ZAUG vs. BOXX

Last updated Jul 11, 2026

ZAUG (Innovator Equity Defined Protection ETF - 1 Yr August) and BOXX (Alpha Architect 1-3 Month Box ETF) are both exchange-traded funds - ZAUG is a Defined Outcome fund actively managed by Innovator, while BOXX is a Ultrashort Bond fund tracking the Solactive 1-3 Month US T-Bill Index. ZAUG is actively managed, while BOXX is passively managed. Over the past year, ZAUG returned 6.57% vs 4.08% for BOXX. At a 0.04 correlation, their price movements are largely independent. ZAUG charges 0.79%/yr vs 0.19%/yr for BOXX.

Performance

ZAUG vs. BOXX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator Equity Defined Protection ETF - 1 Yr August (ZAUG) and Alpha Architect 1-3 Month Box ETF (BOXX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ZAUG achieves a 3.30% return, which is significantly higher than BOXX's 2.00% return.

ZAUG

• 1D: 0.04%
• 1M: 0.55%
• 6M: 3.00%
• YTD: 3.30%
• 1Y: 6.57%
• 3Y*: —
• 5Y*: —
• 10Y*: —

BOXX

• 1D: 0.05%
• 1M: 0.33%
• 6M: 1.86%
• YTD: 2.00%
• 1Y: 4.08%
• 3Y*: 4.71%
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

ZAUG vs. BOXX - Yearly Performance Comparison

	2026 (YTD)	2025	2024
ZAUG Innovator Equity Defined Protection ETF - 1 Yr August	3.30%	7.38%	3.02%
BOXX Alpha Architect 1-3 Month Box ETF	2.00%	4.37%	2.10%

Correlation

The correlation between ZAUG and BOXX is -0.07, 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	-0.08
Correlation (All Time) Calculated using the full available price history since Aug 1, 2024	0.04

The correlation between ZAUG and BOXX shifts across timeframes, from -0.07 (1 year) to 0.04 (all time), reflecting how their relationship changes across market environments.

Return for Risk

ZAUG vs. BOXX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ZAUG

ZAUG Risk / Return Rank: 93
ZAUG Sharpe Ratio Rank: 93
ZAUG Sortino Ratio Rank: 95
ZAUG Omega Ratio Rank: 95
ZAUG Calmar Ratio Rank: 87
ZAUG Martin Ratio Rank: 95

BOXX

BOXX Risk / Return Rank: 100
BOXX Sharpe Ratio Rank: 100
BOXX Sortino Ratio Rank: 100
BOXX Omega Ratio Rank: 99
BOXX Calmar Ratio Rank: 100
BOXX Martin Ratio Rank: 100

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ZAUG vs. BOXX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator Equity Defined Protection ETF - 1 Yr August (ZAUG) 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.

	ZAUG	BOXX	Difference
Sharpe ratio: Return per unit of total volatility	2.72	12.53	-9.81
Sortino ratio: Return per unit of downside risk	4.30	36.38	-32.08
Omega ratio: Gain probability vs. loss probability	1.59	8.83	-7.24
Calmar ratio: Return relative to maximum drawdown	3.90	59.92	-56.02
Martin ratio: Return relative to average drawdown	22.35	504.77	-482.42

ZAUG vs. BOXX - Sharpe Ratio Comparison

The current ZAUG Sharpe Ratio is 2.72, which is lower than the BOXX Sharpe Ratio of 12.53. The chart below compares the historical Sharpe Ratios of ZAUG and BOXX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ZAUG vs. BOXX - Drawdown Comparison

The maximum ZAUG drawdown since its inception was -4.83%, which is greater than BOXX's maximum drawdown of -0.12%. Use the drawdown chart below to compare losses from any high point for ZAUG and BOXX.

Drawdown Indicators

	ZAUG	BOXX	Difference
Max Drawdown Largest peak-to-trough decline	-4.83%	-0.12%	-4.71%
Max Drawdown (1Y) Largest decline over 1 year	-1.72%	-0.07%	-1.65%
Max Drawdown (3Y) Largest decline over 3 years	—	-0.12%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.40%	-0.00%	-0.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.30%	0.01%	+0.29%

Volatility

ZAUG vs. BOXX - Volatility Comparison

Innovator Equity Defined Protection ETF - 1 Yr August (ZAUG) has a higher volatility of 1.07% compared to Alpha Architect 1-3 Month Box ETF (BOXX) at 0.12%. This indicates that ZAUG'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.

Volatility by Period

	ZAUG	BOXX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.07%	0.12%	+0.95%
Volatility (6M) Calculated over the trailing 6-month period	2.08%	0.26%	+1.82%
Volatility (1Y) Calculated over the trailing 1-year period	2.47%	0.33%	+2.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.54%	0.37%	+4.17%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.54%	0.37%	+4.17%

ZAUG vs. BOXX - Expense Ratio Comparison

ZAUG has a 0.79% expense ratio, which is higher than BOXX's 0.19% expense ratio.

Dividends

ZAUG vs. BOXX - Dividend Comparison

Neither ZAUG nor BOXX has paid dividends to shareholders.

Position	TTM	2025	2024
BOXX Alpha Architect 1-3 Month Box ETF	0.00%	0.00%	0.26%
ZAUG Innovator Equity Defined Protection ETF - 1 Yr August	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ZAUG and BOXX in my portfolio?

ZAUG and BOXX have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ZAUG or BOXX?

ZAUG has higher volatility (1.07%) compared to BOXX (0.12%). In terms of maximum drawdown, ZAUG dropped -4.83% vs BOXX's -0.12%.

Which ETF is better, ZAUG or BOXX?

On 1-year performance, ZAUG leads with 6.57% vs 4.08% for BOXX. On fees, BOXX is cheaper at 0.19% per year. On volatility, BOXX has been the lower-risk option at 0.12%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ZAUG or BOXX?

Over the 1-year period, ZAUG has performed better with a 6.57% return vs 4.08%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ZAUG or BOXX?

BOXX is cheaper with a 0.19% expense ratio, compared with 0.79% for ZAUG.

Which ETF pays a higher dividend yield, ZAUG or BOXX?

ZAUG and BOXX have nearly identical dividend yields, around 0.00%.

What is the main difference between ZAUG and BOXX?

ZAUG is categorized as Defined Outcome, while BOXX is Ultrashort Bond. They also come from different issuers: Innovator and Alpha Architect. Their fees differ too: 0.79% for ZAUG and 0.19% for BOXX.

Which has better risk-adjusted returns?

BOXX currently has the higher Sharpe Ratio (12.53 vs 2.72), 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.