ITWO vs. IWM
ITWO (Proshares Russell 2000 High Income ETF) and IWM (iShares Russell 2000 ETF) are both exchange-traded funds - ITWO is a Derivative Income fund tracking the Cboe Russell 2000 Daily Covered Call Index, while IWM is a Small Cap Blend Equities fund tracking the Russell 2000 Index. Both are passively managed. Over the past year, ITWO returned 39.04% vs 39.10% for IWM. With a 0.98 correlation, they move nearly in lockstep. ITWO charges 0.55%/yr vs 0.19%/yr for IWM.
Performance
ITWO vs. IWM - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with ITWO having a 17.52% return and IWM slightly lower at 17.07%.
ITWO
- 1D
- -1.23%
- 1M
- 3.90%
- YTD
- 17.52%
- 6M
- 16.46%
- 1Y
- 39.04%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
IWM
- 1D
- -1.37%
- 1M
- 3.52%
- YTD
- 17.07%
- 6M
- 15.83%
- 1Y
- 39.10%
- 3Y*
- 17.88%
- 5Y*
- 6.11%
- 10Y*
- 10.93%
ITWO vs. IWM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
ITWO Proshares Russell 2000 High Income ETF | 17.52% | 14.25% | 3.68% |
IWM iShares Russell 2000 ETF | 17.07% | 12.66% | 4.93% |
Correlation
The correlation between ITWO and IWM is 0.97 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Sep 6, 2024 | 0.98 |
The correlation between ITWO and IWM has been stable across timeframes, ranging from 0.97 to 0.98 - a consistent structural relationship.
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Return for Risk
ITWO vs. IWM — Risk / Return Rank
ITWO
IWM
ITWO vs. IWM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Proshares Russell 2000 High Income ETF (ITWO) and iShares Russell 2000 ETF (IWM). 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 | IWM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.06 | ||
| Sortino ratioReturn per unit of downside risk | +0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.34 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 4.00 | 3.56 | +0.44 |
| Martin ratioReturn relative to average drawdown | 13.50 | 12.64 | +0.86 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ITWO | IWM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.11 | 2.05 | +0.06 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.27 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.48 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.03 | 0.37 | +0.66 |
Drawdowns
ITWO vs. IWM - Drawdown Comparison
The maximum ITWO drawdown since its inception was -24.77%, smaller than the maximum IWM drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for ITWO and IWM.
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Drawdown Indicators
| ITWO | IWM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -24.77% | -59.05% | +34.28% |
Max Drawdown (1Y)Largest decline over 1 year | -9.79% | -11.03% | +1.24% |
Max Drawdown (3Y)Largest decline over 3 years | — | -27.50% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -31.91% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -41.13% | — |
Current DrawdownCurrent decline from peak | -1.42% | -1.49% | +0.07% |
Average DrawdownAverage peak-to-trough decline | -5.15% | -10.77% | +5.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.90% | 3.10% | -0.20% |
Volatility
ITWO vs. IWM - Volatility Comparison
Proshares Russell 2000 High Income ETF (ITWO) and iShares Russell 2000 ETF (IWM) have volatilities of 5.85% and 5.75%, 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.
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Volatility by Period
| ITWO | IWM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.85% | 5.75% | +0.10% |
Volatility (6M)Calculated over the trailing 6-month period | 13.36% | 13.53% | -0.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.63% | 19.20% | -0.57% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.48% | 22.52% | -2.04% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.48% | 23.04% | -2.56% |
ITWO vs. IWM - Expense Ratio Comparison
ITWO has a 0.55% expense ratio, which is higher than IWM's 0.19% expense ratio.
Dividends
ITWO vs. IWM - Dividend Comparison
ITWO's dividend yield for the trailing twelve months is around 7.58%, more than IWM's 0.88% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ITWO Proshares Russell 2000 High Income ETF | 7.58% | 12.12% | 4.11% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
IWM iShares Russell 2000 ETF | 0.88% | 1.04% | 1.15% | 1.35% | 1.48% | 0.94% | 1.04% | 1.26% | 1.40% | 1.26% | 1.38% | 1.54% |
Frequently Asked Questions
With a correlation of 0.97, ITWO and IWM move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
ITWO has higher volatility (5.85%) compared to IWM (5.75%). In terms of maximum drawdown, ITWO dropped -24.77% vs IWM's -59.05%.
On 1-year performance, IWM leads with 39.10% vs 39.04% for ITWO. On fees, IWM is cheaper at 0.19% per year. On volatility, IWM has been the lower-risk option at 5.75%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, IWM has performed better with a 39.10% return vs 39.04%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IWM is cheaper with a 0.19% expense ratio, compared with 0.55% for ITWO.
ITWO has the higher dividend yield at 7.58%, compared with 0.88% for IWM.
ITWO is categorized as Derivative Income, while IWM is Small Cap Blend Equities. ITWO tracks Cboe Russell 2000 Daily Covered Call Index, while IWM tracks Russell 2000 Index. They also come from different issuers: ProShares and iShares. Their fees differ too: 0.55% for ITWO and 0.19% for IWM.
ITWO currently has the higher Sharpe Ratio (2.11 vs 2.05), 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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