ITWO vs. ^SP600

Last updated Apr 2, 2026

Compare and contrast key facts about Proshares Russell 2000 High Income ETF (ITWO) and S&P 600 (^SP600).

ITWO is a passively managed fund by ProShares that tracks the performance of the Cboe Russell 2000 Daily Covered Call Index. It was launched on Sep 4, 2024.

Performance

ITWO vs. ^SP600 - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Proshares Russell 2000 High Income ETF (ITWO) and S&P 600 (^SP600). The values are adjusted to include any dividend payments, if applicable.

ITWO vs. ^SP600 - Yearly Performance Comparison

	2026 (YTD)	2025	2024
ITWO Proshares Russell 2000 High Income ETF	2.68%	14.25%	3.68%
^SP600 S&P 600	4.02%	4.23%	3.42%

Returns By Period

In the year-to-date period, ITWO achieves a 2.68% return, which is significantly lower than ^SP600's 4.02% return.

ITWO

• 1D: 1.06%
• 1M: -3.80%
• YTD: 2.68%
• 6M: 4.87%
• 1Y: 26.61%
• 3Y*: —
• 5Y*: —
• 10Y*: —

^SP600

• 1D: 0.36%
• 1M: -2.99%
• YTD: 4.02%
• 6M: 4.70%
• 1Y: 17.48%
• 3Y*: 8.88%
• 5Y*: 2.64%
• 10Y*: 8.41%

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

Return for Risk

ITWO vs. ^SP600 — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ITWO

ITWO Risk / Return Rank: 66
ITWO Sharpe Ratio Rank: 66
ITWO Sortino Ratio Rank: 65
ITWO Omega Ratio Rank: 57
ITWO Calmar Ratio Rank: 73
ITWO Martin Ratio Rank: 67

^SP600

^SP600 Risk / Return Rank: 48
^SP600 Sharpe Ratio Rank: 45
^SP600 Sortino Ratio Rank: 46
^SP600 Omega Ratio Rank: 43
^SP600 Calmar Ratio Rank: 48
^SP600 Martin Ratio Rank: 58

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ITWO vs. ^SP600 - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Proshares Russell 2000 High Income ETF (ITWO) and S&P 600 (^SP600). 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.

	ITWO	^SP600	Difference
Sharpe ratio Return per unit of total volatility	1.22	0.77	+0.45
Sortino ratio Return per unit of downside risk	1.71	1.23	+0.48
Omega ratio Gain probability vs. loss probability	1.22	1.16	+0.06
Calmar ratio Return relative to maximum drawdown	2.04	1.30	+0.75
Martin ratio Return relative to average drawdown	7.27	5.13	+2.13
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ITWO vs. ^SP600 - Sharpe Ratio Comparison

The current ITWO Sharpe Ratio is 1.22, which is higher than the ^SP600 Sharpe Ratio of 0.77. The chart below compares the historical Sharpe Ratios of ITWO and ^SP600, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	ITWO	^SP600	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.22	0.77	+0.45
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.12	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.36	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.65	0.44	+0.20

Correlation

The correlation between ITWO and ^SP600 is 0.93, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

ITWO vs. ^SP600 - Drawdown Comparison

The maximum ITWO drawdown since its inception was -24.77%, smaller than the maximum ^SP600 drawdown of -59.17%. Use the drawdown chart below to compare losses from any high point for ITWO and ^SP600.

Drawdown Indicators

	ITWO	^SP600	Difference
Max Drawdown Largest peak-to-trough decline	-24.77%	-59.17%	+34.40%
Max Drawdown (1Y) Largest decline over 1 year	-13.06%	-8.94%	-4.12%
Max Drawdown (5Y) Largest decline over 5 years	—	-28.39%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-45.77%	—
Current Drawdown Current decline from peak	-6.08%	-5.21%	-0.87%
Average Drawdown Average peak-to-trough decline	-5.58%	-9.31%	+3.73%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.67%	3.76%	-0.09%

Volatility

ITWO vs. ^SP600 - Volatility Comparison

Proshares Russell 2000 High Income ETF (ITWO) has a higher volatility of 7.18% compared to S&P 600 (^SP600) at 6.24%. This indicates that ITWO's price experiences larger fluctuations and is considered to be riskier than ^SP600 based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ITWO	^SP600	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.18%	6.24%	+0.94%
Volatility (6M) Calculated over the trailing 6-month period	14.59%	13.06%	+1.53%
Volatility (1Y) Calculated over the trailing 1-year period	21.89%	22.75%	-0.86%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.74%	21.56%	-0.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.74%	23.18%	-2.44%