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

Performance

SUB vs. FUMB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Short-Term National Muni Bond ETF (SUB) and First Trust Ultra Short Duration Municipal ETF (FUMB). The values are adjusted to include any dividend payments, if applicable.

-0.50%0.00%0.50%1.00%1.50%2.00%2.50%3.00%JuneJulyAugustSeptemberOctoberNovember
2.37%
1.49%
SUB
FUMB

Returns By Period

In the year-to-date period, SUB achieves a 1.89% return, which is significantly lower than FUMB's 2.53% return.


SUB

YTD

1.89%

1M

-0.05%

6M

2.37%

1Y

3.17%

5Y (annualized)

1.11%

10Y (annualized)

1.13%

FUMB

YTD

2.53%

1M

0.15%

6M

1.49%

1Y

2.99%

5Y (annualized)

1.42%

10Y (annualized)

N/A

Key characteristics


SUBFUMB
Sharpe Ratio2.272.15
Sortino Ratio3.553.20
Omega Ratio1.471.46
Calmar Ratio3.656.07
Martin Ratio10.6127.29
Ulcer Index0.32%0.11%
Daily Std Dev1.48%1.40%
Max Drawdown-9.46%-2.68%
Current Drawdown-0.46%-0.25%

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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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for SUB, currently valued at 2.27, compared to the broader market0.002.004.002.272.15
The chart of Sortino ratio for SUB, currently valued at 3.55, compared to the broader market-2.000.002.004.006.008.0010.003.553.20
The chart of Omega ratio for SUB, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.471.46
The chart of Calmar ratio for SUB, currently valued at 3.65, compared to the broader market0.005.0010.0015.003.656.07
The chart of Martin ratio for SUB, currently valued at 10.61, compared to the broader market0.0020.0040.0060.0080.00100.0010.6127.29
SUB
FUMB

The current SUB Sharpe Ratio is 2.27, which is comparable to the FUMB Sharpe Ratio of 2.15. 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
2.27
2.15
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 2.55% 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
2.55%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
-0.46%
-0.25%
SUB
FUMB

Volatility

SUB vs. FUMB - Volatility Comparison

iShares Short-Term National Muni Bond ETF (SUB) has a higher volatility of 0.58% compared to First Trust Ultra Short Duration Municipal ETF (FUMB) at 0.40%. 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
0.58%
0.40%
SUB
FUMB