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

Correlation

The correlation between CSF and MBOX is 0.71, 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.


-0.50.00.51.00.7

Performance

CSF vs. MBOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in VictoryShares US Discovery Enhanced Volatility Wtd ETF (CSF) 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
13.21%
5.11%
CSF
MBOX

Key characteristics

Sharpe Ratio

CSF:

0.77

MBOX:

1.48

Sortino Ratio

CSF:

1.23

MBOX:

2.08

Omega Ratio

CSF:

1.15

MBOX:

1.26

Calmar Ratio

CSF:

0.56

MBOX:

2.22

Martin Ratio

CSF:

4.50

MBOX:

8.19

Ulcer Index

CSF:

3.25%

MBOX:

2.27%

Daily Std Dev

CSF:

19.09%

MBOX:

12.55%

Max Drawdown

CSF:

-35.93%

MBOX:

-16.42%

Current Drawdown

CSF:

-10.94%

MBOX:

-5.95%

Returns By Period

In the year-to-date period, CSF achieves a 14.70% return, which is significantly lower than MBOX's 17.71% return.


CSF

YTD

14.70%

1M

-6.03%

6M

13.22%

1Y

14.65%

5Y*

8.82%

10Y*

5.36%

MBOX

YTD

17.71%

1M

-4.96%

6M

5.11%

1Y

18.58%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

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


CSF vs. MBOX - Expense Ratio Comparison

CSF 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 CSF: 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

CSF vs. MBOX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VictoryShares US Discovery Enhanced Volatility Wtd ETF (CSF) 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 CSF, currently valued at 0.77, compared to the broader market0.002.004.000.771.48
The chart of Sortino ratio for CSF, currently valued at 1.23, compared to the broader market-2.000.002.004.006.008.0010.001.232.08
The chart of Omega ratio for CSF, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.26
The chart of Calmar ratio for CSF, currently valued at 0.56, compared to the broader market0.005.0010.0015.000.562.22
The chart of Martin ratio for CSF, currently valued at 4.50, compared to the broader market0.0020.0040.0060.0080.00100.004.508.19
CSF
MBOX

The current CSF Sharpe Ratio is 0.77, which is lower than the MBOX Sharpe Ratio of 1.48. The chart below compares the historical Sharpe Ratios of CSF 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.77
1.48
CSF
MBOX

Dividends

CSF vs. MBOX - Dividend Comparison

CSF's dividend yield for the trailing twelve months is around 1.46%, more than MBOX's 1.20% yield.


TTM2023202220212020201920182017201620152014
CSF
VictoryShares US Discovery Enhanced Volatility Wtd ETF
1.46%3.07%1.46%1.27%0.99%1.65%1.34%1.05%0.90%1.11%0.40%
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%0.00%

Drawdowns

CSF vs. MBOX - Drawdown Comparison

The maximum CSF drawdown since its inception was -35.93%, which is greater than MBOX's maximum drawdown of -16.42%. Use the drawdown chart below to compare losses from any high point for CSF and MBOX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.94%
-5.95%
CSF
MBOX

Volatility

CSF vs. MBOX - Volatility Comparison

VictoryShares US Discovery Enhanced Volatility Wtd ETF (CSF) has a higher volatility of 4.69% compared to Freedom Day Dividend ETF (MBOX) at 4.20%. This indicates that CSF'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
4.69%
4.20%
CSF
MBOX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab