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

Correlation

The correlation between TFI and VTEB is 0.78, 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.


-0.50.00.51.00.8

Performance

TFI vs. VTEB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Nuveen Bloomberg Barclays Municipal Bond ETF (TFI) and Vanguard Tax-Exempt Bond ETF (VTEB). The values are adjusted to include any dividend payments, if applicable.

16.00%18.00%20.00%22.00%24.00%JulyAugustSeptemberOctoberNovemberDecember
17.36%
22.45%
TFI
VTEB

Key characteristics

Sharpe Ratio

TFI:

-0.01

VTEB:

0.31

Sortino Ratio

TFI:

0.01

VTEB:

0.45

Omega Ratio

TFI:

1.00

VTEB:

1.06

Calmar Ratio

TFI:

-0.01

VTEB:

0.26

Martin Ratio

TFI:

-0.04

VTEB:

1.24

Ulcer Index

TFI:

1.33%

VTEB:

0.96%

Daily Std Dev

TFI:

4.14%

VTEB:

3.83%

Max Drawdown

TFI:

-15.49%

VTEB:

-17.00%

Current Drawdown

TFI:

-6.03%

VTEB:

-1.96%

Returns By Period

In the year-to-date period, TFI achieves a -0.27% return, which is significantly lower than VTEB's 0.94% return.


TFI

YTD

-0.27%

1M

-0.73%

6M

0.70%

1Y

-0.08%

5Y*

0.05%

10Y*

1.71%

VTEB

YTD

0.94%

1M

-0.81%

6M

1.17%

1Y

1.24%

5Y*

0.96%

10Y*

N/A

Compare stocks, funds, or ETFs

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


TFI vs. VTEB - Expense Ratio Comparison

TFI has a 0.23% expense ratio, which is higher than VTEB's 0.05% 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%.


TFI
SPDR Nuveen Bloomberg Barclays Municipal Bond ETF
Expense ratio chart for TFI: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%
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

TFI vs. VTEB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Nuveen Bloomberg Barclays Municipal Bond ETF (TFI) 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.


Sharpe ratio
The chart of Sharpe ratio for TFI, currently valued at -0.01, compared to the broader market0.002.004.00-0.010.31
The chart of Sortino ratio for TFI, currently valued at 0.01, compared to the broader market-2.000.002.004.006.008.0010.000.010.45
The chart of Omega ratio for TFI, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.001.001.06
The chart of Calmar ratio for TFI, currently valued at -0.01, compared to the broader market0.005.0010.0015.00-0.010.26
The chart of Martin ratio for TFI, currently valued at -0.04, compared to the broader market0.0020.0040.0060.0080.00100.00-0.041.24
TFI
VTEB

The current TFI Sharpe Ratio is -0.01, which is lower than the VTEB Sharpe Ratio of 0.31. The chart below compares the historical Sharpe Ratios of TFI 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
-0.01
0.31
TFI
VTEB

Dividends

TFI vs. VTEB - Dividend Comparison

TFI's dividend yield for the trailing twelve months is around 3.02%, more than VTEB's 2.87% yield.


TTM20232022202120202019201820172016201520142013
TFI
SPDR Nuveen Bloomberg Barclays Municipal Bond ETF
3.02%2.41%1.87%1.71%2.04%2.14%2.25%2.16%2.39%2.40%2.37%3.35%
VTEB
Vanguard Tax-Exempt Bond ETF
2.87%2.79%2.09%1.65%1.99%2.30%2.25%1.96%1.66%0.58%0.00%0.00%

Drawdowns

TFI vs. VTEB - Drawdown Comparison

The maximum TFI drawdown since its inception was -15.49%, smaller than the maximum VTEB drawdown of -17.00%. Use the drawdown chart below to compare losses from any high point for TFI and VTEB. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.03%
-1.96%
TFI
VTEB

Volatility

TFI vs. VTEB - Volatility Comparison

SPDR Nuveen Bloomberg Barclays Municipal Bond ETF (TFI) has a higher volatility of 1.32% compared to Vanguard Tax-Exempt Bond ETF (VTEB) at 1.17%. This indicates that TFI's price experiences larger fluctuations and is considered to be riskier than VTEB 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
1.32%
1.17%
TFI
VTEB
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