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

Performance

VTES vs. VKQ - 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 Invesco Municipal Trust (VKQ). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
2.53%
7.28%
VTES
VKQ

Returns By Period

In the year-to-date period, VTES achieves a 1.92% return, which is significantly lower than VKQ's 10.03% return.


VTES

YTD

1.92%

1M

-0.02%

6M

2.46%

1Y

3.89%

5Y (annualized)

N/A

10Y (annualized)

N/A

VKQ

YTD

10.03%

1M

-1.66%

6M

6.39%

1Y

16.30%

5Y (annualized)

0.93%

10Y (annualized)

3.25%

Key characteristics


VTESVKQ
Sharpe Ratio2.621.76
Sortino Ratio3.972.68
Omega Ratio1.591.34
Calmar Ratio3.810.60
Martin Ratio10.549.60
Ulcer Index0.37%1.77%
Daily Std Dev1.51%9.63%
Max Drawdown-2.42%-51.05%
Current Drawdown-0.20%-16.65%

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Correlation

-0.50.00.51.00.5

The correlation between VTES and VKQ is 0.51, 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. VKQ - 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 Invesco Municipal Trust (VKQ). 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 2.62, compared to the broader market0.002.004.006.002.621.76
The chart of Sortino ratio for VTES, currently valued at 3.97, compared to the broader market-2.000.002.004.006.008.0010.0012.003.972.68
The chart of Omega ratio for VTES, currently valued at 1.59, compared to the broader market0.501.001.502.002.503.001.591.34
The chart of Calmar ratio for VTES, currently valued at 3.81, compared to the broader market0.005.0010.0015.0020.003.812.66
The chart of Martin ratio for VTES, currently valued at 10.54, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.549.60
VTES
VKQ

The current VTES Sharpe Ratio is 2.62, which is higher than the VKQ Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of VTES and VKQ, 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
2.62
1.76
VTES
VKQ

Dividends

VTES vs. VKQ - Dividend Comparison

VTES's dividend yield for the trailing twelve months is around 2.98%, less than VKQ's 6.10% 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%
VKQ
Invesco Municipal Trust
6.10%4.60%5.63%4.71%4.66%4.99%5.98%5.76%6.43%6.39%6.37%7.35%

Drawdowns

VTES vs. VKQ - Drawdown Comparison

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


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.20%
-3.40%
VTES
VKQ

Volatility

VTES vs. VKQ - Volatility Comparison

The current volatility for Vanguard Short-Term Tax-Exempt Bond ETF Shares (VTES) is 0.75%, while Invesco Municipal Trust (VKQ) has a volatility of 2.78%. This indicates that VTES experiences smaller price fluctuations and is considered to be less risky than VKQ 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
0.75%
2.78%
VTES
VKQ