PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
VTWO vs. RYLD
Performance
Return for Risk
Drawdowns
Volatility
Dividends

VTWO vs. RYLD

Last updated Aug 4, 2026
Documentation

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 7.83%/yr vs 3.43%/yr for RYLD. Their correlation of 0.88 means they have usually moved in the same direction. 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.

Loading charts...

Returns By Period

In the year-to-date period, VTWO achieves a 20.92% return, which is significantly higher than RYLD's 13.48% return.

VTWO

1D
1.69%
1M
-0.42%
6M
13.61%
YTD
20.92%
1Y
39.49%
3Y*
16.67%
5Y*
7.83%
10Y*
10.77%
ALL TIME*
11.43%

RYLD

1D
1.06%
1M
2.27%
6M
10.40%
YTD
13.48%
1Y
26.26%
3Y*
8.70%
5Y*
3.43%
10Y*
—
ALL TIME*
5.95%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

RYLD

Global X Russell 2000 Covered Call ETF
$9.87M$9.43M$9.08M

VTWO

Vanguard Russell 2000 ETF
$175.64M$193.82M$227.97M

VTWO vs. RYLD - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
VTWO
Vanguard Russell 2000 ETF		20.92%12.90%11.55%17.08%-20.49%14.79%20.22%7.80%
RYLD
Global X Russell 2000 Covered Call ETF		13.48%5.65%10.13%0.27%-13.03%22.13%-0.44%8.86%

Correlation

The correlation between VTWO and RYLD is 0.88, meaning they have usually moved in the same direction, including during past declines.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.88

Correlation (3Y)
Balances recent behavior with more history.

0.89

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.89

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 0.88 to 0.89 - a consistent structural relationship.

VTWO vs. RYLD - Sectors Allocation Comparison

Sectors
VTWO
RYLD

Healthcare

20.2%
20.3%

Financial Services

17.6%
17.8%

Technology

14.8%
14.5%

Industrials

14.1%
14.1%

Consumer Cyclical

9.2%
9.2%

Real Estate

6.7%
6.8%

Energy

5.4%
5.5%

Basic Materials

4.4%
4.4%

Utilities

2.7%
2.8%

Consumer Defensive

2.6%
2.6%

Communication Services

2.2%
2.2%

Healthcare

VTWO
20.2%
RYLD
20.3%

Financial Services

VTWO
17.6%
RYLD
17.8%

Technology

VTWO
14.8%
RYLD
14.5%

Industrials

VTWO
14.1%
RYLD
14.1%

Consumer Cyclical

VTWO
9.2%
RYLD
9.2%

Real Estate

VTWO
6.7%
RYLD
6.8%

Energy

VTWO
5.4%
RYLD
5.5%

Basic Materials

VTWO
4.4%
RYLD
4.4%

Utilities

VTWO
2.7%
RYLD
2.8%

Consumer Defensive

VTWO
2.6%
RYLD
2.6%

Communication Services

VTWO
2.2%
RYLD
2.2%

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 historical risk-adjusted metric ranks over the past 12 months.
VTWO
VTWO Risk / Return Rank: 8585
Overall Rank
VTWO Sharpe Ratio Rank: 8686
Sharpe Ratio Rank
VTWO Sortino Ratio Rank: 8585
Sortino Ratio Rank
VTWO Omega Ratio Rank: 8080
Omega Ratio Rank
VTWO Calmar Ratio Rank: 8888
Calmar Ratio Rank
VTWO Martin Ratio Rank: 8787
Martin Ratio Rank
RYLD
RYLD Risk / Return Rank: 9393
Overall Rank
RYLD Sharpe Ratio Rank: 9393
Sharpe Ratio Rank
RYLD Sortino Ratio Rank: 9393
Sortino Ratio Rank
RYLD Omega Ratio Rank: 9494
Omega Ratio Rank
RYLD Calmar Ratio Rank: 9292
Calmar Ratio Rank
RYLD Martin Ratio Rank: 9393
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

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
2.06
2.50

-0.44

Sortino ratioReturn per unit of downside risk
2.87
3.52

-0.65

Omega ratioGain probability vs. loss probability

1.34

1.52

-0.18

Calmar ratioReturn relative to maximum drawdown

3.61

4.19

-0.58

Martin ratioReturn relative to average drawdown

12.83

17.17

-4.35

VTWO vs. RYLD - Sharpe Ratio Comparison

The current VTWO Sharpe Ratio is 2.06, which is comparable to the RYLD Sharpe Ratio of 2.50. 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.

Loading charts...

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.

Loading charts...

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

-1.40%

0.00%

-1.40%

Average Drawdown

Average peak-to-trough decline

-8.32%

-8.65%

+0.33%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.09%

1.53%

+1.56%

Volatility

VTWO vs. RYLD - Volatility Comparison

Vanguard Russell 2000 ETF (VTWO) has a higher volatility of 4.16% compared to Global X Russell 2000 Covered Call ETF (RYLD) at 2.30%. 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.

Loading charts...

Volatility by Period

VTWORYLDDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.16%

2.30%

+1.86%

Volatility (6M)

Calculated over the trailing 6-month period

14.11%

7.74%

+6.37%

Volatility (1Y)

Calculated over the trailing 1-year period

19.30%

10.58%

+8.72%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

22.45%

13.98%

+8.47%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.07%

17.04%

+6.03%

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 11.50% yield.

PositionTTM20252024202320222021202020192018201720162015
RYLD
Global X Russell 2000 Covered Call ETF		11.50%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 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

VTWO has higher volatility (4.16%) compared to RYLD (2.30%). In terms of maximum drawdown, VTWO dropped -41.19% vs RYLD's -41.53%.

On 5-year performance, VTWO leads with 7.83% vs 3.43% for RYLD. On fees, VTWO is cheaper at 0.06% per year. On volatility, RYLD has been the lower-risk option at 2.30%. 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 7.83% return vs 3.43%. 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 11.50%, 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.

RYLD currently has the higher Sharpe Ratio (2.50 vs 2.06), 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

Find the right allocation for VTWO and RYLD

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer