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

Key characteristics


SCMBBND
YTD Return2.61%1.55%
1Y Return7.47%6.53%
Sharpe Ratio2.011.34
Sortino Ratio2.921.98
Omega Ratio1.401.24
Calmar Ratio3.260.51
Martin Ratio10.734.70
Ulcer Index0.78%1.67%
Daily Std Dev4.15%5.84%
Max Drawdown-5.62%-18.84%
Current Drawdown-1.37%-9.21%

Correlation

-0.50.00.51.00.8

The correlation between SCMB and BND is 0.76, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

SCMB vs. BND - Performance Comparison

In the year-to-date period, SCMB achieves a 2.61% return, which is significantly higher than BND's 1.55% 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%JuneJulyAugustSeptemberOctoberNovember
2.16%
2.36%
SCMB
BND

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SCMB vs. BND - Expense Ratio Comparison

Both SCMB and BND have an expense ratio of 0.03%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


SCMB
Schwab Municipal Bond ETF
Expense ratio chart for SCMB: 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%
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

SCMB vs. BND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Municipal Bond ETF (SCMB) 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.


SCMB
Sharpe ratio
The chart of Sharpe ratio for SCMB, currently valued at 2.01, compared to the broader market-2.000.002.004.006.002.01
Sortino ratio
The chart of Sortino ratio for SCMB, currently valued at 2.92, compared to the broader market-2.000.002.004.006.008.0010.0012.002.92
Omega ratio
The chart of Omega ratio for SCMB, currently valued at 1.40, compared to the broader market1.001.502.002.503.001.40
Calmar ratio
The chart of Calmar ratio for SCMB, currently valued at 3.26, compared to the broader market0.005.0010.0015.003.26
Martin ratio
The chart of Martin ratio for SCMB, currently valued at 10.73, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.73
BND
Sharpe ratio
The chart of Sharpe ratio for BND, currently valued at 1.34, compared to the broader market-2.000.002.004.006.001.34
Sortino ratio
The chart of Sortino ratio for BND, currently valued at 1.98, compared to the broader market-2.000.002.004.006.008.0010.0012.001.98
Omega ratio
The chart of Omega ratio for BND, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for BND, currently valued at 1.93, compared to the broader market0.005.0010.0015.001.93
Martin ratio
The chart of Martin ratio for BND, currently valued at 4.70, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.70

SCMB vs. BND - Sharpe Ratio Comparison

The current SCMB Sharpe Ratio is 2.01, which is higher than the BND Sharpe Ratio of 1.34. The chart below compares the historical Sharpe Ratios of SCMB 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.01
1.34
SCMB
BND

Dividends

SCMB vs. BND - Dividend Comparison

SCMB's dividend yield for the trailing twelve months is around 4.44%, more than BND's 3.58% yield.


TTM20232022202120202019201820172016201520142013
SCMB
Schwab Municipal Bond ETF
4.44%4.88%0.80%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BND
Vanguard Total Bond Market ETF
3.58%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

SCMB vs. BND - Drawdown Comparison

The maximum SCMB drawdown since its inception was -5.62%, smaller than the maximum BND drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for SCMB and BND. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.37%
-3.59%
SCMB
BND

Volatility

SCMB vs. BND - Volatility Comparison

Schwab Municipal Bond ETF (SCMB) has a higher volatility of 1.99% compared to Vanguard Total Bond Market ETF (BND) at 1.70%. This indicates that SCMB'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.


1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.99%
1.70%
SCMB
BND