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

Performance

BOXX vs. TBIL - Performance Comparison

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

0.00%0.50%1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
2.50%
2.53%
BOXX
TBIL

Returns By Period

In the year-to-date period, BOXX achieves a 4.53% return, which is significantly lower than TBIL's 4.80% return.


BOXX

YTD

4.53%

1M

0.35%

6M

2.50%

1Y

5.23%

5Y (annualized)

N/A

10Y (annualized)

N/A

TBIL

YTD

4.80%

1M

0.36%

6M

2.52%

1Y

5.45%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


BOXXTBIL
Sharpe Ratio13.7414.46
Sortino Ratio46.8275.48
Omega Ratio10.4622.14
Calmar Ratio137.65269.06
Martin Ratio731.541,229.88
Ulcer Index0.01%0.00%
Daily Std Dev0.38%0.38%
Max Drawdown-0.12%-0.10%
Current Drawdown0.00%0.00%

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. TBIL - Expense Ratio Comparison

BOXX has a 0.20% expense ratio, which is higher than TBIL's 0.15% 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 TBIL: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.00.2

The correlation between BOXX and TBIL is 0.24, 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. TBIL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect 1-3 Month Box ETF (BOXX) and US Treasury 3 Month Bill ETF (TBIL). 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 13.73, compared to the broader market0.002.004.006.0013.7414.46
The chart of Sortino ratio for BOXX, currently valued at 46.82, compared to the broader market-2.000.002.004.006.008.0010.0012.0046.8275.48
The chart of Omega ratio for BOXX, currently valued at 10.46, compared to the broader market0.501.001.502.002.503.0010.4622.14
The chart of Calmar ratio for BOXX, currently valued at 137.65, compared to the broader market0.005.0010.0015.00137.65269.06
The chart of Martin ratio for BOXX, currently valued at 731.54, compared to the broader market0.0020.0040.0060.0080.00100.00120.00731.541,229.88
BOXX
TBIL

The current BOXX Sharpe Ratio is 13.74, which is comparable to the TBIL Sharpe Ratio of 14.46. The chart below compares the historical Sharpe Ratios of BOXX and TBIL, 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 Ratio12.0013.0014.0015.0016.00JuneJulyAugustSeptemberOctoberNovember
13.74
14.46
BOXX
TBIL

Dividends

BOXX vs. TBIL - Dividend Comparison

BOXX's dividend yield for the trailing twelve months is around 0.27%, less than TBIL's 5.38% yield.


TTM20232022
BOXX
Alpha Architect 1-3 Month Box ETF
0.27%0.00%0.00%
TBIL
US Treasury 3 Month Bill ETF
5.38%5.00%1.10%

Drawdowns

BOXX vs. TBIL - Drawdown Comparison

The maximum BOXX drawdown since its inception was -0.12%, which is greater than TBIL's maximum drawdown of -0.10%. Use the drawdown chart below to compare losses from any high point for BOXX and TBIL. For additional features, visit the drawdowns tool.


-0.04%-0.03%-0.02%-0.01%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.00%
BOXX
TBIL

Volatility

BOXX vs. TBIL - Volatility Comparison

The current volatility for Alpha Architect 1-3 Month Box ETF (BOXX) is 0.08%, while US Treasury 3 Month Bill ETF (TBIL) has a volatility of 0.10%. This indicates that BOXX experiences smaller price fluctuations and is considered to be less risky than TBIL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.06%0.08%0.10%0.12%JuneJulyAugustSeptemberOctoberNovember
0.08%
0.10%
BOXX
TBIL