BOXX vs. SVOL
Compare and contrast key facts about Alpha Architect 1-3 Month Box ETF (BOXX) and Simplify Volatility Premium ETF (SVOL).
BOXX and SVOL 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. SVOL is an actively managed fund by Simplify Asset Management Inc.. It was launched on May 12, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BOXX or SVOL.
Key characteristics
| BOXX | SVOL | |
|---|---|---|
| YTD Return | 4.46% | 9.76% |
| 1Y Return | 5.28% | 13.27% |
| Sharpe Ratio | 13.63 | 1.15 |
| Sortino Ratio | 46.24 | 1.54 |
| Omega Ratio | 10.09 | 1.28 |
| Calmar Ratio | 138.15 | 1.25 |
| Martin Ratio | 735.91 | 8.18 |
| Ulcer Index | 0.01% | 1.67% |
| Daily Std Dev | 0.39% | 11.96% |
| Max Drawdown | -0.12% | -15.68% |
| Current Drawdown | -0.02% | 0.00% |
Correlation
The correlation between BOXX and SVOL is -0.01. 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.
Performance
BOXX vs. SVOL - Performance Comparison
In the year-to-date period, BOXX achieves a 4.46% return, which is significantly lower than SVOL's 9.76% return. 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. SVOL - Expense Ratio Comparison
BOXX has a 0.20% expense ratio, which is lower than SVOL's 0.50% expense ratio.
Risk-Adjusted Performance
BOXX vs. SVOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect 1-3 Month Box ETF (BOXX) and Simplify Volatility Premium ETF (SVOL). 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. SVOL - Dividend Comparison
BOXX's dividend yield for the trailing twelve months is around 0.27%, less than SVOL's 16.28% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
BOXX Alpha Architect 1-3 Month Box ETF | 0.27% | 0.00% | 0.00% | 0.00% |
SVOL Simplify Volatility Premium ETF | 16.28% | 16.37% | 18.31% | 4.65% |
Drawdowns
BOXX vs. SVOL - Drawdown Comparison
The maximum BOXX drawdown since its inception was -0.12%, smaller than the maximum SVOL drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for BOXX and SVOL. For additional features, visit the drawdowns tool.
Volatility
BOXX vs. SVOL - Volatility Comparison
The current volatility for Alpha Architect 1-3 Month Box ETF (BOXX) is 0.09%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 3.40%. This indicates that BOXX experiences smaller price fluctuations and is considered to be less risky than SVOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.