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VTHR vs. IWM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VTHRIWM
YTD Return26.07%18.17%
1Y Return35.28%33.39%
3Y Return (Ann)8.82%0.75%
5Y Return (Ann)15.16%9.60%
10Y Return (Ann)12.83%8.72%
Sharpe Ratio3.031.88
Sortino Ratio4.042.70
Omega Ratio1.561.33
Calmar Ratio4.451.60
Martin Ratio19.8510.83
Ulcer Index1.93%3.76%
Daily Std Dev12.65%21.63%
Max Drawdown-34.61%-59.05%
Current Drawdown-0.40%-2.73%

Correlation

-0.50.00.51.00.8

The correlation between VTHR and IWM 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.

Performance

VTHR vs. IWM - Performance Comparison

In the year-to-date period, VTHR achieves a 26.07% return, which is significantly higher than IWM's 18.17% return. Over the past 10 years, VTHR has outperformed IWM with an annualized return of 12.83%, while IWM has yielded a comparatively lower 8.72% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.59%
12.95%
VTHR
IWM

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VTHR vs. IWM - Expense Ratio Comparison

VTHR has a 0.10% expense ratio, which is lower than IWM's 0.19% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


IWM
iShares Russell 2000 ETF
Expense ratio chart for IWM: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for VTHR: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

VTHR vs. IWM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 3000 ETF (VTHR) and iShares Russell 2000 ETF (IWM). 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.


VTHR
Sharpe ratio
The chart of Sharpe ratio for VTHR, currently valued at 3.03, compared to the broader market-2.000.002.004.003.03
Sortino ratio
The chart of Sortino ratio for VTHR, currently valued at 4.04, compared to the broader market-2.000.002.004.006.008.0010.0012.004.04
Omega ratio
The chart of Omega ratio for VTHR, currently valued at 1.56, compared to the broader market1.001.502.002.503.001.56
Calmar ratio
The chart of Calmar ratio for VTHR, currently valued at 4.45, compared to the broader market0.005.0010.0015.004.45
Martin ratio
The chart of Martin ratio for VTHR, currently valued at 19.85, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.85
IWM
Sharpe ratio
The chart of Sharpe ratio for IWM, currently valued at 1.88, compared to the broader market-2.000.002.004.001.88
Sortino ratio
The chart of Sortino ratio for IWM, currently valued at 2.70, compared to the broader market-2.000.002.004.006.008.0010.0012.002.70
Omega ratio
The chart of Omega ratio for IWM, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for IWM, currently valued at 1.60, compared to the broader market0.005.0010.0015.001.60
Martin ratio
The chart of Martin ratio for IWM, currently valued at 10.83, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.83

VTHR vs. IWM - Sharpe Ratio Comparison

The current VTHR Sharpe Ratio is 3.03, which is higher than the IWM Sharpe Ratio of 1.88. The chart below compares the historical Sharpe Ratios of VTHR and IWM, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.03
1.88
VTHR
IWM

Dividends

VTHR vs. IWM - Dividend Comparison

VTHR's dividend yield for the trailing twelve months is around 1.18%, more than IWM's 1.09% yield.


TTM20232022202120202019201820172016201520142013
VTHR
Vanguard Russell 3000 ETF
1.18%1.47%1.52%1.16%1.37%1.65%1.89%1.63%1.82%1.84%1.66%1.57%
IWM
iShares Russell 2000 ETF
1.09%1.35%1.48%0.94%1.04%1.26%1.40%1.26%1.38%1.54%1.26%1.23%

Drawdowns

VTHR vs. IWM - Drawdown Comparison

The maximum VTHR drawdown since its inception was -34.61%, smaller than the maximum IWM drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for VTHR and IWM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.40%
-2.73%
VTHR
IWM

Volatility

VTHR vs. IWM - Volatility Comparison

The current volatility for Vanguard Russell 3000 ETF (VTHR) is 3.97%, while iShares Russell 2000 ETF (IWM) has a volatility of 7.49%. This indicates that VTHR experiences smaller price fluctuations and is considered to be less risky than IWM 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%JuneJulyAugustSeptemberOctoberNovember
3.97%
7.49%
VTHR
IWM