O vs. IWN
O (Realty Income Corporation) is a stock, while IWN (iShares Russell 2000 Value ETF) is Small Cap Value Equities fund tracking the Russell 2000 Value Index. Over the past 10 years, O returned 4.43%/yr vs 10.05%/yr for IWN. A 0.50 correlation means they provide meaningful diversification when combined.
Performance
O vs. IWN - Performance Comparison
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Returns By Period
In the year-to-date period, O achieves a 8.78% return, which is significantly lower than IWN's 16.90% return. Over the past 10 years, O has underperformed IWN with an annualized return of 4.43%, while IWN has yielded a comparatively higher 10.05% annualized return.
O
- 1D
- -1.36%
- 1M
- -2.66%
- YTD
- 8.78%
- 6M
- 7.49%
- 1Y
- 13.14%
- 3Y*
- 5.19%
- 5Y*
- 2.41%
- 10Y*
- 4.43%
IWN
- 1D
- 0.86%
- 1M
- -0.18%
- YTD
- 16.90%
- 6M
- 16.09%
- 1Y
- 39.09%
- 3Y*
- 16.65%
- 5Y*
- 6.08%
- 10Y*
- 10.05%
O vs. IWN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
O Realty Income Corporation | 8.78% | 12.20% | -2.11% | -4.55% | -7.38% | 23.95% | -11.60% | 21.27% | 15.94% | 3.67% |
IWN iShares Russell 2000 Value ETF | 16.90% | 12.40% | 7.63% | 14.56% | -14.77% | 27.96% | 4.66% | 22.01% | -13.01% | 7.69% |
Correlation
The correlation between O and IWN is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.32 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.41 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.36 |
Correlation (All Time) Calculated using the full available price history since Jul 28, 2000 | 0.50 |
Over the past year, the correlation between O and IWN has dropped to 0.22 - well below their long-term average of 0.50, suggesting their price drivers have been diverging.
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Return for Risk
O vs. IWN — Risk / Return Rank
O
IWN
O vs. IWN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Realty Income Corporation (O) and iShares Russell 2000 Value ETF (IWN). 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.
| O | IWN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.37 | ||
| Sortino ratioReturn per unit of downside risk | -1.89 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.37 | -0.23 |
| Calmar ratioReturn relative to maximum drawdown | 1.19 | 4.65 | -3.46 |
| Martin ratioReturn relative to average drawdown | 2.93 | 15.56 | -12.63 |
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
| O | IWN | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.82 | 2.19 | -1.37 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.13 | 0.28 | -0.16 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.17 | 0.43 | -0.26 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.48 | 0.39 | +0.10 |
Drawdowns
O vs. IWN - Drawdown Comparison
The maximum O drawdown since its inception was -48.45%, smaller than the maximum IWN drawdown of -61.55%. Use the drawdown chart below to compare losses from any high point for O and IWN.
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Drawdown Indicators
| O | IWN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -48.45% | -61.55% | +13.10% |
Max Drawdown (1Y)Largest decline over 1 year | -11.10% | -8.45% | -2.65% |
Max Drawdown (3Y)Largest decline over 3 years | -26.49% | -26.70% | +0.21% |
Max Drawdown (5Y)Largest decline over 5 years | -34.48% | -26.70% | -7.78% |
Max Drawdown (10Y)Largest decline over 10 years | -48.28% | -46.08% | -2.20% |
Current DrawdownCurrent decline from peak | -10.00% | -1.91% | -8.09% |
Average DrawdownAverage peak-to-trough decline | -9.21% | -10.15% | +0.94% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.50% | 2.52% | +1.98% |
Volatility
O vs. IWN - Volatility Comparison
The current volatility for Realty Income Corporation (O) is 4.81%, while iShares Russell 2000 Value ETF (IWN) has a volatility of 5.31%. This indicates that O experiences smaller price fluctuations and is considered to be less risky than IWN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| O | IWN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.81% | 5.31% | -0.50% |
Volatility (6M)Calculated over the trailing 6-month period | 11.89% | 12.13% | -0.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.10% | 17.99% | -1.89% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.89% | 21.47% | -2.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.64% | 23.41% | +2.23% |
Dividends
O vs. IWN - Dividend Comparison
O's dividend yield for the trailing twelve months is around 5.39%, more than IWN's 1.46% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IWN iShares Russell 2000 Value ETF | 1.46% | 1.70% | 1.80% | 2.04% | 2.12% | 1.48% | 1.60% | 1.92% | 1.99% | 1.78% | 1.74% | 2.15% |
O Realty Income Corporation | 5.39% | 6.19% | 5.37% | 5.33% | 4.68% | 3.87% | 4.51% | 3.69% | 4.19% | 4.45% | 4.18% | 4.41% |
Frequently Asked Questions
O and IWN have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IWN has higher volatility (5.31%) compared to O (4.81%). In terms of maximum drawdown, O dropped -48.45% vs IWN's -61.55%.
IWN currently has the higher Sharpe Ratio (2.19 vs 0.82), 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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