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SPSM vs. RYLD
Performance
Return for Risk
Drawdowns
Volatility
Dividends

SPSM vs. RYLD

Last updated Jun 24, 2026

SPSM (State Street SPDR Portfolio S&P 600 Small Cap ETF) and RYLD (Global X Russell 2000 Covered Call ETF) are both exchange-traded funds - SPSM is a Small Cap Blend Equities fund tracking the S&P SmallCap 600 Index, while RYLD is a Derivative Income fund tracking the CBOE Russell 2000 BuyWrite Index. Both are passively managed. Over the past 5 years, SPSM returned 6.36%/yr vs 2.45%/yr for RYLD. Their correlation of 0.85 suggests significant overlap in exposure. SPSM charges 0.03%/yr vs 0.60%/yr for RYLD.

Performance

SPSM vs. RYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street SPDR Portfolio S&P 600 Small Cap ETF (SPSM) 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, SPSM achieves a 19.33% return, which is significantly higher than RYLD's 9.51% return.

SPSM

1D
-0.34%
1M
4.27%
YTD
19.33%
6M
16.91%
1Y
34.61%
3Y*
16.26%
5Y*
6.36%
10Y*
11.47%

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)

SPSM vs. RYLD - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
SPSM
State Street SPDR Portfolio S&P 600 Small Cap ETF		19.33%6.11%8.55%16.11%-16.12%26.67%11.69%7.18%
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 SPSM and RYLD is 0.80, 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

0.80

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

0.85

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

0.85

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

SPSM vs. RYLD - Sectors Allocation Comparison

Sectors
SPSM
RYLD

Technology

17.1%
19.0%

Financial Services

16.5%
15.5%

Industrials

15.2%
18.0%

Consumer Cyclical

13.1%
8.0%

Healthcare

11.0%
16.3%

Real Estate

7.6%
5.9%

Energy

5.4%
5.4%

Basic Materials

5.0%
4.7%

Communication Services

3.7%
2.4%

Consumer Defensive

3.6%
2.3%

Utilities

1.9%
2.8%

Technology

SPSM
17.1%
RYLD
19.0%

Financial Services

SPSM
16.5%
RYLD
15.5%

Industrials

SPSM
15.2%
RYLD
18.0%

Consumer Cyclical

SPSM
13.1%
RYLD
8.0%

Healthcare

SPSM
11.0%
RYLD
16.3%

Real Estate

SPSM
7.6%
RYLD
5.9%

Energy

SPSM
5.4%
RYLD
5.4%

Basic Materials

SPSM
5.0%
RYLD
4.7%

Communication Services

SPSM
3.7%
RYLD
2.4%

Consumer Defensive

SPSM
3.6%
RYLD
2.3%

Utilities

SPSM
1.9%
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.

State Street SPDR Portfolio S&P 600 Small Cap ETF

Global X Russell 2000 Covered Call ETF

Often compared with SPSM:
SPSM vs. IWMSPSM vs. IJRSPSM vs. AVUVSPSM vs. VBSPSM vs. SCHASPSM vs. VIOOSPSM vs. DFSCX
Often compared with RYLD:
RYLD vs. QYLDRYLD vs. XYLDRYLD vs. JEPIRYLD vs. IWMRYLD vs. SVOLRYLD vs. SCHDRYLD vs. QQQ

Return for Risk

SPSM vs. RYLD — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
SPSM
SPSM Risk / Return Rank: 6767
Overall Rank
SPSM Sharpe Ratio Rank: 6262
Sharpe Ratio Rank
SPSM Sortino Ratio Rank: 6464
Sortino Ratio Rank
SPSM Omega Ratio Rank: 5757
Omega Ratio Rank
SPSM Calmar Ratio Rank: 7979
Calmar Ratio Rank
SPSM Martin Ratio Rank: 7474
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.

SPSM vs. RYLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street SPDR Portfolio S&P 600 Small Cap ETF (SPSM) 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.

SPSMRYLDDifference
Sharpe ratioReturn per unit of total volatility
1.97
1.96

+0.02

Sortino ratioReturn per unit of downside risk
2.85
2.76

+0.09

Omega ratioGain probability vs. loss probability

1.34

1.41

-0.07

Calmar ratioReturn relative to maximum drawdown

3.99

3.31

+0.68

Martin ratioReturn relative to average drawdown

13.45

13.37

+0.08

SPSM vs. RYLD - Sharpe Ratio Comparison

The current SPSM Sharpe Ratio is 1.97, which is comparable to the RYLD Sharpe Ratio of 1.96. The chart below compares the historical Sharpe Ratios of SPSM 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

SPSM vs. RYLD - Drawdown Comparison

The maximum SPSM drawdown since its inception was -42.89%, roughly equal to the maximum RYLD drawdown of -41.53%. Use the drawdown chart below to compare losses from any high point for SPSM and RYLD.

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Drawdown Indicators

SPSMRYLDDifference

Max Drawdown

Largest peak-to-trough decline

-42.89%

-41.53%

-1.36%

Max Drawdown (1Y)

Largest decline over 1 year

-8.72%

-6.29%

-2.43%

Max Drawdown (3Y)

Largest decline over 3 years

-27.94%

-19.05%

-8.89%

Max Drawdown (5Y)

Largest decline over 5 years

-27.94%

-21.33%

-6.61%

Max Drawdown (10Y)

Largest decline over 10 years

-42.89%

—

—

Current Drawdown

Current decline from peak

-0.41%

-0.50%

+0.09%

Average Drawdown

Average peak-to-trough decline

-7.89%

-8.78%

+0.89%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.58%

1.55%

+1.03%

Volatility

SPSM vs. RYLD - Volatility Comparison

State Street SPDR Portfolio S&P 600 Small Cap ETF (SPSM) has a higher volatility of 4.93% compared to Global X Russell 2000 Covered Call ETF (RYLD) at 2.00%. This indicates that SPSM'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

SPSMRYLDDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.93%

2.00%

+2.93%

Volatility (6M)

Calculated over the trailing 6-month period

12.04%

7.80%

+4.24%

Volatility (1Y)

Calculated over the trailing 1-year period

17.65%

10.66%

+6.99%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.42%

14.05%

+7.37%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

22.99%

17.15%

+5.84%

SPSM vs. RYLD - Expense Ratio Comparison

SPSM has a 0.03% expense ratio, which is lower than RYLD's 0.60% expense ratio.

Dividends

SPSM vs. RYLD - Dividend Comparison

SPSM's dividend yield for the trailing twelve months is around 1.41%, 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%
SPSM
State Street SPDR Portfolio S&P 600 Small Cap ETF		1.41%1.62%1.85%1.61%1.38%1.40%1.34%1.58%1.82%1.51%1.49%2.37%

Frequently Asked Questions

SPSM and RYLD 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.

SPSM has higher volatility (4.93%) compared to RYLD (2.00%). In terms of maximum drawdown, SPSM dropped -42.89% vs RYLD's -41.53%.

On 5-year performance, SPSM leads with 6.36% vs 2.45% for RYLD. On fees, SPSM is cheaper at 0.03% 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, SPSM has performed better with a 6.36% return vs 2.45%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SPSM is cheaper with a 0.03% expense ratio, compared with 0.60% for RYLD.

RYLD has the higher dividend yield at 11.73%, compared with 1.41% for SPSM.

SPSM is categorized as Small Cap Blend Equities, while RYLD is Derivative Income. SPSM tracks S&P SmallCap 600 Index, while RYLD tracks CBOE Russell 2000 BuyWrite Index. They also come from different issuers: State Street and Global X. Their fees differ too: 0.03% for SPSM and 0.60% for RYLD.

SPSM currently has the higher Sharpe Ratio (1.97 vs 1.96), 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.

Portfolio Optimizer

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