IWN vs. ECML

Last updated Aug 2, 2026

IWN (iShares Russell 2000 Value ETF) and ECML (Euclidean Fundamental Value ETF) are both Small Cap Value Equities funds. IWN is passively managed, while ECML is actively managed. Over the past 3 years, IWN returned 15.76%/yr vs 12.03%/yr for ECML. Their correlation of 0.87 means they have usually moved in the same direction. IWN charges 0.24%/yr vs 0.95%/yr for ECML.

Performance

IWN vs. ECML - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Russell 2000 Value ETF (IWN) and Euclidean Fundamental Value ETF (ECML). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, IWN achieves a 22.87% return, which is significantly higher than ECML's 19.84% return.

IWN

• 1D: -0.25%
• 1M: -0.04%
• 6M: 14.84%
• YTD: 22.87%
• 1Y: 43.20%
• 3Y*: 15.76%
• 5Y*: 8.77%
• 10Y*: 10.28%
• ALL TIME*: 9.49%

ECML

• 1D: -0.08%
• 1M: 2.28%
• 6M: 13.37%
• YTD: 19.84%
• 1Y: 32.00%
• 3Y*: 12.03%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 16.95%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ECML Euclidean Fundamental Value ETF	$548.16K	$300.59K	$261.72K
IWN iShares Russell 2000 Value ETF	$142.85M	$119.46M	$143.70M

IWN vs. ECML - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
IWN iShares Russell 2000 Value ETF	22.87%	12.40%	7.63%	18.35%
ECML Euclidean Fundamental Value ETF	19.84%	6.82%	2.37%	26.00%

Correlation

The correlation between IWN and ECML is 0.80, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.80
Correlation (3Y) Balances recent behavior with more history.	0.86
Correlation (All Time) Calculated using the full available price history since May 18, 2023	0.87

The correlation between IWN and ECML has been stable across timeframes, ranging from 0.80 to 0.87 - a consistent structural relationship.

IWN vs. ECML - Sectors Allocation Comparison

Sectors	IWN	ECML
Financial Services	28.1%	-
Industrials	12.1%	13.0%
Real Estate	11.4%	-
Healthcare	10.5%	14.4%
Consumer Cyclical	9.6%	24.6%
Technology	6.8%	7.6%
Energy	6.0%	13.2%
Utilities	5.2%	1.4%
Basic Materials	4.2%	11.6%
Consumer Defensive	3.3%	12.3%
Communication Services	2.2%	3.3%

Return for Risk

IWN vs. ECML — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

IWN

IWN Risk / Return Rank: 92
IWN Sharpe Ratio Rank: 92
IWN Sortino Ratio Rank: 92
IWN Omega Ratio Rank: 89
IWN Calmar Ratio Rank: 94
IWN Martin Ratio Rank: 93

ECML

ECML Risk / Return Rank: 90
ECML Sharpe Ratio Rank: 90
ECML Sortino Ratio Rank: 92
ECML Omega Ratio Rank: 86
ECML Calmar Ratio Rank: 93
ECML Martin Ratio Rank: 88

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

IWN vs. ECML - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Russell 2000 Value ETF (IWN) and Euclidean Fundamental Value ETF (ECML). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	IWN	ECML	Difference
Sharpe ratio: Return per unit of total volatility	2.33	2.23	+0.11
Sortino ratio: Return per unit of downside risk	3.31	3.40	-0.09
Omega ratio: Gain probability vs. loss probability	1.41	1.38	+0.02
Calmar ratio: Return relative to maximum drawdown	4.79	4.46	+0.33
Martin ratio: Return relative to average drawdown	17.22	13.07	+4.14

IWN vs. ECML - Sharpe Ratio Comparison

The current IWN Sharpe Ratio is 2.33, which is comparable to the ECML Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of IWN and ECML, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

IWN vs. ECML - Drawdown Comparison

The maximum IWN drawdown since its inception was -61.55%, which is greater than ECML's maximum drawdown of -24.66%. Use the drawdown chart below to compare losses from any high point for IWN and ECML.

Drawdown Indicators

	IWN	ECML	Difference
Max Drawdown Largest peak-to-trough decline	-61.55%	-24.66%	-36.89%
Max Drawdown (1Y) Largest decline over 1 year	-8.45%	-7.01%	-1.44%
Max Drawdown (3Y) Largest decline over 3 years	-26.70%	-24.66%	-2.04%
Max Drawdown (5Y) Largest decline over 5 years	-26.70%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-46.08%	—	—
Current Drawdown Current decline from peak	-1.31%	-1.11%	-0.20%
Average Drawdown Average peak-to-trough decline	-10.10%	-5.62%	-4.48%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.35%	2.39%	-0.04%

Volatility

IWN vs. ECML - Volatility Comparison

iShares Russell 2000 Value ETF (IWN) and Euclidean Fundamental Value ETF (ECML) have volatilities of 3.21% and 3.32%, 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.

Volatility by Period

	IWN	ECML	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.21%	3.32%	-0.11%
Volatility (6M) Calculated over the trailing 6-month period	11.81%	9.21%	+2.60%
Volatility (1Y) Calculated over the trailing 1-year period	17.38%	14.05%	+3.33%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.22%	18.12%	+3.10%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.33%	18.12%	+5.21%

IWN vs. ECML - Expense Ratio Comparison

IWN has a 0.24% expense ratio, which is lower than ECML's 0.95% expense ratio.

Dividends

IWN vs. ECML - Dividend Comparison

IWN's dividend yield for the trailing twelve months is around 1.44%, more than ECML's 1.15% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ECML Euclidean Fundamental Value ETF	1.15%	1.38%	0.98%	0.77%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
IWN iShares Russell 2000 Value ETF	1.44%	1.70%	1.80%	2.04%	2.12%	1.48%	1.60%	1.92%	1.99%	1.78%	1.74%	2.15%

Frequently Asked Questions

Can I hold both IWN and ECML in my portfolio?

IWN and ECML have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, IWN or ECML?

ECML has higher volatility (3.32%) compared to IWN (3.21%). In terms of maximum drawdown, IWN dropped -61.55% vs ECML's -24.66%.

Which ETF is better, IWN or ECML?

On 3-year performance, IWN leads with 15.76% vs 12.03% for ECML. On fees, IWN is cheaper at 0.24% per year. On volatility, IWN has been the lower-risk option at 3.21%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, IWN or ECML?

Over the 3-year period, IWN has performed better with a 15.76% return vs 12.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, IWN or ECML?

IWN is cheaper with a 0.24% expense ratio, compared with 0.95% for ECML.

Which ETF pays a higher dividend yield, IWN or ECML?

IWN has the higher dividend yield at 1.44%, compared with 1.15% for ECML.

What is the main difference between IWN and ECML?

They also come from different issuers: iShares and Euclidean. Their fees differ too: 0.24% for IWN and 0.95% for ECML.

Which has better risk-adjusted returns?

IWN currently has the higher Sharpe Ratio (2.33 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.