Assuming 30 trading days horizon, S&P 500 is expected to generate 0.79 times more return on investment than Nuveen. However, S&P 500 is 1.26 times less risky than Nuveen. It trades about -0.05 of its potential returns per unit of risk. Nuveen California Dividend Advantage Municipal Fund is currently generating about -0.42 per unit of risk. If you would invest  166,916  in S&P 500 on May 20, 2013 and sell it today you would lose (1,735) from holding S&P 500 or give up 1.04% of portfolio value over 30 days.