CSF vs. MBOX
Compare and contrast key facts about VictoryShares US Discovery Enhanced Volatility Wtd ETF (CSF) and Freedom Day Dividend ETF (MBOX).
CSF and MBOX are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CSF is a passively managed fund by Crestview that tracks the performance of the Nasdaq Victory U.S. Small Cap 500 Long/Cash Volatility Weighted Index. It was launched on Aug 1, 2014. MBOX is an actively managed fund by EMPIRICAL FINANCE LLC. It was launched on May 5, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CSF or MBOX.
Performance
CSF vs. MBOX - Performance Comparison
Returns By Period
In the year-to-date period, CSF achieves a 22.05% return, which is significantly lower than MBOX's 23.85% return.
CSF
22.05%
9.98%
17.53%
25.81%
11.09%
6.22%
MBOX
23.85%
4.89%
11.66%
32.65%
N/A
N/A
Key characteristics
| CSF | MBOX | |
|---|---|---|
| Sharpe Ratio | 1.39 | 2.66 |
| Sortino Ratio | 2.07 | 3.68 |
| Omega Ratio | 1.26 | 1.46 |
| Calmar Ratio | 0.99 | 4.78 |
| Martin Ratio | 8.66 | 16.96 |
| Ulcer Index | 2.98% | 1.93% |
| Daily Std Dev | 18.54% | 12.25% |
| Max Drawdown | -35.93% | -16.42% |
| Current Drawdown | -5.23% | 0.00% |
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CSF vs. MBOX - Expense Ratio Comparison
CSF has a 0.35% expense ratio, which is lower than MBOX's 0.39% expense ratio.
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.
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.
Dividends
CSF vs. MBOX - Dividend Comparison
CSF's dividend yield for the trailing twelve months is around 1.58%, more than MBOX's 1.55% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
CSF VictoryShares US Discovery Enhanced Volatility Wtd ETF | 1.58% | 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 | 1.55% | 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.
Volatility
CSF vs. MBOX - Volatility Comparison
VictoryShares US Discovery Enhanced Volatility Wtd ETF (CSF) has a higher volatility of 7.74% compared to Freedom Day Dividend ETF (MBOX) at 3.98%. 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.