Performance

CMF-4.74%MUB-4.80%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
CMF	+0.05%	-4.66%	-4.74%	-2.45%	-8.10%	-2.63
MUB	-0.13%	-4.56%	-4.80%	-2.48%	-7.93%	-2.54

Summary

CMF vs MUB

Over the past year, CMF returned -4.74% against -4.80% for MUB. Over five years, CMF averaged -2.45% a year, compared with -2.48% for MUB. MUB had the higher Sharpe ratio over the past year (-2.54 vs -2.63), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.93% for MUB and -8.10% for CMF.

Current Drawdown

CMF-6.15%MUB-6.03%

Rolling Volatility

CMF+0.41%MUB+0.42%

METRICS

Correlation Matrix

	CMF	MUB
CMF	1.00	0.95
MUB	0.95	1.00

Metrics

Risk Indicators

CMFMUB

Alpha

-10.30%

-10.39%

Beta

0.10x

0.11x

Sharpe

-2.63

-2.54

Sortino

-3.08

-3.04

Omega

0.61

0.64

Calmar

-0.59

-0.61

Martin

-3.29

-3.40

Comparisons

More CMF comparisons

CMF vs VTEC
CMF vs VTEB
CMF vs TFI
CMF vs VCRM
CMF vs JMUB

More MUB comparisons

MUB vs VTEB
MUB vs SGOV
MUB vs BND
MUB vs AGG
MUB vs SCMB
MUB vs SUB

CMF vs MUB: returns, Sharpe ratio and drawdown

CMF vs MUB

More CMF comparisons

More MUB comparisons