ITWO vs. VOO
ITWO (Proshares Russell 2000 High Income ETF) and VOO (Vanguard S&P 500 ETF) are both exchange-traded funds - ITWO is a Derivative Income fund tracking the Cboe Russell 2000 Daily Covered Call Index, while VOO is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past year, ITWO returned 41.29% vs 28.62% for VOO. A 0.80 correlation means they provide meaningful diversification when combined. ITWO charges 0.55%/yr vs 0.03%/yr for VOO.
Performance
ITWO vs. VOO - Performance Comparison
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Returns By Period
In the year-to-date period, ITWO achieves a 19.23% return, which is significantly higher than VOO's 11.34% return.
ITWO
- 1D
- 1.46%
- 1M
- 3.76%
- YTD
- 19.23%
- 6M
- 17.25%
- 1Y
- 41.29%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
VOO
- 1D
- 0.39%
- 1M
- 4.62%
- YTD
- 11.34%
- 6M
- 11.27%
- 1Y
- 28.62%
- 3Y*
- 22.68%
- 5Y*
- 13.98%
- 10Y*
- 15.55%
ITWO vs. VOO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
ITWO Proshares Russell 2000 High Income ETF | 19.23% | 14.25% | 3.68% |
VOO Vanguard S&P 500 ETF | 11.34% | 17.82% | 7.36% |
Correlation
The correlation between ITWO and VOO is 0.78, 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 | 0.78 |
Correlation (All Time) Calculated using the full available price history since Sep 6, 2024 | 0.80 |
The correlation between ITWO and VOO has been stable across timeframes, ranging from 0.78 to 0.80 - a consistent structural relationship.
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Return for Risk
ITWO vs. VOO — Risk / Return Rank
ITWO
VOO
ITWO vs. VOO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Proshares Russell 2000 High Income ETF (ITWO) and Vanguard S&P 500 ETF (VOO). 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 | VOO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.21 | ||
| Sortino ratioReturn per unit of downside risk | -0.32 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.44 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 4.24 | 3.23 | +1.00 |
| Martin ratioReturn relative to average drawdown | 14.28 | 15.03 | -0.75 |
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 | VOO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.23 | 2.44 | -0.21 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.84 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.87 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.08 | 0.89 | +0.19 |
Drawdowns
ITWO vs. VOO - Drawdown Comparison
The maximum ITWO drawdown since its inception was -24.77%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ITWO and VOO.
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Drawdown Indicators
| ITWO | VOO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -24.77% | -33.99% | +9.22% |
Max Drawdown (1Y)Largest decline over 1 year | -9.79% | -8.90% | -0.89% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.69% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -24.52% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.99% | — |
Current DrawdownCurrent decline from peak | 0.00% | -0.32% | +0.32% |
Average DrawdownAverage peak-to-trough decline | -5.14% | -3.69% | -1.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.90% | 1.91% | +0.99% |
Volatility
ITWO vs. VOO - Volatility Comparison
Proshares Russell 2000 High Income ETF (ITWO) has a higher volatility of 5.81% compared to Vanguard S&P 500 ETF (VOO) at 2.78%. This indicates that ITWO's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ITWO | VOO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.81% | 2.78% | +3.03% |
Volatility (6M)Calculated over the trailing 6-month period | 13.42% | 8.90% | +4.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.61% | 11.80% | +6.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.48% | 16.81% | +3.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.48% | 18.00% | +2.48% |
ITWO vs. VOO - Expense Ratio Comparison
ITWO has a 0.55% expense ratio, which is higher than VOO's 0.03% expense ratio.
Dividends
ITWO vs. VOO - Dividend Comparison
ITWO's dividend yield for the trailing twelve months is around 7.47%, more than VOO's 1.02% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ITWO Proshares Russell 2000 High Income ETF | 7.47% | 12.12% | 4.11% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.02% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
Frequently Asked Questions
ITWO and VOO have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ITWO has higher volatility (5.81%) compared to VOO (2.78%). In terms of maximum drawdown, ITWO dropped -24.77% vs VOO's -33.99%.
On 1-year performance, ITWO leads with 41.29% vs 28.62% for VOO. On fees, VOO is cheaper at 0.03% per year. On volatility, VOO has been the lower-risk option at 2.78%. 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 41.29% return vs 28.62%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VOO is cheaper with a 0.03% expense ratio, compared with 0.55% for ITWO.
ITWO has the higher dividend yield at 7.47%, compared with 1.02% for VOO.
ITWO is categorized as Derivative Income, while VOO is S&P 500. ITWO tracks Cboe Russell 2000 Daily Covered Call Index, while VOO tracks S&P 500 Index. They also come from different issuers: ProShares and Vanguard. Their fees differ too: 0.55% for ITWO and 0.03% for VOO.
VOO currently has the higher Sharpe Ratio (2.44 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.
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