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

Key characteristics


MBOXDDIV
YTD Return12.25%12.69%
1Y Return33.21%29.81%
3Y Return (Ann)10.53%5.18%
Sharpe Ratio3.082.42
Daily Std Dev11.57%13.09%
Max Drawdown-16.42%-47.55%
Current Drawdown-0.28%-0.09%

Correlation

-0.50.00.51.00.8

The correlation between MBOX and DDIV is 0.85, 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.

Performance

MBOX vs. DDIV - Performance Comparison

The year-to-date returns for both investments are quite close, with MBOX having a 12.25% return and DDIV slightly higher at 12.69%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%10.00%20.00%30.00%40.00%December2024FebruaryMarchAprilMay
36.21%
18.94%
MBOX
DDIV

Compare stocks, funds, or ETFs

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


Freedom Day Dividend ETF

First Trust Dorsey Wright Momentum & Dividend ETF

MBOX vs. DDIV - Expense Ratio Comparison

MBOX has a 0.39% expense ratio, which is lower than DDIV's 0.60% expense ratio.


DDIV
First Trust Dorsey Wright Momentum & Dividend ETF
Expense ratio chart for DDIV: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
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%

Risk-Adjusted Performance

MBOX vs. DDIV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Freedom Day Dividend ETF (MBOX) and First Trust Dorsey Wright Momentum & Dividend ETF (DDIV). 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.


MBOX
Sharpe ratio
The chart of Sharpe ratio for MBOX, currently valued at 3.08, compared to the broader market0.002.004.003.08
Sortino ratio
The chart of Sortino ratio for MBOX, currently valued at 4.36, compared to the broader market-2.000.002.004.006.008.0010.004.36
Omega ratio
The chart of Omega ratio for MBOX, currently valued at 1.53, compared to the broader market0.501.001.502.002.501.53
Calmar ratio
The chart of Calmar ratio for MBOX, currently valued at 3.57, compared to the broader market0.005.0010.0015.003.57
Martin ratio
The chart of Martin ratio for MBOX, currently valued at 14.94, compared to the broader market0.0020.0040.0060.0080.0014.94
DDIV
Sharpe ratio
The chart of Sharpe ratio for DDIV, currently valued at 2.42, compared to the broader market0.002.004.002.42
Sortino ratio
The chart of Sortino ratio for DDIV, currently valued at 3.51, compared to the broader market-2.000.002.004.006.008.0010.003.51
Omega ratio
The chart of Omega ratio for DDIV, currently valued at 1.41, compared to the broader market0.501.001.502.002.501.41
Calmar ratio
The chart of Calmar ratio for DDIV, currently valued at 1.59, compared to the broader market0.005.0010.0015.001.59
Martin ratio
The chart of Martin ratio for DDIV, currently valued at 10.50, compared to the broader market0.0020.0040.0060.0080.0010.50

MBOX vs. DDIV - Sharpe Ratio Comparison

The current MBOX Sharpe Ratio is 3.08, which roughly equals the DDIV Sharpe Ratio of 2.42. The chart below compares the 12-month rolling Sharpe Ratio of MBOX and DDIV.


Rolling 12-month Sharpe Ratio0.001.002.003.00December2024FebruaryMarchAprilMay
3.08
2.42
MBOX
DDIV

Dividends

MBOX vs. DDIV - Dividend Comparison

MBOX's dividend yield for the trailing twelve months is around 1.68%, less than DDIV's 2.53% yield.


TTM2023202220212020201920182017201620152014
MBOX
Freedom Day Dividend ETF
1.68%2.13%2.87%1.17%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DDIV
First Trust Dorsey Wright Momentum & Dividend ETF
2.53%3.18%3.60%2.43%2.63%2.93%3.27%2.35%2.45%2.61%2.15%

Drawdowns

MBOX vs. DDIV - Drawdown Comparison

The maximum MBOX drawdown since its inception was -16.42%, smaller than the maximum DDIV drawdown of -47.55%. Use the drawdown chart below to compare losses from any high point for MBOX and DDIV. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-0.28%
-0.09%
MBOX
DDIV

Volatility

MBOX vs. DDIV - Volatility Comparison

The current volatility for Freedom Day Dividend ETF (MBOX) is 2.50%, while First Trust Dorsey Wright Momentum & Dividend ETF (DDIV) has a volatility of 3.04%. This indicates that MBOX experiences smaller price fluctuations and is considered to be less risky than DDIV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%December2024FebruaryMarchAprilMay
2.50%
3.04%
MBOX
DDIV