SPYM vs. BOXX
SPYM (State Street SPDR Portfolio S&P 500 ETF) and BOXX (Alpha Architect 1-3 Month Box ETF) are both exchange-traded funds - SPYM is a S&P 500 fund tracking the S&P 500 Index, while BOXX is a Ultrashort Bond fund tracking the Solactive 1-3 Month US T-Bill Index. Both are passively managed. Over the past 3 years, SPYM returned 21.24%/yr vs 4.70%/yr for BOXX. At a 0.00 correlation, their price movements are largely independent. SPYM charges 0.02%/yr vs 0.19%/yr for BOXX.
Performance
SPYM vs. BOXX - Performance Comparison
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Returns By Period
In the year-to-date period, SPYM achieves a 11.01% return, which is significantly higher than BOXX's 1.65% return.
SPYM
- 1D
- 1.76%
- 1M
- 2.12%
- YTD
- 11.01%
- 6M
- 11.52%
- 1Y
- 27.97%
- 3Y*
- 21.24%
- 5Y*
- 13.94%
- 10Y*
- 15.73%
BOXX
- 1D
- -0.01%
- 1M
- 0.23%
- YTD
- 1.65%
- 6M
- 1.93%
- 1Y
- 4.05%
- 3Y*
- 4.70%
- 5Y*
- —
- 10Y*
- —
SPYM vs. BOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
SPYM State Street SPDR Portfolio S&P 500 ETF | 11.01% | 17.79% | 25.00% | 26.24% | 0.31% |
BOXX Alpha Architect 1-3 Month Box ETF | 1.65% | 4.37% | 5.16% | 5.04% | 0.07% |
Correlation
The correlation between SPYM and BOXX is 0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.01 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since Dec 28, 2022 | 0.00 |
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Return for Risk
SPYM vs. BOXX — Risk / Return Rank
SPYM
BOXX
SPYM vs. BOXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for State Street SPDR Portfolio S&P 500 ETF (SPYM) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SPYM | BOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -10.30 | ||
| Sortino ratioReturn per unit of downside risk | -33.93 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 9.40 | -7.98 |
| Calmar ratioReturn relative to maximum drawdown | 3.16 | 59.06 | -55.90 |
| Martin ratioReturn relative to average drawdown | 14.26 | 519.27 | -505.01 |
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Drawdowns
SPYM vs. BOXX - Drawdown Comparison
The maximum SPYM drawdown since its inception was -54.46%, which is greater than BOXX's maximum drawdown of -0.12%. Use the drawdown chart below to compare losses from any high point for SPYM and BOXX.
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Drawdown Indicators
| SPYM | BOXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.46% | -0.12% | -54.34% |
Max Drawdown (1Y)Largest decline over 1 year | -8.90% | -0.07% | -8.83% |
Max Drawdown (3Y)Largest decline over 3 years | -18.72% | -0.12% | -18.60% |
Max Drawdown (5Y)Largest decline over 5 years | -24.48% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -33.87% | — | — |
Current DrawdownCurrent decline from peak | -0.63% | -0.01% | -0.62% |
Average DrawdownAverage peak-to-trough decline | -7.14% | -0.00% | -7.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.97% | 0.01% | +1.96% |
Volatility
SPYM vs. BOXX - Volatility Comparison
State Street SPDR Portfolio S&P 500 ETF (SPYM) has a higher volatility of 4.61% compared to Alpha Architect 1-3 Month Box ETF (BOXX) at 0.11%. This indicates that SPYM'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.
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Volatility by Period
| SPYM | BOXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.61% | 0.11% | +4.50% |
Volatility (6M)Calculated over the trailing 6-month period | 9.72% | 0.25% | +9.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.33% | 0.32% | +12.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.89% | 0.37% | +16.52% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.04% | 0.37% | +17.67% |
SPYM vs. BOXX - Expense Ratio Comparison
SPYM has a 0.02% expense ratio, which is lower than BOXX's 0.19% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
SPYM vs. BOXX - Dividend Comparison
SPYM's dividend yield for the trailing twelve months is around 1.27%, while BOXX has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BOXX Alpha Architect 1-3 Month Box ETF | 0.00% | 0.00% | 0.26% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPYM State Street SPDR Portfolio S&P 500 ETF | 1.27% | 1.13% | 1.28% | 1.44% | 1.69% | 1.25% | 1.54% | 1.79% | 2.23% | 1.75% | 1.97% | 1.98% |
Frequently Asked Questions
SPYM and BOXX have a correlation of 0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPYM has higher volatility (4.61%) compared to BOXX (0.11%). In terms of maximum drawdown, SPYM dropped -54.46% vs BOXX's -0.12%.
On 3-year performance, SPYM leads with 21.24% vs 4.70% for BOXX. On fees, SPYM is cheaper at 0.02% per year. On volatility, BOXX has been the lower-risk option at 0.11%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, SPYM has performed better with a 21.24% return vs 4.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPYM is cheaper with a 0.02% expense ratio, compared with 0.19% for BOXX.
SPYM has the higher dividend yield at 1.27%, compared with 0.00% for BOXX.
SPYM is categorized as S&P 500, while BOXX is Ultrashort Bond. SPYM tracks S&P 500 Index, while BOXX tracks Solactive 1-3 Month US T-Bill Index. They also come from different issuers: State Street and Alpha Architect. Their fees differ too: 0.02% for SPYM and 0.19% for BOXX.
BOXX currently has the higher Sharpe Ratio (12.58 vs 2.28), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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