iShares California Muni Bond ETF

10-Year Study

CMF.US · · US · ETF

Executive Summary: iShares California Muni Bond ETF has compounded at 1.7% annually over the last 10 years, with a maximum drawdown of 12.3% and an annualized volatility of 5.1%.

1Y CAGR
+5.8%
3Y CAGR
+3.1%
5Y CAGR
+0.5%
10Y CAGR
+1.7%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
12.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.49
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.70
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
5.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +6.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -8.3%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.80.9-2.71.1————————-0.0%
2025-0.61.1-1.8-0.3-0.20.4-0.30.92.51.10.40.23.4%
20240.0-0.0-0.3-1.1-0.31.01.20.51.1-1.41.7-0.81.6%
20232.5-2.22.5-0.2-0.90.80.0-1.0-2.2-1.25.42.35.7%
2022-3.0-0.3-3.2-2.92.0-1.62.5-2.3-3.7-0.25.1-0.6-8.3%
20210.4-1.80.50.90.10.20.6-0.3-0.70.00.70.20.8%
20201.80.8-3.4-1.04.5-0.21.4-0.5-0.2-0.61.70.24.5%
20190.30.31.70.41.50.40.81.6-0.80.20.10.36.9%
2018-0.6-0.80.5-0.61.6-0.10.10.4-0.8-1.11.11.61.0%
2017-0.10.60.60.51.6-0.40.80.9-0.50.2-0.50.84.6%
2016———0.90.21.7-0.20.3-0.7-0.9-4.31.6-1.5%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 5.1%. The dominant macroeconomic risk driver is LQD.US, accounting for 50.4% of variance. Idiosyncratic stock-specific factors contribute 22.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110090.93523260999
2016-05-0110111.106017478569
2016-06-0110284.599772453543
2016-07-0110263.94972306846
2016-08-0110294.185062783652
2016-09-0110225.671074511045
2016-10-0110128.797129413922
2016-11-019694.291751232544
2016-12-019851.74056369842
2017-01-019842.363649245053
2017-02-019904.25128463728
2017-03-019959.054140220294
2017-04-0110009.168538576625
2017-05-0110169.05534880038
2017-06-0110130.547486778552
2017-07-0110212.54339427633
2017-08-0110304.37464315631
2017-09-0110254.385270326025
2017-10-0110276.05636150714
2017-11-0110225.233485169889
2017-12-0110307.458606132084
2018-01-0110242.987109868265
2018-02-0110162.012244166515
2018-03-0110208.396714329176
2018-04-0110143.070876970714
2018-05-0110302.270046801223
2018-06-0110292.372192656001
2018-07-0110297.769127863605
2018-08-0110335.360136027773
2018-09-0110249.696813099341
2018-10-0110132.589570370616
2018-11-0110248.384045075869
2018-12-0110409.146033981937
2019-01-0110442.09026009477
2019-02-0110469.970952402782
2019-03-0110652.487382840663
2019-04-0110697.725785681243
2019-05-0110854.987059858055
2019-06-0110898.141703931218
2019-07-0110981.492054627819
2019-08-0111155.715125171388
2019-09-0111068.322282466002
2019-10-0111086.63852203158
2019-11-0111101.287346166508
2019-12-0111131.91860004751
2020-01-0111328.271188701026
2020-02-0111423.103050206082
2020-03-0111038.295318627554
2020-04-0110923.521885718332
2020-05-0111417.497739121738
2020-06-0111395.243195485744
2020-07-0111558.005592808531
2020-08-0111505.057282528516
2020-09-0111486.782718138287
2020-10-0111416.747585965468
2020-11-0111608.036640814165
2020-12-0111632.70834462036
2021-01-0111678.988626844646
2021-02-0111473.967601718685
2021-03-0111533.458914528383
2021-04-0111632.541643918968
2021-05-0111645.56513621531
2021-06-0111673.758392338435
2021-07-0111743.02253376731
2021-08-0111702.972690257593
2021-09-0111615.371471675466
2021-10-0111617.017641101726
2021-11-0111701.180657717618
2021-12-0111723.747765168722
2022-01-0111370.133902338393
2022-02-0111332.021954482372
2022-03-0110972.76110539235
2022-04-0110651.237127580212
