CMBS vs. VABS
CMBS (iShares CMBS ETF) and VABS (Virtus Newfleet ABS/MBS ETF) are both Mortgage Backed Securities funds. CMBS is passively managed, while VABS is actively managed. Over the past 5 years, CMBS returned 0.79%/yr vs 3.22%/yr for VABS. At a 0.50 correlation, their price movements are largely independent. CMBS charges 0.25%/yr vs 0.39%/yr for VABS.
Performance
CMBS vs. VABS - Performance Comparison
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Returns By Period
In the year-to-date period, CMBS achieves a 0.14% return, which is significantly lower than VABS's 1.39% return.
CMBS
- 1D
- -0.04%
- 1M
- -0.05%
- YTD
- 0.14%
- 6M
- 0.28%
- 1Y
- 4.26%
- 3Y*
- 5.15%
- 5Y*
- 0.79%
- 10Y*
- 2.06%
VABS
- 1D
- -0.14%
- 1M
- 0.28%
- YTD
- 1.39%
- 6M
- 1.54%
- 1Y
- 4.26%
- 3Y*
- 6.31%
- 5Y*
- 3.22%
- 10Y*
- —
CMBS vs. VABS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
CMBS iShares CMBS ETF | 0.14% | 7.67% | 4.27% | 5.06% | -11.21% | -1.49% |
VABS Virtus Newfleet ABS/MBS ETF | 1.39% | 5.40% | 7.59% | 7.61% | -5.24% | 0.45% |
Correlation
The correlation between CMBS and VABS is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.42 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.51 |
Correlation (All Time) Calculated using the full available price history since Feb 11, 2021 | 0.50 |
Over the past year, the correlation between CMBS and VABS has dropped to 0.22 - well below their long-term average of 0.50, suggesting their price drivers have been diverging.
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Return for Risk
CMBS vs. VABS — Risk / Return Rank
CMBS
VABS
CMBS vs. VABS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares CMBS ETF (CMBS) and Virtus Newfleet ABS/MBS ETF (VABS). 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.
| CMBS | VABS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.94 | ||
| Sortino ratioReturn per unit of downside risk | -1.12 | ||
| Omega ratioGain probability vs. loss probability | 1.20 | 1.46 | -0.26 |
| Calmar ratioReturn relative to maximum drawdown | 1.76 | 4.34 | -2.59 |
| Martin ratioReturn relative to average drawdown | 4.90 | 11.20 | -6.31 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CMBS | VABS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.16 | 2.10 | -0.94 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.15 | 1.41 | -1.26 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.36 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.43 | 1.40 | -0.97 |
Drawdowns
CMBS vs. VABS - Drawdown Comparison
The maximum CMBS drawdown since its inception was -15.87%, which is greater than VABS's maximum drawdown of -7.12%. Use the drawdown chart below to compare losses from any high point for CMBS and VABS.
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Drawdown Indicators
| CMBS | VABS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.87% | -7.12% | -8.75% |
Max Drawdown (1Y)Largest decline over 1 year | -2.44% | -0.98% | -1.46% |
Max Drawdown (3Y)Largest decline over 3 years | -3.29% | -1.42% | -1.87% |
Max Drawdown (5Y)Largest decline over 5 years | -15.87% | -7.12% | -8.75% |
Max Drawdown (10Y)Largest decline over 10 years | -15.87% | — | — |
Current DrawdownCurrent decline from peak | -1.77% | -0.14% | -1.63% |
Average DrawdownAverage peak-to-trough decline | -2.95% | -1.42% | -1.53% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.87% | 0.38% | +0.49% |
Volatility
CMBS vs. VABS - Volatility Comparison
iShares CMBS ETF (CMBS) has a higher volatility of 1.11% compared to Virtus Newfleet ABS/MBS ETF (VABS) at 0.40%. This indicates that CMBS's price experiences larger fluctuations and is considered to be riskier than VABS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMBS | VABS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.11% | 0.40% | +0.71% |
Volatility (6M)Calculated over the trailing 6-month period | 2.82% | 1.07% | +1.75% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.71% | 2.04% | +1.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.31% | 2.30% | +3.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.77% | 2.24% | +3.53% |
CMBS vs. VABS - Expense Ratio Comparison
CMBS has a 0.25% expense ratio, which is lower than VABS's 0.39% expense ratio.
Dividends
CMBS vs. VABS - Dividend Comparison
CMBS's dividend yield for the trailing twelve months is around 3.58%, less than VABS's 5.18% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMBS iShares CMBS ETF | 3.58% | 3.45% | 3.31% | 2.97% | 2.65% | 2.46% | 2.83% | 2.74% | 2.70% | 2.50% | 2.29% | 2.31% |
VABS Virtus Newfleet ABS/MBS ETF | 5.18% | 4.94% | 5.05% | 4.13% | 2.47% | 1.47% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
CMBS and VABS have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CMBS has higher volatility (1.11%) compared to VABS (0.40%). In terms of maximum drawdown, CMBS dropped -15.87% vs VABS's -7.12%.
On 5-year performance, VABS leads with 3.22% vs 0.79% for CMBS. On fees, CMBS is cheaper at 0.25% per year. On volatility, VABS has been the lower-risk option at 0.40%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, VABS has performed better with a 3.22% return vs 0.79%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CMBS is cheaper with a 0.25% expense ratio, compared with 0.39% for VABS.
VABS has the higher dividend yield at 5.18%, compared with 3.58% for CMBS.
They also come from different issuers: iShares and Virtus Investment Partners. Their fees differ too: 0.25% for CMBS and 0.39% for VABS.
VABS currently has the higher Sharpe Ratio (2.10 vs 1.16), 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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