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VTES vs. JMST
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VTES vs. JMST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Short-Term Tax-Exempt Bond ETF Shares (VTES) and JPMorgan Ultra-Short Municipal Income ETF (JMST). 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
2.64%
1.92%
VTES
JMST

Returns By Period

In the year-to-date period, VTES achieves a 1.89% return, which is significantly lower than JMST's 3.01% return.


VTES

YTD

1.89%

1M

0.15%

6M

2.64%

1Y

3.68%

5Y (annualized)

N/A

10Y (annualized)

N/A

JMST

YTD

3.01%

1M

0.27%

6M

1.92%

1Y

3.74%

5Y (annualized)

1.83%

10Y (annualized)

N/A

Key characteristics


VTESJMST
Sharpe Ratio2.495.04
Sortino Ratio3.779.08
Omega Ratio1.552.26
Calmar Ratio3.6222.93
Martin Ratio10.00100.48
Ulcer Index0.38%0.04%
Daily Std Dev1.51%0.76%
Max Drawdown-2.42%-2.41%
Current Drawdown-0.23%-0.00%

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VTES vs. JMST - Expense Ratio Comparison

VTES has a 0.07% expense ratio, which is lower than JMST's 0.18% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


JMST
JPMorgan Ultra-Short Municipal Income ETF
Expense ratio chart for JMST: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for VTES: 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

-0.50.00.51.00.4

The correlation between VTES and JMST is 0.41, 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.

Risk-Adjusted Performance

VTES vs. JMST - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Short-Term Tax-Exempt Bond ETF Shares (VTES) and JPMorgan Ultra-Short Municipal Income ETF (JMST). 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 VTES, currently valued at 2.49, compared to the broader market0.002.004.002.495.04
The chart of Sortino ratio for VTES, currently valued at 3.77, compared to the broader market-2.000.002.004.006.008.0010.0012.003.779.08
The chart of Omega ratio for VTES, currently valued at 1.55, compared to the broader market0.501.001.502.002.503.001.552.26
The chart of Calmar ratio for VTES, currently valued at 3.62, compared to the broader market0.005.0010.0015.003.6222.93
The chart of Martin ratio for VTES, currently valued at 10.00, compared to the broader market0.0020.0040.0060.0080.00100.0010.00100.48
VTES
JMST

The current VTES Sharpe Ratio is 2.49, which is lower than the JMST Sharpe Ratio of 5.04. The chart below compares the historical Sharpe Ratios of VTES and JMST, 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 Ratio1.002.003.004.005.006.00JuneJulyAugustSeptemberOctoberNovember
2.49
5.04
VTES
JMST

Dividends

VTES vs. JMST - Dividend Comparison

VTES's dividend yield for the trailing twelve months is around 2.98%, less than JMST's 3.35% yield.


TTM202320222021202020192018
VTES
Vanguard Short-Term Tax-Exempt Bond ETF Shares
2.98%2.03%0.00%0.00%0.00%0.00%0.00%
JMST
JPMorgan Ultra-Short Municipal Income ETF
3.35%3.09%1.11%0.27%0.87%1.63%0.34%

Drawdowns

VTES vs. JMST - Drawdown Comparison

The maximum VTES drawdown since its inception was -2.42%, roughly equal to the maximum JMST drawdown of -2.41%. Use the drawdown chart below to compare losses from any high point for VTES and JMST. For additional features, visit the drawdowns tool.


-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.23%
0
VTES
JMST

Volatility

VTES vs. JMST - Volatility Comparison

Vanguard Short-Term Tax-Exempt Bond ETF Shares (VTES) has a higher volatility of 0.67% compared to JPMorgan Ultra-Short Municipal Income ETF (JMST) at 0.29%. This indicates that VTES's price experiences larger fluctuations and is considered to be riskier than JMST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.10%0.20%0.30%0.40%0.50%0.60%0.70%0.80%JuneJulyAugustSeptemberOctoberNovember
0.67%
0.29%
VTES
JMST