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NEA vs. HYD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


NEAHYD
YTD Return10.52%4.80%
1Y Return18.27%10.20%
3Y Return (Ann)-4.51%-1.90%
5Y Return (Ann)0.96%-0.13%
10Y Return (Ann)3.48%3.65%
Sharpe Ratio2.332.11
Sortino Ratio3.403.10
Omega Ratio1.441.42
Calmar Ratio0.730.72
Martin Ratio13.3113.70
Ulcer Index1.58%0.83%
Daily Std Dev9.01%5.41%
Max Drawdown-43.85%-35.60%
Current Drawdown-15.68%-6.84%

Correlation

-0.50.00.51.00.3

The correlation between NEA and HYD is 0.31, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

NEA vs. HYD - Performance Comparison

In the year-to-date period, NEA achieves a 10.52% return, which is significantly higher than HYD's 4.80% return. Both investments have delivered pretty close results over the past 10 years, with NEA having a 3.48% annualized return and HYD not far ahead at 3.65%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.55%
2.54%
NEA
HYD

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Risk-Adjusted Performance

NEA vs. HYD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Nuveen AMT-Free Quality Municipal Income Fund (NEA) and VanEck Vectors High-Yield Municipal Index ETF (HYD). 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.


NEA
Sharpe ratio
The chart of Sharpe ratio for NEA, currently valued at 2.33, compared to the broader market-4.00-2.000.002.004.002.33
Sortino ratio
The chart of Sortino ratio for NEA, currently valued at 3.40, compared to the broader market-4.00-2.000.002.004.006.003.40
Omega ratio
The chart of Omega ratio for NEA, currently valued at 1.44, compared to the broader market0.501.001.502.001.44
Calmar ratio
The chart of Calmar ratio for NEA, currently valued at 0.73, compared to the broader market0.002.004.006.000.73
Martin ratio
The chart of Martin ratio for NEA, currently valued at 13.31, compared to the broader market0.0010.0020.0030.0013.31
HYD
Sharpe ratio
The chart of Sharpe ratio for HYD, currently valued at 2.11, compared to the broader market-4.00-2.000.002.004.002.11
Sortino ratio
The chart of Sortino ratio for HYD, currently valued at 3.10, compared to the broader market-4.00-2.000.002.004.006.003.10
Omega ratio
The chart of Omega ratio for HYD, currently valued at 1.42, compared to the broader market0.501.001.502.001.42
Calmar ratio
The chart of Calmar ratio for HYD, currently valued at 0.72, compared to the broader market0.002.004.006.000.72
Martin ratio
The chart of Martin ratio for HYD, currently valued at 13.70, compared to the broader market0.0010.0020.0030.0013.70

NEA vs. HYD - Sharpe Ratio Comparison

The current NEA Sharpe Ratio is 2.33, which is comparable to the HYD Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of NEA and HYD, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.33
2.11
NEA
HYD

Dividends

NEA vs. HYD - Dividend Comparison

NEA's dividend yield for the trailing twelve months is around 5.59%, more than HYD's 4.24% yield.


TTM20232022202120202019201820172016201520142013
NEA
Nuveen AMT-Free Quality Municipal Income Fund
5.59%3.95%5.49%4.50%4.45%4.46%5.40%5.33%5.70%5.71%5.95%6.80%
HYD
VanEck Vectors High-Yield Municipal Index ETF
4.24%4.13%3.96%3.50%4.01%4.08%14.47%4.29%4.58%4.83%4.98%6.34%

Drawdowns

NEA vs. HYD - Drawdown Comparison

The maximum NEA drawdown since its inception was -43.85%, which is greater than HYD's maximum drawdown of -35.60%. Use the drawdown chart below to compare losses from any high point for NEA and HYD. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-15.68%
-6.84%
NEA
HYD

Volatility

NEA vs. HYD - Volatility Comparison

Nuveen AMT-Free Quality Municipal Income Fund (NEA) has a higher volatility of 3.55% compared to VanEck Vectors High-Yield Municipal Index ETF (HYD) at 2.14%. This indicates that NEA's price experiences larger fluctuations and is considered to be riskier than HYD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
3.55%
2.14%
NEA
HYD