PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SCMBX vs. VTEB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SCMBXVTEB
YTD Return2.93%1.52%
1Y Return10.07%7.21%
3Y Return (Ann)-0.43%-0.14%
5Y Return (Ann)1.40%1.25%
Sharpe Ratio2.571.89
Sortino Ratio3.952.81
Omega Ratio1.621.38
Calmar Ratio0.900.94
Martin Ratio11.718.30
Ulcer Index0.86%0.90%
Daily Std Dev3.93%3.96%
Max Drawdown-17.56%-17.00%
Current Drawdown-2.16%-1.28%

Correlation

-0.50.00.51.00.6

The correlation between SCMBX and VTEB is 0.65, 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

SCMBX vs. VTEB - Performance Comparison

In the year-to-date period, SCMBX achieves a 2.93% return, which is significantly higher than VTEB's 1.52% 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%JuneJulyAugustSeptemberOctoberNovember
2.55%
2.15%
SCMBX
VTEB

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SCMBX vs. VTEB - Expense Ratio Comparison

SCMBX has a 0.54% expense ratio, which is higher than VTEB's 0.05% expense ratio.


SCMBX
DWS Managed Municipal Bond Fund
Expense ratio chart for SCMBX: current value at 0.54% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.54%
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

SCMBX vs. VTEB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DWS Managed Municipal Bond Fund (SCMBX) 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.


SCMBX
Sharpe ratio
The chart of Sharpe ratio for SCMBX, currently valued at 2.57, compared to the broader market0.002.004.002.57
Sortino ratio
The chart of Sortino ratio for SCMBX, currently valued at 3.95, compared to the broader market0.005.0010.003.95
Omega ratio
The chart of Omega ratio for SCMBX, currently valued at 1.62, compared to the broader market1.002.003.004.001.62
Calmar ratio
The chart of Calmar ratio for SCMBX, currently valued at 0.90, compared to the broader market0.005.0010.0015.0020.0025.000.90
Martin ratio
The chart of Martin ratio for SCMBX, currently valued at 11.71, compared to the broader market0.0020.0040.0060.0080.00100.0011.71
VTEB
Sharpe ratio
The chart of Sharpe ratio for VTEB, currently valued at 1.89, compared to the broader market0.002.004.001.89
Sortino ratio
The chart of Sortino ratio for VTEB, currently valued at 2.81, compared to the broader market0.005.0010.002.81
Omega ratio
The chart of Omega ratio for VTEB, currently valued at 1.38, compared to the broader market1.002.003.004.001.38
Calmar ratio
The chart of Calmar ratio for VTEB, currently valued at 0.94, compared to the broader market0.005.0010.0015.0020.0025.000.94
Martin ratio
The chart of Martin ratio for VTEB, currently valued at 8.30, compared to the broader market0.0020.0040.0060.0080.00100.008.30

SCMBX vs. VTEB - Sharpe Ratio Comparison

The current SCMBX Sharpe Ratio is 2.57, which is higher than the VTEB Sharpe Ratio of 1.89. The chart below compares the historical Sharpe Ratios of SCMBX 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.57
1.89
SCMBX
VTEB

Dividends

SCMBX vs. VTEB - Dividend Comparison

SCMBX's dividend yield for the trailing twelve months is around 4.03%, more than VTEB's 3.10% yield.


TTM20232022202120202019201820172016201520142013
SCMBX
DWS Managed Municipal Bond Fund
4.03%4.08%4.30%2.87%4.00%3.49%3.38%3.42%3.78%3.91%4.07%4.30%
VTEB
Vanguard Tax-Exempt Bond ETF
3.10%2.79%2.09%1.65%1.99%2.30%2.25%1.96%1.66%0.58%0.00%0.00%

Drawdowns

SCMBX vs. VTEB - Drawdown Comparison

The maximum SCMBX drawdown since its inception was -17.56%, roughly equal to the maximum VTEB drawdown of -17.00%. Use the drawdown chart below to compare losses from any high point for SCMBX and VTEB. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.16%
-1.28%
SCMBX
VTEB

Volatility

SCMBX vs. VTEB - Volatility Comparison

DWS Managed Municipal Bond Fund (SCMBX) and Vanguard Tax-Exempt Bond ETF (VTEB) have volatilities of 1.93% and 1.96%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.93%
1.96%
SCMBX
VTEB