MUB vs VTEB: returns, Sharpe ratio and drawdown
Performance
MUB-5.40%VTEB-5.77%
Summary
MUB vs VTEB
Over the past year, MUB returned -5.40% against -5.77% for VTEB. Over five years, MUB averaged -2.70% a year, compared with -2.85% for VTEB. MUB had the higher Sharpe ratio over the past year (-2.81 vs -3.00), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.93% for MUB and -8.23% for VTEB.
Current Drawdown
MUB-7.20%VTEB-7.49%
Rolling Volatility
MUB+0.37%VTEB+0.40%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MUBVTEB
Alpha
MUB
-11.50%
VTEB
-11.76%
Beta
MUB
0.10x
VTEB
0.09x
Sharpe
MUB
-2.81
VTEB
-3.00
Sortino
MUB
-3.25
VTEB
-3.43
Omega
MUB
0.61
VTEB
0.58
Calmar
MUB
-0.68
VTEB
-0.70
Martin
MUB
-3.85
VTEB
-3.98
Comparisons