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USBOX vs. NEFSX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


USBOXNEFSX
YTD Return18.84%13.58%
1Y Return26.74%21.59%
3Y Return (Ann)11.10%7.84%
5Y Return (Ann)16.31%14.99%
10Y Return (Ann)13.90%13.30%
Sharpe Ratio2.311.61
Daily Std Dev11.87%13.98%
Max Drawdown-71.83%-61.82%
Current Drawdown-0.32%-1.56%

Correlation

-0.50.00.51.00.9

The correlation between USBOX and NEFSX is 0.89, 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

USBOX vs. NEFSX - Performance Comparison

In the year-to-date period, USBOX achieves a 18.84% return, which is significantly higher than NEFSX's 13.58% return. Both investments have delivered pretty close results over the past 10 years, with USBOX having a 13.90% annualized return and NEFSX not far behind at 13.30%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


400.00%600.00%800.00%1,000.00%1,200.00%AprilMayJuneJulyAugustSeptember
573.62%
1,140.48%
USBOX
NEFSX

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USBOX vs. NEFSX - Expense Ratio Comparison

USBOX has a 1.16% expense ratio, which is higher than NEFSX's 1.14% expense ratio.


USBOX
Pear Tree Quality Fund
Expense ratio chart for USBOX: current value at 1.16% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.16%
Expense ratio chart for NEFSX: current value at 1.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.14%

Risk-Adjusted Performance

USBOX vs. NEFSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Pear Tree Quality Fund (USBOX) and Natixis Funds Trust I U.S. Equity Opportunities Fund (NEFSX). 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.


USBOX
Sharpe ratio
The chart of Sharpe ratio for USBOX, currently valued at 2.31, compared to the broader market-1.000.001.002.003.004.005.002.31
Sortino ratio
The chart of Sortino ratio for USBOX, currently valued at 3.12, compared to the broader market0.005.0010.003.12
Omega ratio
The chart of Omega ratio for USBOX, currently valued at 1.40, compared to the broader market1.002.003.004.001.40
Calmar ratio
The chart of Calmar ratio for USBOX, currently valued at 3.04, compared to the broader market0.005.0010.0015.0020.003.04
Martin ratio
The chart of Martin ratio for USBOX, currently valued at 12.52, compared to the broader market0.0020.0040.0060.0080.00100.0012.52
NEFSX
Sharpe ratio
The chart of Sharpe ratio for NEFSX, currently valued at 1.61, compared to the broader market-1.000.001.002.003.004.005.001.61
Sortino ratio
The chart of Sortino ratio for NEFSX, currently valued at 2.21, compared to the broader market0.005.0010.002.21
Omega ratio
The chart of Omega ratio for NEFSX, currently valued at 1.28, compared to the broader market1.002.003.004.001.28
Calmar ratio
The chart of Calmar ratio for NEFSX, currently valued at 1.71, compared to the broader market0.005.0010.0015.0020.001.71
Martin ratio
The chart of Martin ratio for NEFSX, currently valued at 6.92, compared to the broader market0.0020.0040.0060.0080.00100.006.92

USBOX vs. NEFSX - Sharpe Ratio Comparison

The current USBOX Sharpe Ratio is 2.31, which is higher than the NEFSX Sharpe Ratio of 1.61. The chart below compares the 12-month rolling Sharpe Ratio of USBOX and NEFSX.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
2.31
1.61
USBOX
NEFSX

Dividends

USBOX vs. NEFSX - Dividend Comparison

USBOX's dividend yield for the trailing twelve months is around 3.68%, less than NEFSX's 7.03% yield.


TTM20232022202120202019201820172016201520142013
USBOX
Pear Tree Quality Fund
3.68%4.37%14.55%10.71%7.47%19.65%15.43%6.92%6.19%12.85%12.69%1.04%
NEFSX
Natixis Funds Trust I U.S. Equity Opportunities Fund
7.03%8.13%18.10%11.12%13.07%10.85%11.18%3.55%1.88%5.09%36.44%7.81%

Drawdowns

USBOX vs. NEFSX - Drawdown Comparison

The maximum USBOX drawdown since its inception was -71.83%, which is greater than NEFSX's maximum drawdown of -61.82%. Use the drawdown chart below to compare losses from any high point for USBOX and NEFSX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.32%
-1.56%
USBOX
NEFSX

Volatility

USBOX vs. NEFSX - Volatility Comparison

The current volatility for Pear Tree Quality Fund (USBOX) is 3.40%, while Natixis Funds Trust I U.S. Equity Opportunities Fund (NEFSX) has a volatility of 4.66%. This indicates that USBOX experiences smaller price fluctuations and is considered to be less risky than NEFSX 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%AprilMayJuneJulyAugustSeptember
3.40%
4.66%
USBOX
NEFSX