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

Performance

BOXX vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Alpha Architect 1-3 Month Box ETF (BOXX) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
2.47%
14.95%
BOXX
SCHD

Returns By Period

In the year-to-date period, BOXX achieves a 4.59% return, which is significantly lower than SCHD's 18.85% return.


BOXX

YTD

4.59%

1M

0.36%

6M

2.47%

1Y

5.20%

5Y (annualized)

N/A

10Y (annualized)

N/A

SCHD

YTD

18.85%

1M

3.78%

6M

14.95%

1Y

27.79%

5Y (annualized)

13.14%

10Y (annualized)

11.69%

Key characteristics


BOXXSCHD
Sharpe Ratio13.722.49
Sortino Ratio46.543.58
Omega Ratio10.401.44
Calmar Ratio136.783.79
Martin Ratio726.9213.58
Ulcer Index0.01%2.05%
Daily Std Dev0.38%11.15%
Max Drawdown-0.12%-33.37%
Current Drawdown0.00%0.00%

Compare stocks, funds, or ETFs

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BOXX vs. SCHD - Expense Ratio Comparison

BOXX has a 0.20% expense ratio, which is higher than SCHD's 0.06% 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 SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.0-0.0

The correlation between BOXX and SCHD is -0.03. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

BOXX vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect 1-3 Month Box ETF (BOXX) and Schwab US Dividend Equity ETF (SCHD). 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.


Sharpe ratio
The chart of Sharpe ratio for BOXX, currently valued at 13.72, compared to the broader market0.002.004.0013.722.49
The chart of Sortino ratio for BOXX, currently valued at 46.54, compared to the broader market-2.000.002.004.006.008.0010.0012.0046.543.58
The chart of Omega ratio for BOXX, currently valued at 10.40, compared to the broader market0.501.001.502.002.503.0010.401.44
The chart of Calmar ratio for BOXX, currently valued at 136.78, compared to the broader market0.005.0010.0015.00136.784.64
The chart of Martin ratio for BOXX, currently valued at 726.92, compared to the broader market0.0020.0040.0060.0080.00100.00726.9213.58
BOXX
SCHD

The current BOXX Sharpe Ratio is 13.72, which is higher than the SCHD Sharpe Ratio of 2.49. The chart below compares the historical Sharpe Ratios of BOXX and SCHD, 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 Ratio0.002.004.006.008.0010.0012.0014.00JuneJulyAugustSeptemberOctoberNovember
13.72
2.49
BOXX
SCHD

Dividends

BOXX vs. SCHD - Dividend Comparison

BOXX's dividend yield for the trailing twelve months is around 0.27%, less than SCHD's 3.33% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
3.33%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

BOXX vs. SCHD - Drawdown Comparison

The maximum BOXX drawdown since its inception was -0.12%, smaller than the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for BOXX and SCHD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
BOXX
SCHD

Volatility

BOXX vs. SCHD - Volatility Comparison

The current volatility for Alpha Architect 1-3 Month Box ETF (BOXX) is 0.08%, while Schwab US Dividend Equity ETF (SCHD) has a volatility of 3.67%. This indicates that BOXX experiences smaller price fluctuations and is considered to be less risky than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
0.08%
3.67%
BOXX
SCHD