PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BOXX vs. SVOL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

BOXX vs. SVOL - Performance Comparison

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

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%JuneJulyAugustSeptemberOctoberNovember
2.47%
2.85%
BOXX
SVOL

Returns By Period

In the year-to-date period, BOXX achieves a 4.59% return, which is significantly lower than SVOL's 9.36% return.


BOXX

YTD

4.59%

1M

0.36%

6M

2.47%

1Y

5.20%

5Y (annualized)

N/A

10Y (annualized)

N/A

SVOL

YTD

9.36%

1M

3.03%

6M

2.86%

1Y

11.53%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


BOXXSVOL
Sharpe Ratio13.720.96
Sortino Ratio46.541.31
Omega Ratio10.401.24
Calmar Ratio136.781.06
Martin Ratio726.926.88
Ulcer Index0.01%1.68%
Daily Std Dev0.38%12.01%
Max Drawdown-0.12%-15.68%
Current Drawdown0.00%-0.46%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


BOXX vs. SVOL - Expense Ratio Comparison

BOXX has a 0.20% expense ratio, which is lower than SVOL's 0.50% expense ratio.


SVOL
Simplify Volatility Premium ETF
Expense ratio chart for SVOL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
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%

Correlation

-0.50.00.51.0-0.0

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.

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.


Sharpe ratio
The chart of Sharpe ratio for BOXX, currently valued at 13.72, compared to the broader market0.002.004.0013.720.96
The chart of Sortino ratio for BOXX, currently valued at 46.54, compared to the broader market-2.000.002.004.006.008.0010.0012.0046.541.31
The chart of Omega ratio for BOXX, currently valued at 10.40, compared to the broader market0.501.001.502.002.503.0010.401.24
The chart of Calmar ratio for BOXX, currently valued at 136.78, compared to the broader market0.005.0010.0015.0020.00136.781.06
The chart of Martin ratio for BOXX, currently valued at 726.92, compared to the broader market0.0020.0040.0060.0080.00100.00120.00726.926.88
BOXX
SVOL

The current BOXX Sharpe Ratio is 13.72, which is higher than the SVOL Sharpe Ratio of 0.96. The chart below compares the historical Sharpe Ratios of BOXX and SVOL, 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
0.96
BOXX
SVOL

Dividends

BOXX vs. SVOL - Dividend Comparison

BOXX's dividend yield for the trailing twelve months is around 0.27%, less than SVOL's 16.34% yield.


TTM202320222021
BOXX
Alpha Architect 1-3 Month Box ETF
0.27%0.00%0.00%0.00%
SVOL
Simplify Volatility Premium ETF
16.34%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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.46%
BOXX
SVOL

Volatility

BOXX vs. SVOL - Volatility Comparison

The current volatility for Alpha Architect 1-3 Month Box ETF (BOXX) is 0.08%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 3.23%. 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.


0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
0.08%
3.23%
BOXX
SVOL