WTPI vs. ITWO
WTPI (WisdomTree Equity Premium Income Fund) and ITWO (Proshares Russell 2000 High Income ETF) are both Derivative Income funds - WTPI tracks the Volos U.S. Large Cap Target 2.5% PutWrite Index while ITWO tracks the Cboe Russell 2000 Daily Covered Call Index. Both are passively managed. Over the past year, WTPI returned 19.02% vs 41.29% for ITWO. A 0.68 correlation means they provide meaningful diversification when combined. WTPI charges 0.44%/yr vs 0.55%/yr for ITWO.
Performance
WTPI vs. ITWO - Performance Comparison
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Returns By Period
In the year-to-date period, WTPI achieves a 4.51% return, which is significantly lower than ITWO's 19.23% return.
WTPI
- 1D
- 0.24%
- 1M
- 1.80%
- YTD
- 4.51%
- 6M
- 4.94%
- 1Y
- 19.02%
- 3Y*
- 13.69%
- 5Y*
- 9.98%
- 10Y*
- 8.31%
ITWO
- 1D
- 1.46%
- 1M
- 3.76%
- YTD
- 19.23%
- 6M
- 17.25%
- 1Y
- 41.29%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
WTPI vs. ITWO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
WTPI WisdomTree Equity Premium Income Fund | 4.51% | 14.45% | 5.42% |
ITWO Proshares Russell 2000 High Income ETF | 19.23% | 14.25% | 3.68% |
Correlation
The correlation between WTPI and ITWO is 0.64, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.64 |
Correlation (All Time) Calculated using the full available price history since Sep 6, 2024 | 0.68 |
The correlation between WTPI and ITWO has been stable across timeframes, ranging from 0.64 to 0.68 - a consistent structural relationship.
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Return for Risk
WTPI vs. ITWO — Risk / Return Rank
WTPI
ITWO
WTPI vs. ITWO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Equity Premium Income Fund (WTPI) and Proshares Russell 2000 High Income ETF (ITWO). 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.
| WTPI | ITWO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.07 | ||
| Sortino ratioReturn per unit of downside risk | +0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.36 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.67 | 4.24 | -1.56 |
| Martin ratioReturn relative to average drawdown | 12.81 | 14.28 | -1.47 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| WTPI | ITWO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.16 | 2.23 | -0.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.83 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.63 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.65 | 1.08 | -0.43 |
Drawdowns
WTPI vs. ITWO - Drawdown Comparison
The maximum WTPI drawdown since its inception was -28.40%, which is greater than ITWO's maximum drawdown of -24.77%. Use the drawdown chart below to compare losses from any high point for WTPI and ITWO.
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Drawdown Indicators
| WTPI | ITWO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.40% | -24.77% | -3.63% |
Max Drawdown (1Y)Largest decline over 1 year | -7.15% | -9.79% | +2.64% |
Max Drawdown (3Y)Largest decline over 3 years | -15.26% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -16.56% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -28.40% | — | — |
Current DrawdownCurrent decline from peak | -0.03% | 0.00% | -0.03% |
Average DrawdownAverage peak-to-trough decline | -3.44% | -5.14% | +1.70% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.49% | 2.90% | -1.41% |
Volatility
WTPI vs. ITWO - Volatility Comparison
The current volatility for WisdomTree Equity Premium Income Fund (WTPI) is 0.86%, while Proshares Russell 2000 High Income ETF (ITWO) has a volatility of 5.81%. This indicates that WTPI experiences smaller price fluctuations and is considered to be less risky than ITWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| WTPI | ITWO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.86% | 5.81% | -4.95% |
Volatility (6M)Calculated over the trailing 6-month period | 7.00% | 13.42% | -6.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.86% | 18.61% | -9.75% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.13% | 20.48% | -8.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.22% | 20.48% | -7.26% |
WTPI vs. ITWO - Expense Ratio Comparison
WTPI has a 0.44% expense ratio, which is lower than ITWO's 0.55% expense ratio.
Dividends
WTPI vs. ITWO - Dividend Comparison
WTPI's dividend yield for the trailing twelve months is around 12.03%, more than ITWO's 7.47% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
ITWO Proshares Russell 2000 High Income ETF | 7.47% | 12.12% | 4.11% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
WTPI WisdomTree Equity Premium Income Fund | 12.03% | 13.18% | 11.99% | 8.94% | 3.27% | 0.00% | 1.43% | 1.47% | 6.46% | 3.52% | 2.27% |
Frequently Asked Questions
WTPI and ITWO have a correlation of 0.64, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ITWO has higher volatility (5.81%) compared to WTPI (0.86%). In terms of maximum drawdown, WTPI dropped -28.40% vs ITWO's -24.77%.
On 1-year performance, ITWO leads with 41.29% vs 19.02% for WTPI. On fees, WTPI is cheaper at 0.44% per year. On volatility, WTPI has been the lower-risk option at 0.86%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, ITWO has performed better with a 41.29% return vs 19.02%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
WTPI is cheaper with a 0.44% expense ratio, compared with 0.55% for ITWO.
WTPI has the higher dividend yield at 12.03%, compared with 7.47% for ITWO.
WTPI tracks Volos U.S. Large Cap Target 2.5% PutWrite Index, while ITWO tracks Cboe Russell 2000 Daily Covered Call Index. They also come from different issuers: WisdomTree and ProShares. Their fees differ too: 0.44% for WTPI and 0.55% for ITWO.
ITWO currently has the higher Sharpe Ratio (2.23 vs 2.16), 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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