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

Performance

BOXX vs. SGOV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Alpha Architect 1-3 Month Box ETF (BOXX) and iShares 0-3 Month Treasury Bond ETF (SGOV). The values are adjusted to include any dividend payments, if applicable.

0.00%0.50%1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
2.47%
2.55%
BOXX
SGOV

Returns By Period

The year-to-date returns for both investments are quite close, with BOXX having a 4.59% return and SGOV slightly higher at 4.78%.


BOXX

YTD

4.59%

1M

0.36%

6M

2.47%

1Y

5.20%

5Y (annualized)

N/A

10Y (annualized)

N/A

SGOV

YTD

4.78%

1M

0.41%

6M

2.55%

1Y

5.34%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


BOXXSGOV
Sharpe Ratio13.7221.75
Sortino Ratio46.54522.74
Omega Ratio10.40523.74
Calmar Ratio136.78536.49
Martin Ratio726.928,516.56
Ulcer Index0.01%0.00%
Daily Std Dev0.38%0.25%
Max Drawdown-0.12%-0.03%
Current Drawdown0.00%0.00%

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BOXX vs. SGOV - Expense Ratio Comparison

BOXX has a 0.20% expense ratio, which is higher than SGOV's 0.03% 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 SGOV: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.3

The correlation between BOXX and SGOV is 0.30, 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.

Risk-Adjusted Performance

BOXX vs. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect 1-3 Month Box ETF (BOXX) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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 market0.002.004.0013.7221.75
The chart of Sortino ratio for BOXX, currently valued at 46.54, compared to the broader market-2.000.002.004.006.008.0010.0012.0046.54522.74
The chart of Omega ratio for BOXX, currently valued at 10.40, compared to the broader market0.501.001.502.002.503.0010.40523.74
The chart of Calmar ratio for BOXX, currently valued at 136.78, compared to the broader market0.005.0010.0015.0020.00136.78536.49
The chart of Martin ratio for BOXX, currently valued at 726.92, compared to the broader market0.0020.0040.0060.0080.00100.00726.928,516.56
BOXX
SGOV

The current BOXX Sharpe Ratio is 13.72, which is lower than the SGOV Sharpe Ratio of 21.75. The chart below compares the historical Sharpe Ratios of BOXX and SGOV, 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 Ratio12.0014.0016.0018.0020.0022.0024.00JuneJulyAugustSeptemberOctoberNovember
13.72
21.75
BOXX
SGOV

Dividends

BOXX vs. SGOV - Dividend Comparison

BOXX's dividend yield for the trailing twelve months is around 0.27%, less than SGOV's 5.23% yield.


TTM2023202220212020
BOXX
Alpha Architect 1-3 Month Box ETF
0.27%0.00%0.00%0.00%0.00%
SGOV
iShares 0-3 Month Treasury Bond ETF
5.23%4.87%1.45%0.03%0.04%

Drawdowns

BOXX vs. SGOV - Drawdown Comparison

The maximum BOXX drawdown since its inception was -0.12%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for BOXX and SGOV. For additional features, visit the drawdowns tool.


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

Volatility

BOXX vs. SGOV - Volatility Comparison

Alpha Architect 1-3 Month Box ETF (BOXX) and iShares 0-3 Month Treasury Bond ETF (SGOV) have volatilities of 0.08% and 0.08%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


0.06%0.08%0.10%0.12%JuneJulyAugustSeptemberOctoberNovember
0.08%
0.08%
BOXX
SGOV