CWB dropped -32.06% vs ITWO's -24.77%.
On 1-year performance, ITWO leads with 31.91% vs 21.43% for CWB. On fees, CWB is cheaper at 0.40% per year. On volatility, ITWO has been the lower-risk option at 3.64%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, ITWO has performed better with a 31.91% return vs 21.43%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CWB is cheaper with a 0.40% expense ratio, compared with 0.55% for ITWO.
ITWO has the higher dividend yield at 7.32%, compared with 1.45% for CWB.
CWB is categorized as Preferred Stock/Convertible Bonds, while ITWO is Derivative Income. CWB tracks Bloomberg US Convertibles Liquid Bond, while ITWO tracks Cboe Russell 2000 Daily Covered Call Index. They also come from different issuers: State Street and ProShares. Their fees differ too: 0.40% for CWB and 0.55% for ITWO.
ITWO currently has the higher Sharpe Ratio (1.70 vs 1.35), 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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