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ORNAX vs. VMATX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ORNAX and VMATX is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

ORNAX vs. VMATX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Rochester Municipal Opportunities Fund (ORNAX) and Vanguard Massachusetts Tax-Exempt Fund (VMATX). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%JulyAugustSeptemberOctoberNovemberDecember
0.86%
0.74%
ORNAX
VMATX

Key characteristics

Sharpe Ratio

ORNAX:

0.79

VMATX:

0.39

Sortino Ratio

ORNAX:

1.14

VMATX:

0.55

Omega Ratio

ORNAX:

1.17

VMATX:

1.08

Calmar Ratio

ORNAX:

0.44

VMATX:

0.23

Martin Ratio

ORNAX:

3.50

VMATX:

1.39

Ulcer Index

ORNAX:

1.06%

VMATX:

1.09%

Daily Std Dev

ORNAX:

4.67%

VMATX:

3.93%

Max Drawdown

ORNAX:

-55.48%

VMATX:

-16.24%

Current Drawdown

ORNAX:

-3.84%

VMATX:

-3.80%

Returns By Period

In the year-to-date period, ORNAX achieves a 3.11% return, which is significantly higher than VMATX's 1.06% return. Over the past 10 years, ORNAX has outperformed VMATX with an annualized return of 4.86%, while VMATX has yielded a comparatively lower 2.19% annualized return.


ORNAX

YTD

3.11%

1M

-1.30%

6M

0.86%

1Y

3.86%

5Y*

1.74%

10Y*

4.86%

VMATX

YTD

1.06%

1M

-1.08%

6M

0.74%

1Y

1.53%

5Y*

0.69%

10Y*

2.19%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


ORNAX vs. VMATX - Expense Ratio Comparison

ORNAX has a 0.72% expense ratio, which is higher than VMATX's 0.13% expense ratio.


ORNAX
Invesco Rochester Municipal Opportunities Fund
Expense ratio chart for ORNAX: current value at 0.72% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.72%
Expense ratio chart for VMATX: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

ORNAX vs. VMATX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Rochester Municipal Opportunities Fund (ORNAX) and Vanguard Massachusetts Tax-Exempt Fund (VMATX). 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.


Sharpe ratio
The chart of Sharpe ratio for ORNAX, currently valued at 0.79, compared to the broader market-1.000.001.002.003.004.000.790.39
The chart of Sortino ratio for ORNAX, currently valued at 1.14, compared to the broader market-2.000.002.004.006.008.0010.001.140.55
The chart of Omega ratio for ORNAX, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.003.501.171.08
The chart of Calmar ratio for ORNAX, currently valued at 0.44, compared to the broader market0.002.004.006.008.0010.0012.000.440.23
The chart of Martin ratio for ORNAX, currently valued at 3.50, compared to the broader market0.0020.0040.0060.003.501.39
ORNAX
VMATX

The current ORNAX Sharpe Ratio is 0.79, which is higher than the VMATX Sharpe Ratio of 0.39. The chart below compares the historical Sharpe Ratios of ORNAX and VMATX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.79
0.39
ORNAX
VMATX

Dividends

ORNAX vs. VMATX - Dividend Comparison

ORNAX's dividend yield for the trailing twelve months is around 4.85%, more than VMATX's 3.11% yield.


TTM20232022202120202019201820172016201520142013
ORNAX
Invesco Rochester Municipal Opportunities Fund
4.85%5.06%4.81%4.25%4.81%4.24%4.80%5.78%6.56%6.67%7.51%8.06%
VMATX
Vanguard Massachusetts Tax-Exempt Fund
3.11%3.07%2.69%2.26%2.47%2.81%3.07%2.92%3.06%3.06%3.16%3.35%

Drawdowns

ORNAX vs. VMATX - Drawdown Comparison

The maximum ORNAX drawdown since its inception was -55.48%, which is greater than VMATX's maximum drawdown of -16.24%. Use the drawdown chart below to compare losses from any high point for ORNAX and VMATX. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%JulyAugustSeptemberOctoberNovemberDecember
-3.84%
-3.80%
ORNAX
VMATX

Volatility

ORNAX vs. VMATX - Volatility Comparison

Invesco Rochester Municipal Opportunities Fund (ORNAX) and Vanguard Massachusetts Tax-Exempt Fund (VMATX) have volatilities of 1.49% and 1.45%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JulyAugustSeptemberOctoberNovemberDecember
1.49%
1.45%
ORNAX
VMATX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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