PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
IWN vs. IWS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IWN and IWS is 0.91, 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.


-0.50.00.51.00.9

Performance

IWN vs. IWS - Performance Comparison

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

450.00%500.00%550.00%600.00%650.00%700.00%750.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
525.84%
712.83%
IWN
IWS

Key characteristics

Sharpe Ratio

IWN:

0.46

IWS:

1.04

Sortino Ratio

IWN:

0.81

IWS:

1.50

Omega Ratio

IWN:

1.10

IWS:

1.18

Calmar Ratio

IWN:

0.72

IWS:

1.72

Martin Ratio

IWN:

2.34

IWS:

5.77

Ulcer Index

IWN:

4.17%

IWS:

2.38%

Daily Std Dev

IWN:

21.01%

IWS:

13.15%

Max Drawdown

IWN:

-61.55%

IWS:

-62.40%

Current Drawdown

IWN:

-9.23%

IWS:

-7.98%

Returns By Period

In the year-to-date period, IWN achieves a 7.39% return, which is significantly lower than IWS's 12.24% return. Over the past 10 years, IWN has underperformed IWS with an annualized return of 7.08%, while IWS has yielded a comparatively higher 7.86% annualized return.


IWN

YTD

7.39%

1M

-4.71%

6M

10.36%

1Y

7.52%

5Y*

7.03%

10Y*

7.08%

IWS

YTD

12.24%

1M

-4.35%

6M

7.28%

1Y

12.51%

5Y*

8.35%

10Y*

7.86%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


IWN vs. IWS - Expense Ratio Comparison

Both IWN and IWS have an expense ratio of 0.24%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


IWN
iShares Russell 2000 Value ETF
Expense ratio chart for IWN: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%
Expense ratio chart for IWS: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%

Risk-Adjusted Performance

IWN vs. IWS - Risk-Adjusted Performance Comparison

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


Sharpe ratio
The chart of Sharpe ratio for IWN, currently valued at 0.46, compared to the broader market0.002.004.000.461.04
The chart of Sortino ratio for IWN, currently valued at 0.81, compared to the broader market-2.000.002.004.006.008.0010.000.811.50
The chart of Omega ratio for IWN, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.18
The chart of Calmar ratio for IWN, currently valued at 0.72, compared to the broader market0.005.0010.0015.000.721.72
The chart of Martin ratio for IWN, currently valued at 2.34, compared to the broader market0.0020.0040.0060.0080.00100.002.345.77
IWN
IWS

The current IWN Sharpe Ratio is 0.46, which is lower than the IWS Sharpe Ratio of 1.04. The chart below compares the historical Sharpe Ratios of IWN and IWS, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.46
1.04
IWN
IWS

Dividends

IWN vs. IWS - Dividend Comparison

IWN's dividend yield for the trailing twelve months is around 2.35%, more than IWS's 1.97% yield.


TTM20232022202120202019201820172016201520142013
IWN
iShares Russell 2000 Value ETF
2.35%2.04%2.12%1.48%1.60%1.92%1.99%1.78%1.74%2.15%1.88%1.77%
IWS
iShares Russell Midcap Value ETF
1.97%1.76%1.93%1.39%1.87%1.96%2.53%1.96%2.10%2.14%1.85%1.71%

Drawdowns

IWN vs. IWS - Drawdown Comparison

The maximum IWN drawdown since its inception was -61.55%, roughly equal to the maximum IWS drawdown of -62.40%. Use the drawdown chart below to compare losses from any high point for IWN and IWS. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.23%
-7.98%
IWN
IWS

Volatility

IWN vs. IWS - Volatility Comparison

iShares Russell 2000 Value ETF (IWN) has a higher volatility of 5.95% compared to iShares Russell Midcap Value ETF (IWS) at 4.25%. This indicates that IWN's price experiences larger fluctuations and is considered to be riskier than IWS 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%JulyAugustSeptemberOctoberNovemberDecember
5.95%
4.25%
IWN
IWS
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab