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

Key characteristics


VKQVTES
YTD Return11.54%1.77%
1Y Return22.98%4.46%
Sharpe Ratio2.222.87
Sortino Ratio3.424.45
Omega Ratio1.441.66
Calmar Ratio0.703.75
Martin Ratio12.8512.01
Ulcer Index1.71%0.37%
Daily Std Dev9.91%1.55%
Max Drawdown-51.05%-2.42%
Current Drawdown-15.50%-0.34%

Correlation

-0.50.00.51.00.5

The correlation between VKQ and VTES is 0.52, 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

VKQ vs. VTES - Performance Comparison

In the year-to-date period, VKQ achieves a 11.54% return, which is significantly higher than VTES's 1.77% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
17.19%
5.15%
VKQ
VTES

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

VKQ vs. VTES - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Municipal Trust (VKQ) and Vanguard Short-Term Tax-Exempt Bond ETF Shares (VTES). 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.


VKQ
Sharpe ratio
The chart of Sharpe ratio for VKQ, currently valued at 2.22, compared to the broader market-4.00-2.000.002.004.002.22
Sortino ratio
The chart of Sortino ratio for VKQ, currently valued at 3.42, compared to the broader market-4.00-2.000.002.004.006.003.42
Omega ratio
The chart of Omega ratio for VKQ, currently valued at 1.44, compared to the broader market0.501.001.502.001.44
Calmar ratio
The chart of Calmar ratio for VKQ, currently valued at 2.15, compared to the broader market0.002.004.006.002.15
Martin ratio
The chart of Martin ratio for VKQ, currently valued at 12.85, compared to the broader market0.0010.0020.0030.0012.85
VTES
Sharpe ratio
The chart of Sharpe ratio for VTES, currently valued at 2.87, compared to the broader market-4.00-2.000.002.004.002.87
Sortino ratio
The chart of Sortino ratio for VTES, currently valued at 4.45, compared to the broader market-4.00-2.000.002.004.006.004.45
Omega ratio
The chart of Omega ratio for VTES, currently valued at 1.66, compared to the broader market0.501.001.502.001.66
Calmar ratio
The chart of Calmar ratio for VTES, currently valued at 3.75, compared to the broader market0.002.004.006.003.75
Martin ratio
The chart of Martin ratio for VTES, currently valued at 12.01, compared to the broader market0.0010.0020.0030.0012.01

VKQ vs. VTES - Sharpe Ratio Comparison

The current VKQ Sharpe Ratio is 2.22, which is comparable to the VTES Sharpe Ratio of 2.87. The chart below compares the historical Sharpe Ratios of VKQ and VTES, 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 Ratio1.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.22
2.87
VKQ
VTES

Dividends

VKQ vs. VTES - Dividend Comparison

VKQ's dividend yield for the trailing twelve months is around 5.70%, more than VTES's 2.98% yield.


TTM20232022202120202019201820172016201520142013
VKQ
Invesco Municipal Trust
5.70%4.60%5.63%4.71%4.66%4.99%5.98%5.76%6.43%6.39%6.37%7.35%
VTES
Vanguard Short-Term Tax-Exempt Bond ETF Shares
2.98%2.03%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

VKQ vs. VTES - Drawdown Comparison

The maximum VKQ drawdown since its inception was -51.05%, which is greater than VTES's maximum drawdown of -2.42%. Use the drawdown chart below to compare losses from any high point for VKQ and VTES. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.06%
-0.34%
VKQ
VTES

Volatility

VKQ vs. VTES - Volatility Comparison

Invesco Municipal Trust (VKQ) has a higher volatility of 2.42% compared to Vanguard Short-Term Tax-Exempt Bond ETF Shares (VTES) at 0.76%. This indicates that VKQ's price experiences larger fluctuations and is considered to be riskier than VTES based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.42%
0.76%
VKQ
VTES