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VTWO vs. RYLD
Performance
Return for Risk
Drawdowns
Volatility
Dividends

VTWO vs. RYLD

Last updated Jun 25, 2026

VTWO (Vanguard Russell 2000 ETF) and RYLD (Global X Russell 2000 Covered Call ETF) are both exchange-traded funds - VTWO is a Small Cap Blend Equities fund tracking the Russell 2000 Index, while RYLD is a Derivative Income fund tracking the CBOE Russell 2000 BuyWrite Index. Both are passively managed. Over the past 5 years, VTWO returned 6.54%/yr vs 2.48%/yr for RYLD. Their correlation of 0.88 suggests significant overlap in exposure. VTWO charges 0.06%/yr vs 0.60%/yr for RYLD.

Performance

VTWO vs. RYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Russell 2000 ETF (VTWO) 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, VTWO achieves a 21.09% return, which is significantly higher than RYLD's 9.72% return.

VTWO

1D
0.46%
1M
4.33%
YTD
21.09%
6M
17.98%
1Y
40.11%
3Y*
19.67%
5Y*
6.54%
10Y*
11.78%

RYLD

1D
0.19%
1M
2.32%
YTD
9.72%
6M
8.44%
1Y
20.23%
3Y*
8.79%
5Y*
2.48%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

VTWO vs. RYLD - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
VTWO
Vanguard Russell 2000 ETF		21.09%12.90%11.55%17.08%-20.49%14.79%20.22%7.80%
RYLD
Global X Russell 2000 Covered Call ETF		9.72%5.65%10.13%0.27%-13.03%22.13%-0.44%8.86%

Correlation

The correlation between VTWO and RYLD is 0.87, 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

0.87

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

0.89

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

0.90

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

0.88

The correlation between VTWO and RYLD has been stable across timeframes, ranging from 0.87 to 0.90 - a consistent structural relationship.

VTWO vs. RYLD - Sectors Allocation Comparison

Sectors
VTWO
RYLD

Technology

19.1%
19.0%

Industrials

17.9%
18.0%

Healthcare

16.3%
16.3%

Financial Services

15.5%
15.5%

Consumer Cyclical

7.9%
8.0%

Real Estate

5.9%
5.9%

Energy

5.3%
5.4%

Basic Materials

4.7%
4.7%

Utilities

2.8%
2.8%

Communication Services

2.5%
2.4%

Consumer Defensive

2.2%
2.3%

Technology

VTWO
19.1%
RYLD
19.0%

Industrials

VTWO
17.9%
RYLD
18.0%

Healthcare

VTWO
16.3%
RYLD
16.3%

Financial Services

VTWO
15.5%
RYLD
15.5%

Consumer Cyclical

VTWO
7.9%
RYLD
8.0%

Real Estate

VTWO
5.9%
RYLD
5.9%

Energy

VTWO
5.3%
RYLD
5.4%

Basic Materials

VTWO
4.7%
RYLD
4.7%

Utilities

VTWO
2.8%
RYLD
2.8%

Communication Services

VTWO
2.5%
RYLD
2.4%

Consumer Defensive

VTWO
2.2%
RYLD
2.3%

Compare stocks, funds, or ETFs

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

Vanguard Russell 2000 ETF

Global X Russell 2000 Covered Call ETF

Often compared with VTWO:
VTWO vs. IWMVTWO vs. VBVTWO vs. VOOVTWO vs. VTWVVTWO vs. VTWGVTWO vs. FSSNXVTWO vs. VIOO
Often compared with RYLD:
RYLD vs. QYLDRYLD vs. XYLDRYLD vs. JEPIRYLD vs. IWMRYLD vs. SVOLRYLD vs. SCHDRYLD vs. QQQ

Return for Risk

VTWO vs. RYLD — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
VTWO
VTWO Risk / Return Rank: 7171
Overall Rank
VTWO Sharpe Ratio Rank: 7272
Sharpe Ratio Rank
VTWO Sortino Ratio Rank: 7070
Sortino Ratio Rank
VTWO Omega Ratio Rank: 6161
Omega Ratio Rank
VTWO Calmar Ratio Rank: 7878
Calmar Ratio Rank
VTWO Martin Ratio Rank: 7676
Martin Ratio Rank
RYLD
RYLD Risk / Return Rank: 7171
Overall Rank
RYLD Sharpe Ratio Rank: 6565
Sharpe Ratio Rank
RYLD Sortino Ratio Rank: 6666
Sortino Ratio Rank
RYLD Omega Ratio Rank: 7676
Omega Ratio Rank
RYLD Calmar Ratio Rank: 7171
Calmar Ratio Rank
RYLD Martin Ratio Rank: 7676
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.

