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

Key characteristics


CAOSBOXX
YTD Return4.84%4.46%
1Y Return5.42%5.31%
Sharpe Ratio1.8213.91
Sortino Ratio2.8447.62
Omega Ratio1.6510.54
Calmar Ratio2.65140.39
Martin Ratio8.31731.48
Ulcer Index0.66%0.01%
Daily Std Dev3.02%0.38%
Max Drawdown-3.41%-0.12%
Current Drawdown-0.19%0.00%

Correlation

-0.50.00.51.00.0

The correlation between CAOS and BOXX is 0.01, 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

CAOS vs. BOXX - Performance Comparison

In the year-to-date period, CAOS achieves a 4.84% return, which is significantly higher than BOXX's 4.46% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
3.67%
2.54%
CAOS
BOXX

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CAOS vs. BOXX - Expense Ratio Comparison

CAOS has a 0.63% expense ratio, which is higher than BOXX's 0.20% expense ratio.


CAOS
Alpha Architect Tail Risk ETF
Expense ratio chart for CAOS: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%
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

CAOS vs. BOXX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect Tail Risk ETF (CAOS) 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.


CAOS
Sharpe ratio
The chart of Sharpe ratio for CAOS, currently valued at 1.82, compared to the broader market-2.000.002.004.001.82
Sortino ratio
The chart of Sortino ratio for CAOS, currently valued at 2.84, compared to the broader market-2.000.002.004.006.008.0010.0012.002.84
Omega ratio
The chart of Omega ratio for CAOS, currently valued at 1.65, compared to the broader market1.001.502.002.503.001.65
Calmar ratio
The chart of Calmar ratio for CAOS, currently valued at 2.65, compared to the broader market0.005.0010.0015.002.65
Martin ratio
The chart of Martin ratio for CAOS, currently valued at 8.31, compared to the broader market0.0020.0040.0060.0080.00100.008.31
BOXX
Sharpe ratio
The chart of Sharpe ratio for BOXX, currently valued at 13.91, compared to the broader market-2.000.002.004.0013.91
Sortino ratio
The chart of Sortino ratio for BOXX, currently valued at 47.62, compared to the broader market-2.000.002.004.006.008.0010.0012.0047.62
Omega ratio
The chart of Omega ratio for BOXX, currently valued at 10.54, compared to the broader market1.001.502.002.503.0010.54
Calmar ratio
The chart of Calmar ratio for BOXX, currently valued at 140.39, compared to the broader market0.005.0010.0015.00140.39
Martin ratio
The chart of Martin ratio for BOXX, currently valued at 731.48, compared to the broader market0.0020.0040.0060.0080.00100.00731.48

CAOS vs. BOXX - Sharpe Ratio Comparison

The current CAOS Sharpe Ratio is 1.82, which is lower than the BOXX Sharpe Ratio of 13.91. The chart below compares the historical Sharpe Ratios of CAOS 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 Ratio2.004.006.008.0010.0012.0014.00JuneJulyAugustSeptemberOctoberNovember
1.82
13.91
CAOS
BOXX

Dividends

CAOS vs. BOXX - Dividend Comparison

CAOS has not paid dividends to shareholders, while BOXX's dividend yield for the trailing twelve months is around 0.27%.


TTM
CAOS
Alpha Architect Tail Risk ETF
0.00%
BOXX
Alpha Architect 1-3 Month Box ETF
0.27%

Drawdowns

CAOS vs. BOXX - Drawdown Comparison

The maximum CAOS drawdown since its inception was -3.41%, which is greater than BOXX's maximum drawdown of -0.12%. Use the drawdown chart below to compare losses from any high point for CAOS and BOXX. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.19%
0
CAOS
BOXX

Volatility

CAOS vs. BOXX - Volatility Comparison

Alpha Architect Tail Risk ETF (CAOS) has a higher volatility of 0.27% compared to Alpha Architect 1-3 Month Box ETF (BOXX) at 0.09%. This indicates that CAOS'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.


0.00%0.50%1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
0.27%
0.09%
CAOS
BOXX