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SMLF vs. RYLD
Performance
Return for Risk
Drawdowns
Volatility
Dividends

SMLF vs. RYLD

Last updated Jun 24, 2026

SMLF (iShares MSCI USA Small-Cap Multifactor ETF) and RYLD (Global X Russell 2000 Covered Call ETF) are both exchange-traded funds - SMLF is a Small Cap Blend Equities fund tracking the MSCI USA Small Cap Diversified Multi-Factor, while RYLD is a Derivative Income fund tracking the CBOE Russell 2000 BuyWrite Index. Both are passively managed. Over the past 5 years, SMLF returned 11.09%/yr vs 2.45%/yr for RYLD. Their correlation of 0.86 suggests significant overlap in exposure. SMLF charges 0.30%/yr vs 0.60%/yr for RYLD.

Performance

SMLF vs. RYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Small-Cap Multifactor ETF (SMLF) and Global X Russell 2000 Covered Call ETF (RYLD). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, SMLF achieves a 16.28% return, which is significantly higher than RYLD's 9.51% return.

SMLF

1D
-0.85%
1M
3.41%
YTD
16.28%
6M
14.19%
1Y
32.00%
3Y*
20.44%
5Y*
11.09%
10Y*
12.68%

RYLD

1D
-0.50%
1M
2.12%
YTD
9.51%
6M
8.37%
1Y
20.74%
3Y*
8.72%
5Y*
2.45%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

SMLF vs. RYLD - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
SMLF
iShares MSCI USA Small-Cap Multifactor ETF		16.28%12.30%16.33%19.99%-12.19%26.53%8.38%6.47%
RYLD
Global X Russell 2000 Covered Call ETF		9.51%5.65%10.13%0.27%-13.03%22.13%-0.44%8.86%

Correlation

The correlation between SMLF and RYLD is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.85

Correlation (3Y)
Calculated over the trailing 3-year period

0.87

Correlation (5Y)
Calculated over the trailing 5-year period

0.87

Correlation (All Time)
Calculated using the full available price history since Apr 22, 2019

0.86

The correlation between SMLF and RYLD has been stable across timeframes, ranging from 0.85 to 0.87 - a consistent structural relationship.

SMLF vs. RYLD - Sectors Allocation Comparison

Sectors
SMLF
RYLD

Industrials

19.5%
18.0%

Technology

19.1%
19.0%

Financial Services

14.3%
15.5%

Healthcare

12.9%
16.3%

Consumer Cyclical

11.4%
8.0%

Real Estate

5.6%
5.9%

Basic Materials

4.5%
4.7%

Energy

4.3%
5.4%

Consumer Defensive

3.3%
2.3%

Communication Services

3.2%
2.4%

Utilities

2.0%
2.8%

Industrials

SMLF
19.5%
RYLD
18.0%

Technology

SMLF
19.1%
RYLD
19.0%

Financial Services

SMLF
14.3%
RYLD
15.5%

Healthcare

SMLF
12.9%
RYLD
16.3%

Consumer Cyclical

SMLF
11.4%
RYLD
8.0%

Real Estate

SMLF
5.6%
RYLD
5.9%

Basic Materials

SMLF
4.5%
RYLD
4.7%

Energy

SMLF
4.3%
RYLD
5.4%

Consumer Defensive

SMLF
3.3%
RYLD
2.3%

Communication Services

SMLF
3.2%
RYLD
2.4%

Utilities

SMLF
2.0%
RYLD
2.8%

Compare stocks, funds, or ETFs

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

iShares MSCI USA Small-Cap Multifactor ETF

Global X Russell 2000 Covered Call ETF

Often compared with SMLF:
SMLF vs. FSMDSMLF vs. SMLVSMLF vs. IWMSMLF vs. SMMVSMLF vs. VBRSMLF vs. GSSCSMLF vs. FZIPX
Often compared with RYLD:
RYLD vs. QYLDRYLD vs. XYLDRYLD vs. JEPIRYLD vs. IWMRYLD vs. SVOLRYLD vs. SCHDRYLD vs. QQQ

Return for Risk

SMLF vs. RYLD — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
SMLF
SMLF Risk / Return Rank: 6262
Overall Rank
SMLF Sharpe Ratio Rank: 5757
Sharpe Ratio Rank
SMLF Sortino Ratio Rank: 5656
Sortino Ratio Rank
SMLF Omega Ratio Rank: 5151
Omega Ratio Rank
SMLF Calmar Ratio Rank: 7676
Calmar Ratio Rank
SMLF Martin Ratio Rank: 7272
Martin Ratio Rank
RYLD
RYLD Risk / Return Rank: 6868
Overall Rank
RYLD Sharpe Ratio Rank: 6262
Sharpe Ratio Rank
RYLD Sortino Ratio Rank: 6262
Sortino Ratio Rank
RYLD Omega Ratio Rank: 7373
Omega Ratio Rank
RYLD Calmar Ratio Rank: 6969
Calmar Ratio Rank
RYLD Martin Ratio Rank: 7474
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SMLF vs. RYLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Small-Cap Multifactor ETF (SMLF) and Global X Russell 2000 Covered Call ETF (RYLD). 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.

