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IWM vs. IJR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IWMIJR
YTD Return8.61%6.34%
1Y Return18.47%17.70%
3Y Return (Ann)0.87%3.28%
5Y Return (Ann)8.04%8.93%
10Y Return (Ann)8.04%9.30%
Sharpe Ratio0.940.97
Daily Std Dev21.47%20.33%
Max Drawdown-59.05%-58.15%
Current Drawdown-7.19%-3.37%

Correlation

-0.50.00.51.01.0

The correlation between IWM and IJR is 0.97, 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.

Performance

IWM vs. IJR - Performance Comparison

In the year-to-date period, IWM achieves a 8.61% return, which is significantly higher than IJR's 6.34% return. Over the past 10 years, IWM has underperformed IJR with an annualized return of 8.04%, while IJR has yielded a comparatively higher 9.30% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


500.00%600.00%700.00%800.00%900.00%AprilMayJuneJulyAugustSeptember
550.99%
857.58%
IWM
IJR

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IWM vs. IJR - Expense Ratio Comparison

IWM has a 0.19% expense ratio, which is higher than IJR's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


IWM
iShares Russell 2000 ETF
Expense ratio chart for IWM: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for IJR: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

IWM vs. IJR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Russell 2000 ETF (IWM) and iShares Core S&P Small-Cap ETF (IJR). 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.


IWM
Sharpe ratio
The chart of Sharpe ratio for IWM, currently valued at 0.94, compared to the broader market0.002.004.000.94
Sortino ratio
The chart of Sortino ratio for IWM, currently valued at 1.45, compared to the broader market-2.000.002.004.006.008.0010.0012.001.45
Omega ratio
The chart of Omega ratio for IWM, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.17
Calmar ratio
The chart of Calmar ratio for IWM, currently valued at 0.65, compared to the broader market0.005.0010.0015.000.65
Martin ratio
The chart of Martin ratio for IWM, currently valued at 4.19, compared to the broader market0.0020.0040.0060.0080.00100.004.19
IJR
Sharpe ratio
The chart of Sharpe ratio for IJR, currently valued at 0.97, compared to the broader market0.002.004.000.97
Sortino ratio
The chart of Sortino ratio for IJR, currently valued at 1.52, compared to the broader market-2.000.002.004.006.008.0010.0012.001.52
Omega ratio
The chart of Omega ratio for IJR, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.16
Calmar ratio
The chart of Calmar ratio for IJR, currently valued at 0.80, compared to the broader market0.005.0010.0015.000.80
Martin ratio
The chart of Martin ratio for IJR, currently valued at 4.56, compared to the broader market0.0020.0040.0060.0080.00100.004.56

IWM vs. IJR - Sharpe Ratio Comparison

The current IWM Sharpe Ratio is 0.94, which roughly equals the IJR Sharpe Ratio of 0.97. The chart below compares the 12-month rolling Sharpe Ratio of IWM and IJR.


Rolling 12-month Sharpe Ratio0.200.400.600.801.001.20AprilMayJuneJulyAugustSeptember
0.94
0.97
IWM
IJR

Dividends

IWM vs. IJR - Dividend Comparison

IWM's dividend yield for the trailing twelve months is around 1.22%, less than IJR's 1.27% yield.


TTM20232022202120202019201820172016201520142013
IWM
iShares Russell 2000 ETF
1.22%1.35%1.48%0.94%1.04%1.26%1.40%1.26%1.38%1.54%1.26%1.23%
IJR
iShares Core S&P Small-Cap ETF
1.27%1.31%1.41%1.53%1.11%1.44%1.58%1.20%1.21%1.48%1.23%1.00%

Drawdowns

IWM vs. IJR - Drawdown Comparison

The maximum IWM drawdown since its inception was -59.05%, roughly equal to the maximum IJR drawdown of -58.15%. Use the drawdown chart below to compare losses from any high point for IWM and IJR. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-7.19%
-3.37%
IWM
IJR

Volatility

IWM vs. IJR - Volatility Comparison

iShares Russell 2000 ETF (IWM) has a higher volatility of 6.80% compared to iShares Core S&P Small-Cap ETF (IJR) at 6.36%. This indicates that IWM's price experiences larger fluctuations and is considered to be riskier than IJR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%AprilMayJuneJulyAugustSeptember
6.80%
6.36%
IWM
IJR