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IWO vs. VUG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

IWO vs. VUG - Performance Comparison

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

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
15.69%
13.91%
IWO
VUG

Returns By Period

In the year-to-date period, IWO achieves a 21.43% return, which is significantly lower than VUG's 30.43% return. Over the past 10 years, IWO has underperformed VUG with an annualized return of 8.91%, while VUG has yielded a comparatively higher 15.50% annualized return.


IWO

YTD

21.43%

1M

6.68%

6M

17.15%

1Y

36.94%

5Y (annualized)

9.08%

10Y (annualized)

8.91%

VUG

YTD

30.43%

1M

2.58%

6M

15.17%

1Y

35.89%

5Y (annualized)

19.11%

10Y (annualized)

15.50%

Key characteristics


IWOVUG
Sharpe Ratio1.772.17
Sortino Ratio2.482.83
Omega Ratio1.301.40
Calmar Ratio1.172.82
Martin Ratio9.2711.11
Ulcer Index4.09%3.29%
Daily Std Dev21.41%16.83%
Max Drawdown-60.10%-50.68%
Current Drawdown-7.33%-1.19%

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IWO vs. VUG - Expense Ratio Comparison

IWO has a 0.24% expense ratio, which is higher than VUG's 0.04% 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%.


IWO
iShares Russell 2000 Growth ETF
Expense ratio chart for IWO: 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 VUG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Correlation

-0.50.00.51.00.8

The correlation between IWO and VUG is 0.84, 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.

Risk-Adjusted Performance

IWO vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Russell 2000 Growth ETF (IWO) and Vanguard Growth ETF (VUG). 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 IWO, currently valued at 1.77, compared to the broader market0.002.004.001.772.17
The chart of Sortino ratio for IWO, currently valued at 2.48, compared to the broader market-2.000.002.004.006.008.0010.002.482.83
The chart of Omega ratio for IWO, currently valued at 1.30, compared to the broader market0.501.001.502.002.503.001.301.40
The chart of Calmar ratio for IWO, currently valued at 1.17, compared to the broader market0.005.0010.0015.001.172.82
The chart of Martin ratio for IWO, currently valued at 9.27, compared to the broader market0.0020.0040.0060.0080.00100.009.2711.11
IWO
VUG

The current IWO Sharpe Ratio is 1.77, which is comparable to the VUG Sharpe Ratio of 2.17. The chart below compares the historical Sharpe Ratios of IWO and VUG, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.77
2.17
IWO
VUG

Dividends

IWO vs. VUG - Dividend Comparison

IWO's dividend yield for the trailing twelve months is around 0.60%, more than VUG's 0.49% yield.


TTM20232022202120202019201820172016201520142013
IWO
iShares Russell 2000 Growth ETF
0.60%0.73%0.75%0.32%0.44%0.71%0.76%0.73%0.97%0.89%0.73%0.72%
VUG
Vanguard Growth ETF
0.49%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

Drawdowns

IWO vs. VUG - Drawdown Comparison

The maximum IWO drawdown since its inception was -60.10%, which is greater than VUG's maximum drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for IWO and VUG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.33%
-1.19%
IWO
VUG

Volatility

IWO vs. VUG - Volatility Comparison

iShares Russell 2000 Growth ETF (IWO) has a higher volatility of 7.55% compared to Vanguard Growth ETF (VUG) at 5.29%. This indicates that IWO's price experiences larger fluctuations and is considered to be riskier than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.55%
5.29%
IWO
VUG