2022-05-0110864.176436022355
2022-06-0110695.746214852197
2022-07-0110965.342924180353
2022-08-0110717.563169147033
2022-09-0110319.586082158441
2022-10-0110302.145021275175
2022-11-0110823.147225891953
2022-12-0110754.487374505628
2023-01-0111028.564165183725
2023-02-0110783.40994619735
2023-03-0111047.630557905572
2023-04-0111027.438935449321
2023-05-0110928.502069172457
2023-06-0111017.249355076661
2023-07-0111018.958037265942
2023-08-0110906.018312072049
2023-09-0110670.84529758159
2023-10-0110547.299240261555
2023-11-0111115.415230609582
2023-12-0111368.925322253293
2024-01-0111370.884055494664
2024-02-0111370.82154273164
2024-03-0111340.023588149246
2024-04-0111209.705314835111
2024-05-0111172.906135002562
2024-06-0111289.221549399668
2024-07-0111424.686706869317
2024-08-0111484.573933844826
2024-09-0111613.016824268287
2024-10-0111454.546970006377
2024-11-0111647.711407745746
2024-12-0111556.109372330184
2025-01-0111491.554525715668
2025-02-0111619.330613333555
2025-03-0111409.162704052076
2025-04-0111369.383749182125
2025-05-0111343.065875949675
2025-06-0111385.512042041917
2025-07-0111353.109593208614
2025-08-0111458.610299602833
2025-09-0111741.438877104076
2025-10-0111874.403524052828
2025-11-0111925.789015257282
2025-12-0111944.751220040756
2026-01-0112036.207392342603
2026-02-0112141.645585973803
2026-03-0111818.996378427262
2026-04-0111944.105254822858
Annual Return Matrix
YearAnnual Return
20170.046257617066459034
20180.009865421898406446
20190.06943629801195916
20200.04498683134196768
20210.0078261586082371
2022-0.08267496111975126
20230.0571331692856174
20240.016464533346041144
20250.03363085578275449
2026-0.0000540794199894723
Total Factor Risk
0.05102084743884635
VTI.US Exposure
0.16864816326396123
VEA.US Exposure
-0.0429370922308886
VWO.US Exposure
0.0645372070360951
QQQ.US Exposure
-0.1532934587750898
VTV.US Exposure
-0.07182578285344719
IJR.US Exposure
0.08630974496317612
QUAL.US Exposure
0.09990142871701152
SHV.US Exposure
0.0002111411452660348
TLT.US Exposure
0.0844704017669635
LQD.US Exposure
0.5043524533612946
HYG.US Exposure
0.0678698715516044
GLD.US Exposure
0.03629730818834982
USO.US Exposure
0.013048491206468829
VNQ.US Exposure
-0.0391583688423227
BTC-USD.CC Exposure
0.0016268332517291326
CPER.US Exposure
0.000161478967343645
VIX.INDX Exposure
-0.018268452759358633
UUP.US Exposure
-0.011821888880330395
TIP.US Exposure
-0.014417094644696257
Idiosyncratic Exposure
0.22428761556686977
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
34.9
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
5.1%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.91%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$59
Avg Yield on Cost
0.59%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$58.870.59%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-0.4%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+1.3%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.6% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.89
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares California Muni Bond ETF a high-risk investment?

iShares California Muni Bond ETF (CMF.US) has an annualized volatility of 5.1% and experienced a maximum drawdown of 12.3% over the last 10 years. Its primary macro risk driver is LQD.US.

What is the 10-year return of CMF.US?

Over the past 10 years, CMF.US has generated a Compound Annual Growth Rate (CAGR) of 1.7%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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