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CSA vs. MBOX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CSA and MBOX is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

CSA vs. MBOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in VictoryShares US Small Cap Volatility Wtd ETF (CSA) and Freedom Day Dividend ETF (MBOX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
13.15%
5.11%
CSA
MBOX

Key characteristics

Sharpe Ratio

CSA:

0.74

MBOX:

1.48

Sortino Ratio

CSA:

1.18

MBOX:

2.08

Omega Ratio

CSA:

1.14

MBOX:

1.26

Calmar Ratio

CSA:

1.55

MBOX:

2.22

Martin Ratio

CSA:

3.96

MBOX:

8.19

Ulcer Index

CSA:

3.44%

MBOX:

2.27%

Daily Std Dev

CSA:

18.50%

MBOX:

12.55%

Max Drawdown

CSA:

-42.40%

MBOX:

-16.42%

Current Drawdown

CSA:

-7.58%

MBOX:

-5.95%

Returns By Period

In the year-to-date period, CSA achieves a 13.54% return, which is significantly lower than MBOX's 17.71% return.


CSA

YTD

13.54%

1M

-6.13%

6M

13.15%

1Y

13.62%

5Y*

10.40%

10Y*

N/A

MBOX

YTD

17.71%

1M

-4.96%

6M

5.11%

1Y

18.58%

5Y*

N/A

10Y*

N/A

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CSA vs. MBOX - Expense Ratio Comparison

CSA has a 0.35% expense ratio, which is lower than MBOX's 0.39% expense ratio.


MBOX
Freedom Day Dividend ETF
Expense ratio chart for MBOX: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for CSA: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

CSA vs. MBOX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VictoryShares US Small Cap Volatility Wtd ETF (CSA) and Freedom Day Dividend ETF (MBOX). 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 CSA, currently valued at 0.74, compared to the broader market0.002.004.000.741.48
The chart of Sortino ratio for CSA, currently valued at 1.18, compared to the broader market-2.000.002.004.006.008.0010.001.182.08
The chart of Omega ratio for CSA, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.26
The chart of Calmar ratio for CSA, currently valued at 1.55, compared to the broader market0.005.0010.0015.001.552.22
The chart of Martin ratio for CSA, currently valued at 3.96, compared to the broader market0.0020.0040.0060.0080.00100.003.968.19
CSA
MBOX

The current CSA Sharpe Ratio is 0.74, which is lower than the MBOX Sharpe Ratio of 1.48. The chart below compares the historical Sharpe Ratios of CSA and MBOX, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.74
1.48
CSA
MBOX

Dividends

CSA vs. MBOX - Dividend Comparison

CSA's dividend yield for the trailing twelve months is around 1.43%, more than MBOX's 1.20% yield.


TTM202320222021202020192018201720162015
CSA
VictoryShares US Small Cap Volatility Wtd ETF
1.43%1.23%1.42%1.25%1.30%1.35%1.44%1.05%1.01%0.52%
MBOX
Freedom Day Dividend ETF
1.20%2.13%2.87%1.16%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

CSA vs. MBOX - Drawdown Comparison

The maximum CSA drawdown since its inception was -42.40%, which is greater than MBOX's maximum drawdown of -16.42%. Use the drawdown chart below to compare losses from any high point for CSA and MBOX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.58%
-5.95%
CSA
MBOX

Volatility

CSA vs. MBOX - Volatility Comparison

VictoryShares US Small Cap Volatility Wtd ETF (CSA) has a higher volatility of 5.03% compared to Freedom Day Dividend ETF (MBOX) at 4.20%. This indicates that CSA's price experiences larger fluctuations and is considered to be riskier than MBOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
5.03%
4.20%
CSA
MBOX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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