PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VMATX vs. NEAR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VMATXNEAR
YTD Return1.86%4.53%
1Y Return8.88%7.13%
3Y Return (Ann)-0.80%4.06%
5Y Return (Ann)1.06%2.85%
10Y Return (Ann)2.26%2.27%
Sharpe Ratio2.224.00
Sortino Ratio3.336.46
Omega Ratio1.521.91
Calmar Ratio0.829.92
Martin Ratio9.1428.42
Ulcer Index0.98%0.25%
Daily Std Dev4.04%1.75%
Max Drawdown-16.24%-9.60%
Current Drawdown-3.04%-0.41%

Correlation

-0.50.00.51.00.2

The correlation between VMATX and NEAR is 0.20, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

VMATX vs. NEAR - Performance Comparison

In the year-to-date period, VMATX achieves a 1.86% return, which is significantly lower than NEAR's 4.53% return. Both investments have delivered pretty close results over the past 10 years, with VMATX having a 2.26% annualized return and NEAR not far ahead at 2.27%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%-1.00%0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
2.14%
3.65%
VMATX
NEAR

Compare stocks, funds, or ETFs

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


VMATX vs. NEAR - Expense Ratio Comparison

VMATX has a 0.13% expense ratio, which is lower than NEAR'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%.


NEAR
iShares Short Maturity Bond ETF
Expense ratio chart for NEAR: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
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

VMATX vs. NEAR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Massachusetts Tax-Exempt Fund (VMATX) and iShares Short Maturity Bond ETF (NEAR). 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.


VMATX
Sharpe ratio
The chart of Sharpe ratio for VMATX, currently valued at 2.22, compared to the broader market0.002.004.002.22
Sortino ratio
The chart of Sortino ratio for VMATX, currently valued at 3.33, compared to the broader market0.005.0010.003.33
Omega ratio
The chart of Omega ratio for VMATX, currently valued at 1.52, compared to the broader market1.002.003.004.001.52
Calmar ratio
The chart of Calmar ratio for VMATX, currently valued at 0.82, compared to the broader market0.005.0010.0015.0020.000.82
Martin ratio
The chart of Martin ratio for VMATX, currently valued at 9.14, compared to the broader market0.0020.0040.0060.0080.00100.009.14
NEAR
Sharpe ratio
The chart of Sharpe ratio for NEAR, currently valued at 4.00, compared to the broader market0.002.004.004.00
Sortino ratio
The chart of Sortino ratio for NEAR, currently valued at 6.46, compared to the broader market0.005.0010.006.46
Omega ratio
The chart of Omega ratio for NEAR, currently valued at 1.91, compared to the broader market1.002.003.004.001.91
Calmar ratio
The chart of Calmar ratio for NEAR, currently valued at 9.92, compared to the broader market0.005.0010.0015.0020.009.92
Martin ratio
The chart of Martin ratio for NEAR, currently valued at 28.42, compared to the broader market0.0020.0040.0060.0080.00100.0028.42

VMATX vs. NEAR - Sharpe Ratio Comparison

The current VMATX Sharpe Ratio is 2.22, which is lower than the NEAR Sharpe Ratio of 4.00. The chart below compares the historical Sharpe Ratios of VMATX and NEAR, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
2.22
4.00
VMATX
NEAR

Dividends

VMATX vs. NEAR - Dividend Comparison

VMATX's dividend yield for the trailing twelve months is around 3.35%, less than NEAR's 5.15% yield.


TTM20232022202120202019201820172016201520142013
VMATX
Vanguard Massachusetts Tax-Exempt Fund
3.35%3.07%2.69%2.26%2.47%2.81%3.07%2.92%3.06%3.06%3.16%3.35%
NEAR
iShares Short Maturity Bond ETF
5.15%4.58%1.78%0.76%1.53%2.69%2.25%1.52%1.07%0.85%0.85%0.15%

Drawdowns

VMATX vs. NEAR - Drawdown Comparison

The maximum VMATX drawdown since its inception was -16.24%, which is greater than NEAR's maximum drawdown of -9.60%. Use the drawdown chart below to compare losses from any high point for VMATX and NEAR. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.04%
-0.41%
VMATX
NEAR

Volatility

VMATX vs. NEAR - Volatility Comparison

Vanguard Massachusetts Tax-Exempt Fund (VMATX) has a higher volatility of 1.99% compared to iShares Short Maturity Bond ETF (NEAR) at 0.40%. This indicates that VMATX's price experiences larger fluctuations and is considered to be riskier than NEAR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.99%
0.40%
VMATX
NEAR