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

Performance

MBB vs. CMF - Performance Comparison

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

-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.00%
2.49%
MBB
CMF

Returns By Period

In the year-to-date period, MBB achieves a 1.42% return, which is significantly lower than CMF's 1.62% return. Over the past 10 years, MBB has underperformed CMF with an annualized return of 0.85%, while CMF has yielded a comparatively higher 1.99% annualized return.


MBB

YTD

1.42%

1M

-1.54%

6M

3.01%

1Y

6.58%

5Y (annualized)

-0.68%

10Y (annualized)

0.85%

CMF

YTD

1.62%

1M

-0.13%

6M

2.50%

1Y

5.29%

5Y (annualized)

0.83%

10Y (annualized)

1.99%

Key characteristics


MBBCMF
Sharpe Ratio1.011.47
Sortino Ratio1.482.10
Omega Ratio1.181.28
Calmar Ratio0.480.82
Martin Ratio3.226.29
Ulcer Index2.05%0.89%
Daily Std Dev6.57%3.80%
Max Drawdown-17.65%-16.45%
Current Drawdown-7.59%-1.91%

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MBB vs. CMF - Expense Ratio Comparison

MBB has a 0.06% expense ratio, which is lower than CMF's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


CMF
iShares California Muni Bond ETF
Expense ratio chart for CMF: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for MBB: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.00.4

The correlation between MBB and CMF is 0.41, 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.

Risk-Adjusted Performance

MBB vs. CMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MBS Bond ETF (MBB) and iShares California Muni Bond ETF (CMF). 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.


Sharpe ratio
The chart of Sharpe ratio for MBB, currently valued at 1.01, compared to the broader market0.002.004.006.001.011.47
The chart of Sortino ratio for MBB, currently valued at 1.48, compared to the broader market-2.000.002.004.006.008.0010.0012.001.482.10
The chart of Omega ratio for MBB, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.001.181.28
The chart of Calmar ratio for MBB, currently valued at 0.48, compared to the broader market0.005.0010.0015.000.480.82
The chart of Martin ratio for MBB, currently valued at 3.22, compared to the broader market0.0020.0040.0060.0080.00100.003.226.29
MBB
CMF

The current MBB Sharpe Ratio is 1.01, which is lower than the CMF Sharpe Ratio of 1.47. The chart below compares the historical Sharpe Ratios of MBB and CMF, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.01
1.47
MBB
CMF

Dividends

MBB vs. CMF - Dividend Comparison

MBB's dividend yield for the trailing twelve months is around 3.86%, more than CMF's 2.73% yield.


TTM20232022202120202019201820172016201520142013
MBB
iShares MBS Bond ETF
3.86%3.40%2.31%1.05%2.10%2.77%2.63%2.23%2.58%2.66%1.72%1.27%
CMF
iShares California Muni Bond ETF
2.73%2.28%1.74%1.58%1.80%2.03%2.17%2.09%2.21%2.55%2.80%3.11%

Drawdowns

MBB vs. CMF - Drawdown Comparison

The maximum MBB drawdown since its inception was -17.65%, which is greater than CMF's maximum drawdown of -16.45%. Use the drawdown chart below to compare losses from any high point for MBB and CMF. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-7.59%
-1.91%
MBB
CMF

Volatility

MBB vs. CMF - Volatility Comparison

The current volatility for iShares MBS Bond ETF (MBB) is 1.82%, while iShares California Muni Bond ETF (CMF) has a volatility of 1.99%. This indicates that MBB experiences smaller price fluctuations and is considered to be less risky than CMF 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
1.82%
1.99%
MBB
CMF