ECML vs. VTWV

Last updated Aug 2, 2026

ECML (Euclidean Fundamental Value ETF) and VTWV (Vanguard Russell 2000 Value ETF) are both Small Cap Value Equities funds. ECML is actively managed, while VTWV is passively managed. Over the past 3 years, ECML returned 12.03%/yr vs 16.02%/yr for VTWV. Their correlation of 0.86 means they have usually moved in the same direction. ECML charges 0.95%/yr vs 0.06%/yr for VTWV.

Performance

ECML vs. VTWV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Euclidean Fundamental Value ETF (ECML) and Vanguard Russell 2000 Value ETF (VTWV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ECML achieves a 19.84% return, which is significantly lower than VTWV's 22.89% return.

ECML

• 1D: -0.08%
• 1M: 2.28%
• 6M: 13.37%
• YTD: 19.84%
• 1Y: 32.00%
• 3Y*: 12.03%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 16.95%

VTWV

• 1D: -0.38%
• 1M: -0.07%
• 6M: 15.09%
• YTD: 22.89%
• 1Y: 43.58%
• 3Y*: 16.02%
• 5Y*: 9.00%
• 10Y*: 10.42%
• ALL TIME*: 10.75%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ECML Euclidean Fundamental Value ETF	$548.16K	$300.59K	$261.72K
VTWV Vanguard Russell 2000 Value ETF	$6.82M	$6.63M	$5.67M

ECML vs. VTWV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
ECML Euclidean Fundamental Value ETF	19.84%	6.82%	2.37%	26.00%
VTWV Vanguard Russell 2000 Value ETF	22.89%	12.72%	7.83%	18.88%

Correlation

The correlation between ECML and VTWV is 0.81, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.81
Correlation (3Y) Balances recent behavior with more history.	0.86
Correlation (All Time) Calculated using the full available price history since May 18, 2023	0.86

The correlation between ECML and VTWV has been stable across timeframes, ranging from 0.81 to 0.86 - a consistent structural relationship.

ECML vs. VTWV - Sectors Allocation Comparison

Sectors	ECML	VTWV
Consumer Cyclical	24.6%	10.1%
Healthcare	14.4%	10.9%
Energy	13.2%	5.6%
Industrials	13.0%	12.0%
Consumer Defensive	12.3%	3.2%
Basic Materials	11.6%	4.2%
Technology	7.6%	7.3%
Communication Services	3.3%	2.5%
Utilities	1.4%	5.1%
Financial Services	-	27.6%
Real Estate	-	11.3%

Return for Risk

ECML vs. VTWV — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ECML

ECML Risk / Return Rank: 90
ECML Sharpe Ratio Rank: 90
ECML Sortino Ratio Rank: 92
ECML Omega Ratio Rank: 86
ECML Calmar Ratio Rank: 93
ECML Martin Ratio Rank: 88

VTWV

VTWV Risk / Return Rank: 92
VTWV Sharpe Ratio Rank: 91
VTWV Sortino Ratio Rank: 91
VTWV Omega Ratio Rank: 88
VTWV Calmar Ratio Rank: 94
VTWV Martin Ratio Rank: 93

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

ECML vs. VTWV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Euclidean Fundamental Value ETF (ECML) and Vanguard Russell 2000 Value ETF (VTWV). 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.

	ECML	VTWV	Difference
Sharpe ratio: Return per unit of total volatility	2.23	2.31	-0.08
Sortino ratio: Return per unit of downside risk	3.40	3.28	+0.13
Omega ratio: Gain probability vs. loss probability	1.38	1.40	-0.01
Calmar ratio: Return relative to maximum drawdown	4.46	4.73	-0.27
Martin ratio: Return relative to average drawdown	13.07	17.24	-4.17

ECML vs. VTWV - Sharpe Ratio Comparison

The current ECML Sharpe Ratio is 2.23, which is comparable to the VTWV Sharpe Ratio of 2.31. The chart below compares the historical Sharpe Ratios of ECML and VTWV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ECML vs. VTWV - Drawdown Comparison

The maximum ECML drawdown since its inception was -24.66%, smaller than the maximum VTWV drawdown of -45.73%. Use the drawdown chart below to compare losses from any high point for ECML and VTWV.

Drawdown Indicators

	ECML	VTWV	Difference
Max Drawdown Largest peak-to-trough decline	-24.66%	-45.73%	+21.07%
Max Drawdown (1Y) Largest decline over 1 year	-7.01%	-8.64%	+1.63%
Max Drawdown (3Y) Largest decline over 3 years	-24.66%	-26.72%	+2.06%
Max Drawdown (5Y) Largest decline over 5 years	—	-26.72%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-45.73%	—
Current Drawdown Current decline from peak	-1.11%	-1.38%	+0.27%
Average Drawdown Average peak-to-trough decline	-5.62%	-7.74%	+2.12%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.39%	2.37%	+0.02%

Volatility

ECML vs. VTWV - Volatility Comparison

Euclidean Fundamental Value ETF (ECML) and Vanguard Russell 2000 Value ETF (VTWV) have volatilities of 3.32% and 3.31%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ECML	VTWV	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.32%	3.31%	+0.01%
Volatility (6M) Calculated over the trailing 6-month period	9.21%	12.16%	-2.95%
Volatility (1Y) Calculated over the trailing 1-year period	14.05%	17.75%	-3.70%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.12%	21.53%	-3.41%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.12%	23.48%	-5.36%

ECML vs. VTWV - Expense Ratio Comparison

ECML has a 0.95% expense ratio, which is higher than VTWV's 0.06% expense ratio.

Dividends

ECML vs. VTWV - Dividend Comparison

ECML's dividend yield for the trailing twelve months is around 1.15%, less than VTWV's 1.60% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ECML Euclidean Fundamental Value ETF	1.15%	1.38%	0.98%	0.77%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VTWV Vanguard Russell 2000 Value ETF	1.60%	1.79%	1.78%	2.02%	2.07%	1.60%	1.49%	1.82%	2.04%	1.63%	1.57%	2.03%

Frequently Asked Questions

Can I hold both ECML and VTWV in my portfolio?

ECML and VTWV have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ECML or VTWV?

ECML has higher volatility (3.32%) compared to VTWV (3.31%). In terms of maximum drawdown, ECML dropped -24.66% vs VTWV's -45.73%.

Which ETF is better, ECML or VTWV?

On 3-year performance, VTWV leads with 16.02% vs 12.03% for ECML. On fees, VTWV is cheaper at 0.06% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ECML or VTWV?

Over the 3-year period, VTWV has performed better with a 16.02% return vs 12.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ECML or VTWV?

VTWV is cheaper with a 0.06% expense ratio, compared with 0.95% for ECML.

Which ETF pays a higher dividend yield, ECML or VTWV?

VTWV has the higher dividend yield at 1.60%, compared with 1.15% for ECML.

What is the main difference between ECML and VTWV?

They also come from different issuers: Euclidean and Vanguard. Their fees differ too: 0.95% for ECML and 0.06% for VTWV.

Which has better risk-adjusted returns?

VTWV currently has the higher Sharpe Ratio (2.31 vs 2.23), 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.