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RMUNX vs. BND
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


RMUNXBND
YTD Return2.09%2.40%
1Y Return11.34%8.91%
3Y Return (Ann)-1.23%-2.38%
5Y Return (Ann)1.88%0.01%
10Y Return (Ann)4.32%1.50%
Sharpe Ratio2.061.38
Sortino Ratio3.012.03
Omega Ratio1.471.24
Calmar Ratio0.820.51
Martin Ratio9.564.99
Ulcer Index1.20%1.62%
Daily Std Dev5.58%5.85%
Max Drawdown-36.54%-18.84%
Current Drawdown-4.28%-8.44%

Correlation

-0.50.00.51.00.4

The correlation between RMUNX and BND is 0.40, 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

RMUNX vs. BND - Performance Comparison

In the year-to-date period, RMUNX achieves a 2.09% return, which is significantly lower than BND's 2.40% return. Over the past 10 years, RMUNX has outperformed BND with an annualized return of 4.32%, while BND has yielded a comparatively lower 1.50% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
2.05%
4.29%
RMUNX
BND

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RMUNX vs. BND - Expense Ratio Comparison

RMUNX has a 0.78% expense ratio, which is higher than BND's 0.03% expense ratio.


RMUNX
Invesco Rochester New York Municipals Fund
Expense ratio chart for RMUNX: current value at 0.78% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.78%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

RMUNX vs. BND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Rochester New York Municipals Fund (RMUNX) and Vanguard Total Bond Market ETF (BND). 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.


RMUNX
Sharpe ratio
The chart of Sharpe ratio for RMUNX, currently valued at 2.06, compared to the broader market0.002.004.002.06
Sortino ratio
The chart of Sortino ratio for RMUNX, currently valued at 3.01, compared to the broader market0.005.0010.003.01
Omega ratio
The chart of Omega ratio for RMUNX, currently valued at 1.47, compared to the broader market1.002.003.004.001.47
Calmar ratio
The chart of Calmar ratio for RMUNX, currently valued at 0.82, compared to the broader market0.005.0010.0015.0020.0025.000.82
Martin ratio
The chart of Martin ratio for RMUNX, currently valued at 9.56, compared to the broader market0.0020.0040.0060.0080.00100.009.56
BND
Sharpe ratio
The chart of Sharpe ratio for BND, currently valued at 1.38, compared to the broader market0.002.004.001.38
Sortino ratio
The chart of Sortino ratio for BND, currently valued at 2.03, compared to the broader market0.005.0010.002.03
Omega ratio
The chart of Omega ratio for BND, currently valued at 1.24, compared to the broader market1.002.003.004.001.24
Calmar ratio
The chart of Calmar ratio for BND, currently valued at 0.51, compared to the broader market0.005.0010.0015.0020.0025.000.51
Martin ratio
The chart of Martin ratio for BND, currently valued at 4.99, compared to the broader market0.0020.0040.0060.0080.00100.004.99

RMUNX vs. BND - Sharpe Ratio Comparison

The current RMUNX Sharpe Ratio is 2.06, which is higher than the BND Sharpe Ratio of 1.38. The chart below compares the historical Sharpe Ratios of RMUNX and BND, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.06
1.38
RMUNX
BND

Dividends

RMUNX vs. BND - Dividend Comparison

RMUNX's dividend yield for the trailing twelve months is around 4.02%, more than BND's 3.55% yield.


TTM20232022202120202019201820172016201520142013
RMUNX
Invesco Rochester New York Municipals Fund
4.02%3.78%3.64%3.25%3.29%3.23%3.40%4.78%6.01%6.56%11.00%13.31%
BND
Vanguard Total Bond Market ETF
3.55%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

RMUNX vs. BND - Drawdown Comparison

The maximum RMUNX drawdown since its inception was -36.54%, which is greater than BND's maximum drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for RMUNX and BND. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-4.28%
-8.44%
RMUNX
BND

Volatility

RMUNX vs. BND - Volatility Comparison

Invesco Rochester New York Municipals Fund (RMUNX) has a higher volatility of 2.78% compared to Vanguard Total Bond Market ETF (BND) at 1.67%. This indicates that RMUNX's price experiences larger fluctuations and is considered to be riskier than BND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
2.78%
1.67%
RMUNX
BND