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CMF vs. BWX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CMF and BWX is -0.07. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


Performance

CMF vs. BWX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares California Muni Bond ETF (CMF) and SPDR Bloomberg Barclays International Treasury Bond ETF (BWX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

CMF:

0.18

BWX:

0.85

Sortino Ratio

CMF:

0.10

BWX:

1.17

Omega Ratio

CMF:

1.01

BWX:

1.14

Calmar Ratio

CMF:

0.05

BWX:

0.23

Martin Ratio

CMF:

0.16

BWX:

1.42

Ulcer Index

CMF:

1.70%

BWX:

4.77%

Daily Std Dev

CMF:

5.12%

BWX:

9.21%

Max Drawdown

CMF:

-16.45%

BWX:

-34.00%

Current Drawdown

CMF:

-3.88%

BWX:

-22.20%

Returns By Period

In the year-to-date period, CMF achieves a -2.20% return, which is significantly lower than BWX's 8.01% return. Over the past 10 years, CMF has outperformed BWX with an annualized return of 1.74%, while BWX has yielded a comparatively lower -0.26% annualized return.


CMF

YTD

-2.20%

1M

0.58%

6M

-2.22%

1Y

0.93%

3Y*

1.90%

5Y*

-0.20%

10Y*

1.74%

BWX

YTD

8.01%

1M

-0.42%

6M

7.06%

1Y

7.43%

3Y*

-0.47%

5Y*

-2.49%

10Y*

-0.26%

*Annualized

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CMF vs. BWX - Expense Ratio Comparison

CMF has a 0.25% expense ratio, which is lower than BWX's 0.35% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

CMF vs. BWX — Risk-Adjusted Performance Rank

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

CMF
The Risk-Adjusted Performance Rank of CMF is 2121
Overall Rank
The Sharpe Ratio Rank of CMF is 2828
Sharpe Ratio Rank
The Sortino Ratio Rank of CMF is 1818
Sortino Ratio Rank
The Omega Ratio Rank of CMF is 1818
Omega Ratio Rank
The Calmar Ratio Rank of CMF is 2222
Calmar Ratio Rank
The Martin Ratio Rank of CMF is 2222
Martin Ratio Rank

BWX
The Risk-Adjusted Performance Rank of BWX is 6161
Overall Rank
The Sharpe Ratio Rank of BWX is 7676
Sharpe Ratio Rank
The Sortino Ratio Rank of BWX is 7474
Sortino Ratio Rank
The Omega Ratio Rank of BWX is 6868
Omega Ratio Rank
The Calmar Ratio Rank of BWX is 3636
Calmar Ratio Rank
The Martin Ratio Rank of BWX is 4949
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

CMF vs. BWX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares California Muni Bond ETF (CMF) and SPDR Bloomberg Barclays International Treasury Bond ETF (BWX). 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.


The current CMF Sharpe Ratio is 0.18, which is lower than the BWX Sharpe Ratio of 0.85. The chart below compares the historical Sharpe Ratios of CMF and BWX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

CMF vs. BWX - Dividend Comparison

CMF's dividend yield for the trailing twelve months is around 2.95%, more than BWX's 1.86% yield.


TTM20242023202220212020201920182017201620152014
CMF
iShares California Muni Bond ETF
2.95%2.78%2.29%1.91%1.58%1.80%2.03%2.17%2.09%2.21%2.55%2.80%
BWX
SPDR Bloomberg Barclays International Treasury Bond ETF
1.86%1.99%1.62%1.23%1.00%0.95%1.16%1.17%0.46%0.00%0.00%1.77%

Drawdowns

CMF vs. BWX - Drawdown Comparison

The maximum CMF drawdown since its inception was -16.45%, smaller than the maximum BWX drawdown of -34.00%. Use the drawdown chart below to compare losses from any high point for CMF and BWX.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

CMF vs. BWX - Volatility Comparison

The current volatility for iShares California Muni Bond ETF (CMF) is 1.29%, while SPDR Bloomberg Barclays International Treasury Bond ETF (BWX) has a volatility of 3.34%. This indicates that CMF experiences smaller price fluctuations and is considered to be less risky than BWX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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