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SUB vs. FUMB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SUBFUMB
YTD Return1.85%2.63%
1Y Return3.87%3.35%
3Y Return (Ann)0.90%1.83%
5Y Return (Ann)1.13%1.44%
Sharpe Ratio2.542.37
Sortino Ratio4.023.56
Omega Ratio1.531.51
Calmar Ratio2.506.85
Martin Ratio12.5830.86
Ulcer Index0.30%0.11%
Daily Std Dev1.49%1.44%
Max Drawdown-9.46%-2.68%
Current Drawdown-0.50%0.00%

Correlation

-0.50.00.51.00.2

The correlation between SUB and FUMB is 0.19, 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

SUB vs. FUMB - Performance Comparison

In the year-to-date period, SUB achieves a 1.85% return, which is significantly lower than FUMB's 2.63% 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%JuneJulyAugustSeptemberOctoberNovember
1.93%
1.65%
SUB
FUMB

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SUB vs. FUMB - Expense Ratio Comparison

SUB has a 0.07% expense ratio, which is lower than FUMB's 0.35% expense ratio.


FUMB
First Trust Ultra Short Duration Municipal ETF
Expense ratio chart for FUMB: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for SUB: 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

SUB vs. FUMB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Short-Term National Muni Bond ETF (SUB) and First Trust Ultra Short Duration Municipal ETF (FUMB). 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.


SUB
Sharpe ratio
The chart of Sharpe ratio for SUB, currently valued at 2.54, compared to the broader market-2.000.002.004.002.54
Sortino ratio
The chart of Sortino ratio for SUB, currently valued at 4.02, compared to the broader market-2.000.002.004.006.008.0010.0012.004.02
Omega ratio
The chart of Omega ratio for SUB, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for SUB, currently valued at 2.50, compared to the broader market0.005.0010.0015.002.50
Martin ratio
The chart of Martin ratio for SUB, currently valued at 12.58, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.58
FUMB
Sharpe ratio
The chart of Sharpe ratio for FUMB, currently valued at 2.37, compared to the broader market-2.000.002.004.002.37
Sortino ratio
The chart of Sortino ratio for FUMB, currently valued at 3.56, compared to the broader market-2.000.002.004.006.008.0010.0012.003.56
Omega ratio
The chart of Omega ratio for FUMB, currently valued at 1.51, compared to the broader market1.001.502.002.503.001.51
Calmar ratio
The chart of Calmar ratio for FUMB, currently valued at 6.85, compared to the broader market0.005.0010.0015.006.85
Martin ratio
The chart of Martin ratio for FUMB, currently valued at 30.86, compared to the broader market0.0020.0040.0060.0080.00100.00120.0030.86

SUB vs. FUMB - Sharpe Ratio Comparison

The current SUB Sharpe Ratio is 2.54, which is comparable to the FUMB Sharpe Ratio of 2.37. The chart below compares the historical Sharpe Ratios of SUB and FUMB, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.54
2.37
SUB
FUMB

Dividends

SUB vs. FUMB - Dividend Comparison

SUB's dividend yield for the trailing twelve months is around 2.04%, less than FUMB's 2.74% yield.


TTM20232022202120202019201820172016201520142013
SUB
iShares Short-Term National Muni Bond ETF
2.04%1.73%0.86%0.72%1.23%1.59%1.32%0.94%0.75%0.77%0.76%0.84%
FUMB
First Trust Ultra Short Duration Municipal ETF
2.74%2.24%1.02%0.43%0.94%1.74%0.15%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SUB vs. FUMB - Drawdown Comparison

The maximum SUB drawdown since its inception was -9.46%, which is greater than FUMB's maximum drawdown of -2.68%. Use the drawdown chart below to compare losses from any high point for SUB and FUMB. For additional features, visit the drawdowns tool.


-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.50%
0
SUB
FUMB

Volatility

SUB vs. FUMB - Volatility Comparison

iShares Short-Term National Muni Bond ETF (SUB) has a higher volatility of 0.67% compared to First Trust Ultra Short Duration Municipal ETF (FUMB) at 0.37%. This indicates that SUB's price experiences larger fluctuations and is considered to be riskier than FUMB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.30%0.40%0.50%0.60%0.70%JuneJulyAugustSeptemberOctoberNovember
0.67%
0.37%
SUB
FUMB