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

Key characteristics


BOXXJAAA
YTD Return4.47%6.44%
1Y Return5.28%7.98%
Sharpe Ratio13.8410.46
Sortino Ratio47.4022.43
Omega Ratio10.506.81
Calmar Ratio139.7124.45
Martin Ratio727.95247.28
Ulcer Index0.01%0.03%
Daily Std Dev0.38%0.77%
Max Drawdown-0.12%-2.60%
Current Drawdown0.00%-0.02%

Correlation

-0.50.00.51.00.1

The correlation between BOXX and JAAA is 0.10, 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. JAAA - Performance Comparison

In the year-to-date period, BOXX achieves a 4.47% return, which is significantly lower than JAAA's 6.44% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%1.00%2.00%3.00%JuneJulyAugustSeptemberOctoberNovember
2.54%
3.35%
BOXX
JAAA

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BOXX vs. JAAA - Expense Ratio Comparison

BOXX has a 0.20% expense ratio, which is lower than JAAA's 0.21% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


JAAA
Janus Henderson AAA CLO ETF
Expense ratio chart for JAAA: current value at 0.21% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.21%
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%

Risk-Adjusted Performance

BOXX vs. JAAA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect 1-3 Month Box ETF (BOXX) and Janus Henderson AAA CLO ETF (JAAA). 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 13.84, compared to the broader market-2.000.002.004.006.0013.84
Sortino ratio
The chart of Sortino ratio for BOXX, currently valued at 47.40, compared to the broader market0.005.0010.0047.40
Omega ratio
The chart of Omega ratio for BOXX, currently valued at 10.50, compared to the broader market1.001.502.002.503.0010.50
Calmar ratio
The chart of Calmar ratio for BOXX, currently valued at 139.71, compared to the broader market0.005.0010.0015.00139.71
Martin ratio
The chart of Martin ratio for BOXX, currently valued at 727.95, compared to the broader market0.0020.0040.0060.0080.00100.00120.00727.95
JAAA
Sharpe ratio
The chart of Sharpe ratio for JAAA, currently valued at 10.46, compared to the broader market-2.000.002.004.006.0010.46
Sortino ratio
The chart of Sortino ratio for JAAA, currently valued at 22.43, compared to the broader market0.005.0010.0022.43
Omega ratio
The chart of Omega ratio for JAAA, currently valued at 6.81, compared to the broader market1.001.502.002.503.006.81
Calmar ratio
The chart of Calmar ratio for JAAA, currently valued at 24.45, compared to the broader market0.005.0010.0015.0024.45
Martin ratio
The chart of Martin ratio for JAAA, currently valued at 247.28, compared to the broader market0.0020.0040.0060.0080.00100.00120.00247.28

BOXX vs. JAAA - Sharpe Ratio Comparison

The current BOXX Sharpe Ratio is 13.84, which is higher than the JAAA Sharpe Ratio of 10.46. The chart below compares the historical Sharpe Ratios of BOXX and JAAA, 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 Ratio9.0010.0011.0012.0013.0014.00JuneJulyAugustSeptemberOctoberNovember
13.84
10.46
BOXX
JAAA

Dividends

BOXX vs. JAAA - Dividend Comparison

BOXX's dividend yield for the trailing twelve months is around 0.27%, less than JAAA's 6.40% yield.


TTM2023202220212020
BOXX
Alpha Architect 1-3 Month Box ETF
0.27%0.00%0.00%0.00%0.00%
JAAA
Janus Henderson AAA CLO ETF
6.40%6.10%2.77%1.21%0.26%

Drawdowns

BOXX vs. JAAA - Drawdown Comparison

The maximum BOXX drawdown since its inception was -0.12%, smaller than the maximum JAAA drawdown of -2.60%. Use the drawdown chart below to compare losses from any high point for BOXX and JAAA. For additional features, visit the drawdowns tool.


-0.35%-0.30%-0.25%-0.20%-0.15%-0.10%-0.05%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.02%
BOXX
JAAA

Volatility

BOXX vs. JAAA - Volatility Comparison

The current volatility for Alpha Architect 1-3 Month Box ETF (BOXX) is 0.09%, while Janus Henderson AAA CLO ETF (JAAA) has a volatility of 0.18%. This indicates that BOXX experiences smaller price fluctuations and is considered to be less risky than JAAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.10%0.20%0.30%0.40%JuneJulyAugustSeptemberOctoberNovember
0.09%
0.18%
BOXX
JAAA