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

Performance

VTES vs. SUB - 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 iShares Short-Term National Muni Bond ETF (SUB). 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
2.68%
2.41%
VTES
SUB

Returns By Period

The year-to-date returns for both investments are quite close, with VTES having a 1.92% return and SUB slightly higher at 1.94%.


VTES

YTD

1.92%

1M

0.49%

6M

2.69%

1Y

3.72%

5Y (annualized)

N/A

10Y (annualized)

N/A

SUB

YTD

1.94%

1M

0.30%

6M

2.40%

1Y

3.22%

5Y (annualized)

1.12%

10Y (annualized)

1.13%

Key characteristics


VTESSUB
Sharpe Ratio2.472.19
Sortino Ratio3.743.39
Omega Ratio1.551.45
Calmar Ratio3.583.49
Martin Ratio9.9010.11
Ulcer Index0.38%0.32%
Daily Std Dev1.51%1.47%
Max Drawdown-2.42%-9.46%
Current Drawdown-0.20%-0.41%

Compare stocks, funds, or ETFs

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


VTES vs. SUB - Expense Ratio Comparison

Both VTES and SUB have an expense ratio of 0.07%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


VTES
Vanguard Short-Term Tax-Exempt Bond ETF Shares
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%
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

-0.50.00.51.00.7

The correlation between VTES and SUB is 0.75, 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.

Risk-Adjusted Performance

VTES vs. SUB - 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 iShares Short-Term National Muni Bond ETF (SUB). 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 2.47, compared to the broader market0.002.004.002.472.19
The chart of Sortino ratio for VTES, currently valued at 3.74, compared to the broader market-2.000.002.004.006.008.0010.0012.003.743.39
The chart of Omega ratio for VTES, currently valued at 1.55, compared to the broader market0.501.001.502.002.503.001.551.45
The chart of Calmar ratio for VTES, currently valued at 3.58, compared to the broader market0.005.0010.0015.0020.003.583.49
The chart of Martin ratio for VTES, currently valued at 9.90, compared to the broader market0.0020.0040.0060.0080.00100.009.9010.11
VTES
SUB

The current VTES Sharpe Ratio is 2.47, which is comparable to the SUB Sharpe Ratio of 2.19. The chart below compares the historical Sharpe Ratios of VTES and SUB, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.47
2.19
VTES
SUB

Dividends

VTES vs. SUB - Dividend Comparison

VTES's dividend yield for the trailing twelve months is around 2.98%, more than SUB's 2.04% yield.


TTM20232022202120202019201820172016201520142013
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%
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%

Drawdowns

VTES vs. SUB - Drawdown Comparison

The maximum VTES drawdown since its inception was -2.42%, smaller than the maximum SUB drawdown of -9.46%. Use the drawdown chart below to compare losses from any high point for VTES and SUB. For additional features, visit the drawdowns tool.


-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.20%
-0.41%
VTES
SUB

Volatility

VTES vs. SUB - Volatility Comparison

Vanguard Short-Term Tax-Exempt Bond ETF Shares (VTES) has a higher volatility of 0.67% compared to iShares Short-Term National Muni Bond ETF (SUB) at 0.58%. This indicates that VTES's price experiences larger fluctuations and is considered to be riskier than SUB 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%0.80%JuneJulyAugustSeptemberOctoberNovember
0.67%
0.58%
VTES
SUB