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VTWG vs. IJR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VTWG vs. IJR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Russell 2000 Growth ETF (VTWG) and iShares Core S&P Small-Cap ETF (IJR). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.60%
10.29%
VTWG
IJR

Returns By Period

In the year-to-date period, VTWG achieves a 17.45% return, which is significantly higher than IJR's 12.64% return. Over the past 10 years, VTWG has underperformed IJR with an annualized return of 8.71%, while IJR has yielded a comparatively higher 9.63% annualized return.


VTWG

YTD

17.45%

1M

1.34%

6M

10.60%

1Y

32.90%

5Y (annualized)

8.39%

10Y (annualized)

8.71%

IJR

YTD

12.64%

1M

2.07%

6M

10.29%

1Y

27.11%

5Y (annualized)

10.16%

10Y (annualized)

9.63%

Key characteristics


VTWGIJR
Sharpe Ratio1.611.43
Sortino Ratio2.282.14
Omega Ratio1.271.25
Calmar Ratio1.051.58
Martin Ratio8.438.03
Ulcer Index4.09%3.55%
Daily Std Dev21.45%19.97%
Max Drawdown-42.07%-58.15%
Current Drawdown-10.26%-4.49%

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VTWG vs. IJR - Expense Ratio Comparison

VTWG has a 0.15% expense ratio, which is higher than IJR's 0.07% 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%.


VTWG
Vanguard Russell 2000 Growth ETF
Expense ratio chart for VTWG: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for IJR: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Correlation

-0.50.00.51.00.9

The correlation between VTWG and IJR is 0.91, 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

VTWG vs. IJR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 2000 Growth ETF (VTWG) and iShares Core S&P Small-Cap ETF (IJR). 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 VTWG, currently valued at 1.61, compared to the broader market0.002.004.006.001.611.43
The chart of Sortino ratio for VTWG, currently valued at 2.28, compared to the broader market-2.000.002.004.006.008.0010.002.282.14
The chart of Omega ratio for VTWG, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.271.25
The chart of Calmar ratio for VTWG, currently valued at 1.05, compared to the broader market0.005.0010.0015.001.051.58
The chart of Martin ratio for VTWG, currently valued at 8.43, compared to the broader market0.0020.0040.0060.0080.00100.008.438.03
VTWG
IJR

The current VTWG Sharpe Ratio is 1.61, which is comparable to the IJR Sharpe Ratio of 1.43. The chart below compares the historical Sharpe Ratios of VTWG and IJR, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.61
1.43
VTWG
IJR

Dividends

VTWG vs. IJR - Dividend Comparison

VTWG's dividend yield for the trailing twelve months is around 0.58%, less than IJR's 1.25% yield.


TTM20232022202120202019201820172016201520142013
VTWG
Vanguard Russell 2000 Growth ETF
0.58%0.79%0.71%0.54%0.48%0.72%0.72%0.64%0.96%0.72%0.62%0.56%
IJR
iShares Core S&P Small-Cap ETF
1.25%1.31%1.41%1.53%1.11%1.44%1.58%1.20%1.21%1.48%1.23%1.00%

Drawdowns

VTWG vs. IJR - Drawdown Comparison

The maximum VTWG drawdown since its inception was -42.07%, smaller than the maximum IJR drawdown of -58.15%. Use the drawdown chart below to compare losses from any high point for VTWG and IJR. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.26%
-4.49%
VTWG
IJR

Volatility

VTWG vs. IJR - Volatility Comparison

Vanguard Russell 2000 Growth ETF (VTWG) and iShares Core S&P Small-Cap ETF (IJR) have volatilities of 7.52% and 7.72%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
7.52%
7.72%
VTWG
IJR