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BOXX vs. BIL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BOXXBIL
YTD Return4.46%4.55%
1Y Return5.31%5.30%
Sharpe Ratio13.9120.60
Sortino Ratio47.62338.80
Omega Ratio10.54240.57
Calmar Ratio140.39489.15
Martin Ratio731.485,520.34
Ulcer Index0.01%0.00%
Daily Std Dev0.38%0.26%
Max Drawdown-0.12%-0.77%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.3

The correlation between BOXX and BIL is 0.29, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

BOXX vs. BIL - Performance Comparison

The year-to-date returns for both investments are quite close, with BOXX having a 4.46% return and BIL slightly higher at 4.55%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%0.50%1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
2.54%
2.59%
BOXX
BIL

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


BOXX vs. BIL - Expense Ratio Comparison

BOXX has a 0.20% expense ratio, which is higher than BIL's 0.14% 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%.


BOXX
Alpha Architect 1-3 Month Box ETF
Expense ratio chart for BOXX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

BOXX vs. BIL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect 1-3 Month Box ETF (BOXX) and SPDR Barclays 1-3 Month T-Bill ETF (BIL). 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.


BOXX
Sharpe ratio
The chart of Sharpe ratio for BOXX, currently valued at 13.91, compared to the broader market-2.000.002.004.006.0013.91
Sortino ratio
The chart of Sortino ratio for BOXX, currently valued at 47.62, compared to the broader market-2.000.002.004.006.008.0010.0012.0047.62
Omega ratio
The chart of Omega ratio for BOXX, currently valued at 10.54, compared to the broader market1.001.502.002.503.0010.54
Calmar ratio
The chart of Calmar ratio for BOXX, currently valued at 140.39, compared to the broader market0.005.0010.0015.00140.39
Martin ratio
The chart of Martin ratio for BOXX, currently valued at 731.48, compared to the broader market0.0020.0040.0060.0080.00100.00731.48
BIL
Sharpe ratio
The chart of Sharpe ratio for BIL, currently valued at 20.60, compared to the broader market-2.000.002.004.006.0020.60
Sortino ratio
The chart of Sortino ratio for BIL, currently valued at 338.80, compared to the broader market-2.000.002.004.006.008.0010.0012.00338.80
Omega ratio
The chart of Omega ratio for BIL, currently valued at 240.57, compared to the broader market1.001.502.002.503.00240.57
Calmar ratio
The chart of Calmar ratio for BIL, currently valued at 489.15, compared to the broader market0.005.0010.0015.00489.15
Martin ratio
The chart of Martin ratio for BIL, currently valued at 5520.34, compared to the broader market0.0020.0040.0060.0080.00100.005,520.34

BOXX vs. BIL - Sharpe Ratio Comparison

The current BOXX Sharpe Ratio is 13.91, which is lower than the BIL Sharpe Ratio of 20.60. The chart below compares the historical Sharpe Ratios of BOXX and BIL, 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 Ratio12.0014.0016.0018.0020.0022.00JuneJulyAugustSeptemberOctoberNovember
13.91
20.60
BOXX
BIL

Dividends

BOXX vs. BIL - Dividend Comparison

BOXX's dividend yield for the trailing twelve months is around 0.27%, less than BIL's 5.15% yield.


TTM20232022202120202019201820172016
BOXX
Alpha Architect 1-3 Month Box ETF
0.27%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.15%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%

Drawdowns

BOXX vs. BIL - Drawdown Comparison

The maximum BOXX drawdown since its inception was -0.12%, smaller than the maximum BIL drawdown of -0.77%. Use the drawdown chart below to compare losses from any high point for BOXX and BIL. For additional features, visit the drawdowns tool.


-0.04%-0.03%-0.02%-0.01%0.00%JuneJulyAugustSeptemberOctoberNovember00
BOXX
BIL

Volatility

BOXX vs. BIL - Volatility Comparison

Alpha Architect 1-3 Month Box ETF (BOXX) has a higher volatility of 0.09% compared to SPDR Barclays 1-3 Month T-Bill ETF (BIL) at 0.08%. This indicates that BOXX's price experiences larger fluctuations and is considered to be riskier than BIL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.06%0.08%0.10%0.12%JuneJulyAugustSeptemberOctoberNovember
0.09%
0.08%
BOXX
BIL