Performance

SCMB-5.37%MUB-4.80%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
SCMB	+0.12%	-4.97%	-5.37%	—	-8.71%	-2.61
MUB	-0.13%	-4.56%	-4.80%	-2.48%	-7.93%	-2.54

Summary

SCMB vs MUB

Over the past year, MUB returned -4.80% against -5.37% for SCMB. MUB had the higher Sharpe ratio over the past year (-2.54 vs -2.61), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.93% for MUB and -8.71% for SCMB.

Current Drawdown

SCMB-6.49%MUB-6.03%

Rolling Volatility

SCMB+0.46%MUB+0.42%

METRICS

Correlation Matrix

	SCMB	MUB
SCMB	1.00	0.91
MUB	0.91	1.00

Metrics

Risk Indicators

SCMBMUB

Alpha

-10.76%

-10.39%

Beta

0.08x

0.11x

Sharpe

-2.61

-2.54

Sortino

-3.09

-3.04

Omega

0.62

0.64

Calmar

-0.62

-0.61

Martin

-3.26

-3.40

Comparisons

More SCMB comparisons

SCMB vs VTEB
SCMB vs VTEC
SCMB vs CMF
SCMB vs VCRM
SCMB vs TFI

More MUB comparisons

MUB vs VTEB
MUB vs SGOV
MUB vs BND
MUB vs AGG
MUB vs SUB
MUB vs JMUB

SCMB vs MUB: returns, Sharpe ratio and drawdown

SCMB vs MUB

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