BOXX vs. SGOV
Compare and contrast key facts about Alpha Architect 1-3 Month Box ETF (BOXX) and iShares 0-3 Month Treasury Bond ETF (SGOV).
BOXX and SGOV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. BOXX is an actively managed fund by Alpha Architect. It was launched on Dec 27, 2022. SGOV is a passively managed fund by iShares that tracks the performance of the ICE 0-3 Month US Treasury Bill Index. It was launched on May 26, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BOXX or SGOV.
Key characteristics
| BOXX | SGOV | |
|---|---|---|
| YTD Return | 4.46% | 4.62% |
| 1Y Return | 5.28% | 5.38% |
| Sharpe Ratio | 13.63 | 21.93 |
| Sortino Ratio | 46.24 | 527.74 |
| Omega Ratio | 10.09 | 528.74 |
| Calmar Ratio | 138.15 | 541.76 |
| Martin Ratio | 735.91 | 8,600.11 |
| Ulcer Index | 0.01% | 0.00% |
| Daily Std Dev | 0.39% | 0.25% |
| Max Drawdown | -0.12% | -0.03% |
| Current Drawdown | -0.02% | 0.00% |
Correlation
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.
Performance
BOXX vs. SGOV - Performance Comparison
The year-to-date returns for both investments are quite close, with BOXX having a 4.46% return and SGOV slightly higher at 4.62%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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%.
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.
Dividends
BOXX vs. SGOV - Dividend Comparison
BOXX's dividend yield for the trailing twelve months is around 0.27%, less than SGOV's 5.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|
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 | 5.24% | 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.
Volatility
BOXX vs. SGOV - Volatility Comparison
Alpha Architect 1-3 Month Box ETF (BOXX) has a higher volatility of 0.09% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that BOXX's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.