NMT vs. DNYMX
NMT (Nuveen Massachusetts Quality Municipal Income Fund) and DNYMX (DFA NY Municipal Bond Portfolio) are both Municipal Bonds funds. Over the past 10 years, NMT returned 2.58%/yr vs 1.30%/yr for DNYMX. At a 0.16 correlation, their price movements are largely independent. NMT charges 0.04%/yr vs 0.25%/yr for DNYMX.
Performance
NMT vs. DNYMX - Performance Comparison
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Returns By Period
In the year-to-date period, NMT achieves a 15.87% return, which is significantly higher than DNYMX's 1.18% return. Over the past 10 years, NMT has outperformed DNYMX with an annualized return of 2.58%, while DNYMX has yielded a comparatively lower 1.30% annualized return.
NMT
- 1D
- -0.31%
- 1M
- 1.10%
- YTD
- 15.87%
- 6M
- 15.57%
- 1Y
- 16.25%
- 3Y*
- 13.56%
- 5Y*
- 1.78%
- 10Y*
- 2.58%
DNYMX
- 1D
- 0.00%
- 1M
- 0.40%
- YTD
- 1.18%
- 6M
- 1.28%
- 1Y
- 2.89%
- 3Y*
- 2.82%
- 5Y*
- 1.63%
- 10Y*
- 1.30%
NMT vs. DNYMX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NMT Nuveen Massachusetts Quality Municipal Income Fund | 15.87% | 5.77% | 16.29% | 2.58% | -30.45% | 12.42% | 6.47% | 25.65% | -14.05% | 13.80% |
DNYMX DFA NY Municipal Bond Portfolio | 1.18% | 2.69% | 2.87% | 2.76% | -1.17% | -0.10% | 1.26% | 2.42% | 1.02% | 1.74% |
Correlation
The correlation between NMT and DNYMX is 0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.17 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.20 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.16 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016 | 0.16 |
The correlation between NMT and DNYMX shifts across timeframes, from 0.07 (1 year) to 0.20 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
NMT vs. DNYMX — Risk / Return Rank
NMT
DNYMX
NMT vs. DNYMX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Nuveen Massachusetts Quality Municipal Income Fund (NMT) and DFA NY Municipal Bond Portfolio (DNYMX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| NMT | DNYMX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.87 | ||
| Sortino ratioReturn per unit of downside risk | -7.73 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 4.07 | -2.75 |
| Calmar ratioReturn relative to maximum drawdown | 2.79 | 12.12 | -9.33 |
| Martin ratioReturn relative to average drawdown | 8.93 | 54.48 | -45.55 |
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Drawdowns
NMT vs. DNYMX - Drawdown Comparison
The maximum NMT drawdown since its inception was -40.12%, which is greater than DNYMX's maximum drawdown of -3.19%. Use the drawdown chart below to compare losses from any high point for NMT and DNYMX.
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Drawdown Indicators
| NMT | DNYMX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.12% | -3.19% | -36.93% |
Max Drawdown (1Y)Largest decline over 1 year | -5.84% | -0.24% | -5.60% |
Max Drawdown (3Y)Largest decline over 3 years | -13.28% | -0.98% | -12.30% |
Max Drawdown (5Y)Largest decline over 5 years | -38.88% | -2.53% | -36.35% |
Max Drawdown (10Y)Largest decline over 10 years | -38.88% | -3.19% | -35.69% |
Current DrawdownCurrent decline from peak | -3.74% | 0.00% | -3.74% |
Average DrawdownAverage peak-to-trough decline | -8.44% | -0.41% | -8.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.82% | 0.05% | +1.77% |
Volatility
NMT vs. DNYMX - Volatility Comparison
Nuveen Massachusetts Quality Municipal Income Fund (NMT) has a higher volatility of 2.92% compared to DFA NY Municipal Bond Portfolio (DNYMX) at 0.18%. This indicates that NMT's price experiences larger fluctuations and is considered to be riskier than DNYMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NMT | DNYMX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.92% | 0.18% | +2.74% |
Volatility (6M)Calculated over the trailing 6-month period | 8.41% | 0.48% | +7.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.92% | 0.65% | +9.27% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.32% | 0.88% | +11.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.07% | 1.05% | +13.02% |
NMT vs. DNYMX - Expense Ratio Comparison
NMT has a 0.04% expense ratio, which is lower than DNYMX's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
NMT vs. DNYMX - Dividend Comparison
NMT's dividend yield for the trailing twelve months is around 6.12%, more than DNYMX's 2.65% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DNYMX DFA NY Municipal Bond Portfolio | 2.65% | 2.36% | 2.73% | 1.92% | 0.70% | 0.59% | 1.06% | 1.31% | 1.21% | 1.04% | 1.08% | 0.00% |
NMT Nuveen Massachusetts Quality Municipal Income Fund | 6.12% | 7.27% | 5.94% | 3.06% | 4.50% | 3.43% | 3.60% | 3.46% | 4.66% | 4.57% | 5.30% | 5.15% |
Frequently Asked Questions
NMT and DNYMX have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NMT has higher volatility (2.92%) compared to DNYMX (0.18%). In terms of maximum drawdown, NMT dropped -40.12% vs DNYMX's -3.19%.
DNYMX currently has the higher Sharpe Ratio (4.52 vs 1.65), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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