MUB vs VTEB: returns, Sharpe ratio and drawdown
Performance
MUB-5.52%VTEB-5.75%
Summary
MUB vs VTEB
Over the past year, MUB returned -5.46% against -5.71% for VTEB. Over five years, MUB averaged -2.78% a year, compared with -2.89% for VTEB. MUB had the higher Sharpe ratio over the past year (-2.98 vs -3.24), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.63% for MUB and -7.74% for VTEB.
Current Drawdown
MUB-7.63%VTEB-7.74%
Rolling Volatility
MUB+0.31%VTEB+0.31%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MUBVTEB
Alpha
MUB
-11.14%
VTEB
-11.31%
Beta
MUB
0.09x
VTEB
0.08x
Sharpe
MUB
-2.98
VTEB
-3.24
Sortino
MUB
-3.37
VTEB
-3.58
Omega
MUB
0.59
VTEB
0.56
Calmar
MUB
-0.72
VTEB
-0.74
Martin
MUB
-4.59
VTEB
-4.75
Comparisons