VTWO vs. RYLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 2000 ETF (VTWO) 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.

VTWORYLDDifference
Sharpe ratioReturn per unit of total volatility
2.05
1.91

+0.14

Sortino ratioReturn per unit of downside risk
2.83
2.70

+0.13

Omega ratioGain probability vs. loss probability

1.34

1.40

-0.06

Calmar ratioReturn relative to maximum drawdown

3.67

3.23

+0.44

Martin ratioReturn relative to average drawdown

13.00

13.04

-0.05

VTWO vs. RYLD - Sharpe Ratio Comparison

The current VTWO Sharpe Ratio is 2.05, which is comparable to the RYLD Sharpe Ratio of 1.91. The chart below compares the historical Sharpe Ratios of VTWO 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

VTWO vs. RYLD - Drawdown Comparison

The maximum VTWO drawdown since its inception was -41.19%, roughly equal to the maximum RYLD drawdown of -41.53%. Use the drawdown chart below to compare losses from any high point for VTWO and RYLD.

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Drawdown Indicators

VTWORYLDDifference

Max Drawdown

Largest peak-to-trough decline

-41.19%

-41.53%

+0.34%

Max Drawdown (1Y)

Largest decline over 1 year

-10.99%

-6.29%

-4.70%

Max Drawdown (3Y)

Largest decline over 3 years

-27.57%

-19.05%

-8.52%

Max Drawdown (5Y)

Largest decline over 5 years

-31.88%

-21.33%

-10.55%

Max Drawdown (10Y)

Largest decline over 10 years

-41.19%

—

—

Current Drawdown

Current decline from peak

-0.48%

-0.32%

-0.16%

Average Drawdown

Average peak-to-trough decline

-8.36%

-8.77%

+0.41%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.10%

1.55%

+1.55%

Volatility

VTWO vs. RYLD - Volatility Comparison

Vanguard Russell 2000 ETF (VTWO) has a higher volatility of 6.53% compared to Global X Russell 2000 Covered Call ETF (RYLD) at 2.00%. This indicates that VTWO'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

VTWORYLDDifference

Volatility (1M)

Calculated over the trailing 1-month period

6.53%

2.00%

+4.53%

Volatility (6M)

Calculated over the trailing 6-month period

14.27%

7.75%

+6.52%

Volatility (1Y)

Calculated over the trailing 1-year period

19.65%

10.65%

+9.00%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

22.56%

14.05%

+8.51%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.11%

17.15%

+5.96%

VTWO vs. RYLD - Expense Ratio Comparison

VTWO has a 0.06% expense ratio, which is lower than RYLD's 0.60% expense ratio.

Dividends

VTWO vs. RYLD - Dividend Comparison

VTWO's dividend yield for the trailing twelve months is around 1.09%, less than RYLD's 11.71% yield.

PositionTTM20252024202320222021202020192018201720162015
RYLD
Global X Russell 2000 Covered Call ETF		11.71%12.00%12.03%12.64%13.49%12.35%10.76%6.43%0.00%0.00%0.00%0.00%
VTWO
Vanguard Russell 2000 ETF		1.09%1.25%1.21%1.45%1.48%1.13%0.92%1.36%1.41%1.18%1.27%1.23%

Frequently Asked Questions

VTWO and RYLD have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

VTWO has higher volatility (6.53%) compared to RYLD (2.00%). In terms of maximum drawdown, VTWO dropped -41.19% vs RYLD's -41.53%.

On 5-year performance, VTWO leads with 6.54% vs 2.48% for RYLD. On fees, VTWO is cheaper at 0.06% 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, VTWO has performed better with a 6.54% return vs 2.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

VTWO is cheaper with a 0.06% expense ratio, compared with 0.60% for RYLD.

RYLD has the higher dividend yield at 11.71%, compared with 1.09% for VTWO.

VTWO is categorized as Small Cap Blend Equities, while RYLD is Derivative Income. VTWO tracks Russell 2000 Index, while RYLD tracks CBOE Russell 2000 BuyWrite Index. They also come from different issuers: Vanguard and Global X. Their fees differ too: 0.06% for VTWO and 0.60% for RYLD.

VTWO currently has the higher Sharpe Ratio (2.05 vs 1.91), 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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