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

Key characteristics


FLOTBOXX
YTD Return5.70%4.47%
1Y Return6.61%5.28%
Sharpe Ratio8.1913.84
Sortino Ratio15.0247.40
Omega Ratio4.5710.50
Calmar Ratio15.02139.71
Martin Ratio162.39727.95
Ulcer Index0.04%0.01%
Daily Std Dev0.82%0.38%
Max Drawdown-13.54%-0.12%
Current Drawdown-0.02%0.00%

Correlation

-0.50.00.51.00.1

The correlation between FLOT and BOXX is 0.10, 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

FLOT vs. BOXX - Performance Comparison

In the year-to-date period, FLOT achieves a 5.70% return, which is significantly higher than BOXX's 4.47% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-0.50%0.00%0.50%1.00%1.50%2.00%2.50%3.00%JuneJulyAugustSeptemberOctoberNovember
2.94%
2.54%
FLOT
BOXX

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FLOT vs. BOXX - Expense Ratio Comparison

Both FLOT and BOXX have an expense ratio of 0.20%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


FLOT
iShares Floating Rate Bond ETF
Expense ratio chart for FLOT: 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 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%

Risk-Adjusted Performance

FLOT vs. BOXX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Floating Rate Bond ETF (FLOT) and Alpha Architect 1-3 Month Box ETF (BOXX). 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.


FLOT
Sharpe ratio
The chart of Sharpe ratio for FLOT, currently valued at 8.19, compared to the broader market-2.000.002.004.006.008.19
Sortino ratio
The chart of Sortino ratio for FLOT, currently valued at 15.02, compared to the broader market0.005.0010.0015.02
Omega ratio
The chart of Omega ratio for FLOT, currently valued at 4.57, compared to the broader market1.001.502.002.503.004.57
Calmar ratio
The chart of Calmar ratio for FLOT, currently valued at 15.02, compared to the broader market0.005.0010.0015.0015.02
Martin ratio
The chart of Martin ratio for FLOT, currently valued at 162.39, compared to the broader market0.0020.0040.0060.0080.00100.00120.00162.39
BOXX
Sharpe ratio
The chart of Sharpe ratio for BOXX, currently valued at 13.84, compared to the broader market-2.000.002.004.006.0013.84
Sortino ratio
The chart of Sortino ratio for BOXX, currently valued at 47.40, compared to the broader market0.005.0010.0047.40
Omega ratio
The chart of Omega ratio for BOXX, currently valued at 10.50, compared to the broader market1.001.502.002.503.0010.50
Calmar ratio
The chart of Calmar ratio for BOXX, currently valued at 139.71, compared to the broader market0.005.0010.0015.00139.71
Martin ratio
The chart of Martin ratio for BOXX, currently valued at 727.95, compared to the broader market0.0020.0040.0060.0080.00100.00120.00727.95

FLOT vs. BOXX - Sharpe Ratio Comparison

The current FLOT Sharpe Ratio is 8.19, which is lower than the BOXX Sharpe Ratio of 13.84. The chart below compares the historical Sharpe Ratios of FLOT and BOXX, 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 Ratio8.009.0010.0011.0012.0013.0014.00JuneJulyAugustSeptemberOctoberNovember
8.19
13.84
FLOT
BOXX

Dividends

FLOT vs. BOXX - Dividend Comparison

FLOT's dividend yield for the trailing twelve months is around 5.92%, more than BOXX's 0.27% yield.


TTM20232022202120202019201820172016201520142013
FLOT
iShares Floating Rate Bond ETF
5.92%5.66%2.06%0.43%1.25%2.78%2.41%1.45%0.97%0.53%0.44%0.48%
BOXX
Alpha Architect 1-3 Month Box ETF
0.27%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FLOT vs. BOXX - Drawdown Comparison

The maximum FLOT drawdown since its inception was -13.54%, which is greater than BOXX's maximum drawdown of -0.12%. Use the drawdown chart below to compare losses from any high point for FLOT and BOXX. For additional features, visit the drawdowns tool.


-0.40%-0.30%-0.20%-0.10%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.02%
0
FLOT
BOXX

Volatility

FLOT vs. BOXX - Volatility Comparison

iShares Floating Rate Bond ETF (FLOT) has a higher volatility of 0.41% compared to Alpha Architect 1-3 Month Box ETF (BOXX) at 0.09%. This indicates that FLOT's price experiences larger fluctuations and is considered to be riskier than BOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.10%0.20%0.30%0.40%0.50%JuneJulyAugustSeptemberOctoberNovember
0.41%
0.09%
FLOT
BOXX