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HYMB vs. VTEB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


HYMBVTEB
YTD Return5.79%1.20%
1Y Return12.91%6.89%
3Y Return (Ann)-1.02%-0.25%
5Y Return (Ann)1.17%1.17%
Sharpe Ratio2.351.73
Sortino Ratio3.312.57
Omega Ratio1.471.34
Calmar Ratio0.870.87
Martin Ratio15.137.60
Ulcer Index0.86%0.90%
Daily Std Dev5.51%3.97%
Max Drawdown-29.57%-17.00%
Current Drawdown-3.98%-1.60%

Correlation

-0.50.00.51.00.6

The correlation between HYMB and VTEB is 0.59, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

HYMB vs. VTEB - Performance Comparison

In the year-to-date period, HYMB achieves a 5.79% return, which is significantly higher than VTEB's 1.20% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-1.00%0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.28%
1.82%
HYMB
VTEB

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HYMB vs. VTEB - Expense Ratio Comparison

HYMB has a 0.35% expense ratio, which is higher than VTEB's 0.05% expense ratio.


HYMB
SPDR Nuveen Bloomberg Barclays High Yield Municipal Bond ETF
Expense ratio chart for HYMB: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for VTEB: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

HYMB vs. VTEB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Nuveen Bloomberg Barclays High Yield Municipal Bond ETF (HYMB) and Vanguard Tax-Exempt Bond ETF (VTEB). 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.


HYMB
Sharpe ratio
The chart of Sharpe ratio for HYMB, currently valued at 2.35, compared to the broader market-2.000.002.004.002.35
Sortino ratio
The chart of Sortino ratio for HYMB, currently valued at 3.31, compared to the broader market-2.000.002.004.006.008.0010.0012.003.31
Omega ratio
The chart of Omega ratio for HYMB, currently valued at 1.47, compared to the broader market1.001.502.002.503.001.47
Calmar ratio
The chart of Calmar ratio for HYMB, currently valued at 0.87, compared to the broader market0.005.0010.0015.000.87
Martin ratio
The chart of Martin ratio for HYMB, currently valued at 15.13, compared to the broader market0.0020.0040.0060.0080.00100.0015.13
VTEB
Sharpe ratio
The chart of Sharpe ratio for VTEB, currently valued at 1.73, compared to the broader market-2.000.002.004.001.73
Sortino ratio
The chart of Sortino ratio for VTEB, currently valued at 2.57, compared to the broader market-2.000.002.004.006.008.0010.0012.002.57
Omega ratio
The chart of Omega ratio for VTEB, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for VTEB, currently valued at 0.87, compared to the broader market0.005.0010.0015.000.87
Martin ratio
The chart of Martin ratio for VTEB, currently valued at 7.60, compared to the broader market0.0020.0040.0060.0080.00100.007.60

HYMB vs. VTEB - Sharpe Ratio Comparison

The current HYMB Sharpe Ratio is 2.35, which is higher than the VTEB Sharpe Ratio of 1.73. The chart below compares the historical Sharpe Ratios of HYMB and VTEB, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.35
1.73
HYMB
VTEB

Dividends

HYMB vs. VTEB - Dividend Comparison

HYMB's dividend yield for the trailing twelve months is around 4.20%, more than VTEB's 3.11% yield.


TTM20232022202120202019201820172016201520142013
HYMB
SPDR Nuveen Bloomberg Barclays High Yield Municipal Bond ETF
4.20%4.06%3.77%3.19%3.55%3.95%4.03%3.78%4.08%4.54%4.49%5.17%
VTEB
Vanguard Tax-Exempt Bond ETF
3.11%2.79%2.09%1.65%1.99%2.30%2.25%1.96%1.66%0.58%0.00%0.00%

Drawdowns

HYMB vs. VTEB - Drawdown Comparison

The maximum HYMB drawdown since its inception was -29.57%, which is greater than VTEB's maximum drawdown of -17.00%. Use the drawdown chart below to compare losses from any high point for HYMB and VTEB. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.98%
-1.60%
HYMB
VTEB

Volatility

HYMB vs. VTEB - Volatility Comparison

SPDR Nuveen Bloomberg Barclays High Yield Municipal Bond ETF (HYMB) has a higher volatility of 2.30% compared to Vanguard Tax-Exempt Bond ETF (VTEB) at 1.98%. This indicates that HYMB's price experiences larger fluctuations and is considered to be riskier than VTEB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
2.30%
1.98%
HYMB
VTEB