SMLFRYLDDifference
Sharpe ratioReturn per unit of total volatility
1.83
1.96

-0.13

Sortino ratioReturn per unit of downside risk
2.56
2.76

-0.20

Omega ratioGain probability vs. loss probability

1.31

1.41

-0.10

Calmar ratioReturn relative to maximum drawdown

3.69

3.31

+0.38

Martin ratioReturn relative to average drawdown

12.66

13.37

-0.71

SMLF vs. RYLD - Sharpe Ratio Comparison

The current SMLF Sharpe Ratio is 1.83, which is comparable to the RYLD Sharpe Ratio of 1.96. The chart below compares the historical Sharpe Ratios of SMLF and RYLD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

SMLF vs. RYLD - Drawdown Comparison

The maximum SMLF drawdown since its inception was -41.89%, roughly equal to the maximum RYLD drawdown of -41.53%. Use the drawdown chart below to compare losses from any high point for SMLF and RYLD.

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Drawdown Indicators

SMLFRYLDDifference

Max Drawdown

Largest peak-to-trough decline

-41.89%

-41.53%

-0.36%

Max Drawdown (1Y)

Largest decline over 1 year

-8.71%

-6.29%

-2.42%

Max Drawdown (3Y)

Largest decline over 3 years

-26.28%

-19.05%

-7.23%

Max Drawdown (5Y)

Largest decline over 5 years

-26.28%

-21.33%

-4.95%

Max Drawdown (10Y)

Largest decline over 10 years

-41.89%

—

—

Current Drawdown

Current decline from peak

-0.85%

-0.50%

-0.35%

Average Drawdown

Average peak-to-trough decline

-6.57%

-8.78%

+2.21%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.53%

1.55%

+0.98%

Volatility

SMLF vs. RYLD - Volatility Comparison

iShares MSCI USA Small-Cap Multifactor ETF (SMLF) has a higher volatility of 5.35% compared to Global X Russell 2000 Covered Call ETF (RYLD) at 2.00%. This indicates that SMLF's price experiences larger fluctuations and is considered to be riskier than RYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

SMLFRYLDDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.35%

2.00%

+3.35%

Volatility (6M)

Calculated over the trailing 6-month period

12.92%

7.80%

+5.12%

Volatility (1Y)

Calculated over the trailing 1-year period

17.61%

10.66%

+6.95%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.12%

14.05%

+7.07%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

21.81%

17.15%

+4.66%

SMLF vs. RYLD - Expense Ratio Comparison

SMLF has a 0.30% expense ratio, which is lower than RYLD's 0.60% expense ratio.

Dividends

SMLF vs. RYLD - Dividend Comparison

SMLF's dividend yield for the trailing twelve months is around 1.02%, less than RYLD's 11.73% yield.

PositionTTM20252024202320222021202020192018201720162015
RYLD
Global X Russell 2000 Covered Call ETF		11.73%12.00%12.03%12.64%13.49%12.35%10.76%6.43%0.00%0.00%0.00%0.00%
SMLF
iShares MSCI USA Small-Cap Multifactor ETF		1.02%1.14%1.33%1.13%1.23%1.07%1.33%1.39%1.17%0.93%0.78%0.79%

Frequently Asked Questions

SMLF and RYLD have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

SMLF has higher volatility (5.35%) compared to RYLD (2.00%). In terms of maximum drawdown, SMLF dropped -41.89% vs RYLD's -41.53%.

On 5-year performance, SMLF leads with 11.09% vs 2.45% for RYLD. On fees, SMLF is cheaper at 0.30% per year. On volatility, RYLD has been the lower-risk option at 2.00%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, SMLF has performed better with a 11.09% return vs 2.45%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SMLF is cheaper with a 0.30% expense ratio, compared with 0.60% for RYLD.

RYLD has the higher dividend yield at 11.73%, compared with 1.02% for SMLF.

SMLF is categorized as Small Cap Blend Equities, while RYLD is Derivative Income. SMLF tracks MSCI USA Small Cap Diversified Multi-Factor, while RYLD tracks CBOE Russell 2000 BuyWrite Index. They also come from different issuers: iShares and Global X. Their fees differ too: 0.30% for SMLF and 0.60% for RYLD.

RYLD currently has the higher Sharpe Ratio (1.96 vs 1.83), 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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