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

Correlation

The correlation between SMB and MUB is 0.30, 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.


-0.50.00.51.00.3

Performance

SMB vs. MUB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in VanEck Short Muni ETF (SMB) and iShares National AMT-Free Muni Bond ETF (MUB). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%JulyAugustSeptemberOctoberNovemberDecember
1.65%
1.39%
SMB
MUB

Key characteristics

Sharpe Ratio

SMB:

0.91

MUB:

0.15

Sortino Ratio

SMB:

1.29

MUB:

0.22

Omega Ratio

SMB:

1.17

MUB:

1.03

Calmar Ratio

SMB:

0.71

MUB:

0.12

Martin Ratio

SMB:

6.00

MUB:

0.56

Ulcer Index

SMB:

0.31%

MUB:

1.00%

Daily Std Dev

SMB:

2.01%

MUB:

3.81%

Max Drawdown

SMB:

-12.64%

MUB:

-13.68%

Current Drawdown

SMB:

-0.87%

MUB:

-1.96%

Returns By Period

In the year-to-date period, SMB achieves a 2.07% return, which is significantly higher than MUB's 0.89% return. Over the past 10 years, SMB has underperformed MUB with an annualized return of 1.23%, while MUB has yielded a comparatively higher 2.01% annualized return.


SMB

YTD

2.07%

1M

-0.67%

6M

1.65%

1Y

2.19%

5Y*

0.83%

10Y*

1.23%

MUB

YTD

0.89%

1M

-1.47%

6M

1.39%

1Y

0.82%

5Y*

0.93%

10Y*

2.01%

Compare stocks, funds, or ETFs

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


SMB vs. MUB - Expense Ratio Comparison

SMB has a 0.20% expense ratio, which is higher than MUB's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SMB
VanEck Short Muni ETF
Expense ratio chart for SMB: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for MUB: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

SMB vs. MUB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VanEck Short Muni ETF (SMB) and iShares National AMT-Free Muni Bond ETF (MUB). 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 SMB, currently valued at 0.91, compared to the broader market0.002.004.000.910.15
The chart of Sortino ratio for SMB, currently valued at 1.29, compared to the broader market-2.000.002.004.006.008.0010.001.290.22
The chart of Omega ratio for SMB, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.03
The chart of Calmar ratio for SMB, currently valued at 0.71, compared to the broader market0.005.0010.0015.000.710.12
The chart of Martin ratio for SMB, currently valued at 6.00, compared to the broader market0.0020.0040.0060.0080.00100.006.000.56
SMB
MUB

The current SMB Sharpe Ratio is 0.91, which is higher than the MUB Sharpe Ratio of 0.15. The chart below compares the historical Sharpe Ratios of SMB and MUB, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.91
0.15
SMB
MUB

Dividends

SMB vs. MUB - Dividend Comparison

SMB's dividend yield for the trailing twelve months is around 2.17%, less than MUB's 3.02% yield.


TTM20232022202120202019201820172016201520142013
SMB
VanEck Short Muni ETF
2.17%1.84%1.32%1.25%1.51%1.58%1.49%1.24%1.13%1.14%1.21%1.37%
MUB
iShares National AMT-Free Muni Bond ETF
3.02%2.65%2.11%1.81%2.11%2.42%2.46%2.26%2.21%2.51%2.73%3.02%

Drawdowns

SMB vs. MUB - Drawdown Comparison

The maximum SMB drawdown since its inception was -12.64%, smaller than the maximum MUB drawdown of -13.68%. Use the drawdown chart below to compare losses from any high point for SMB and MUB. For additional features, visit the drawdowns tool.


-3.50%-3.00%-2.50%-2.00%-1.50%-1.00%-0.50%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.87%
-1.96%
SMB
MUB

Volatility

SMB vs. MUB - Volatility Comparison

The current volatility for VanEck Short Muni ETF (SMB) is 0.51%, while iShares National AMT-Free Muni Bond ETF (MUB) has a volatility of 1.14%. This indicates that SMB experiences smaller price fluctuations and is considered to be less risky than MUB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JulyAugustSeptemberOctoberNovemberDecember
0.51%
1.14%
SMB
MUB
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab