ITWO vs. WTPI
ITWO (Proshares Russell 2000 High Income ETF) and WTPI (WisdomTree Equity Premium Income Fund) are both Derivative Income funds - ITWO tracks the Cboe Russell 2000 Daily Covered Call Index while WTPI tracks the Volos U.S. Large Cap Target 2.5% PutWrite Index. Both are passively managed. Over the past year, ITWO returned 39.04% vs 18.84% for WTPI. A 0.68 correlation means they provide meaningful diversification when combined. ITWO charges 0.55%/yr vs 0.44%/yr for WTPI.
Performance
ITWO vs. WTPI - Performance Comparison
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Returns By Period
In the year-to-date period, ITWO achieves a 17.52% return, which is significantly higher than WTPI's 4.26% return.
ITWO
- 1D
- -1.23%
- 1M
- 3.90%
- YTD
- 17.52%
- 6M
- 16.46%
- 1Y
- 39.04%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
WTPI
- 1D
- -0.18%
- 1M
- 1.94%
- YTD
- 4.26%
- 6M
- 4.65%
- 1Y
- 18.84%
- 3Y*
- 13.62%
- 5Y*
- 9.92%
- 10Y*
- 8.30%
ITWO vs. WTPI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
ITWO Proshares Russell 2000 High Income ETF | 17.52% | 14.25% | 3.68% |
WTPI WisdomTree Equity Premium Income Fund | 4.26% | 14.45% | 5.42% |
Correlation
The correlation between ITWO and WTPI is 0.64, 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 | 0.64 |
Correlation (All Time) Calculated using the full available price history since Sep 6, 2024 | 0.68 |
The correlation between ITWO and WTPI has been stable across timeframes, ranging from 0.64 to 0.68 - a consistent structural relationship.
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Return for Risk
ITWO vs. WTPI — Risk / Return Rank
ITWO
WTPI
ITWO vs. WTPI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Proshares Russell 2000 High Income ETF (ITWO) and WisdomTree Equity Premium Income Fund (WTPI). 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 | WTPI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.02 | ||
| Sortino ratioReturn per unit of downside risk | -0.12 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.43 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 4.00 | 2.65 | +1.36 |
| Martin ratioReturn relative to average drawdown | 13.50 | 12.69 | +0.81 |
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 | WTPI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.11 | 2.14 | -0.02 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.82 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.63 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.03 | 0.65 | +0.38 |
Drawdowns
ITWO vs. WTPI - Drawdown Comparison
The maximum ITWO drawdown since its inception was -24.77%, smaller than the maximum WTPI drawdown of -28.40%. Use the drawdown chart below to compare losses from any high point for ITWO and WTPI.
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Drawdown Indicators
| ITWO | WTPI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -24.77% | -28.40% | +3.63% |
Max Drawdown (1Y)Largest decline over 1 year | -9.79% | -7.15% | -2.64% |
Max Drawdown (3Y)Largest decline over 3 years | — | -15.26% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -16.56% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -28.40% | — |
Current DrawdownCurrent decline from peak | -1.42% | -0.27% | -1.15% |
Average DrawdownAverage peak-to-trough decline | -5.15% | -3.44% | -1.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.90% | 1.49% | +1.41% |
Volatility
ITWO vs. WTPI - Volatility Comparison
Proshares Russell 2000 High Income ETF (ITWO) has a higher volatility of 5.85% compared to WisdomTree Equity Premium Income Fund (WTPI) at 0.90%. This indicates that ITWO's price experiences larger fluctuations and is considered to be riskier than WTPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ITWO | WTPI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.85% | 0.90% | +4.95% |
Volatility (6M)Calculated over the trailing 6-month period | 13.36% | 7.00% | +6.36% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.63% | 8.86% | +9.77% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.48% | 12.13% | +8.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.48% | 13.22% | +7.26% |
ITWO vs. WTPI - Expense Ratio Comparison
ITWO has a 0.55% expense ratio, which is higher than WTPI's 0.44% expense ratio.
Dividends
ITWO vs. WTPI - Dividend Comparison
ITWO's dividend yield for the trailing twelve months is around 7.58%, less than WTPI's 12.06% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
WTPI WisdomTree Equity Premium Income Fund | 12.06% | 13.18% | 11.99% | 8.94% | 3.27% | 0.00% | 1.43% | 1.47% | 6.46% | 3.52% | 2.27% |
Frequently Asked Questions
ITWO and WTPI have a correlation of 0.64, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ITWO has higher volatility (5.85%) compared to WTPI (0.90%). In terms of maximum drawdown, ITWO dropped -24.77% vs WTPI's -28.40%.
On 1-year performance, ITWO leads with 39.04% vs 18.84% for WTPI. On fees, WTPI is cheaper at 0.44% per year. On volatility, WTPI has been the lower-risk option at 0.90%. 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 39.04% return vs 18.84%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
WTPI is cheaper with a 0.44% expense ratio, compared with 0.55% for ITWO.
WTPI has the higher dividend yield at 12.06%, compared with 7.58% for ITWO.
ITWO tracks Cboe Russell 2000 Daily Covered Call Index, while WTPI tracks Volos U.S. Large Cap Target 2.5% PutWrite Index. They also come from different issuers: ProShares and WisdomTree. Their fees differ too: 0.55% for ITWO and 0.44% for WTPI.
WTPI currently has the higher Sharpe Ratio (2.14 vs 2.11), 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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