VMATX vs. ORNAX
VMATX (Vanguard Massachusetts Tax-Exempt Fund) and ORNAX (Invesco Rochester Municipal Opportunities Fund) are both mutual funds - VMATX is a Municipal Bonds fund managed by Vanguard, while ORNAX is a High Yield Muni fund managed by Invesco. Over the past 10 years, VMATX returned 2.38%/yr vs 4.02%/yr for ORNAX. A 0.66 correlation means they provide meaningful diversification when combined. VMATX charges 0.13%/yr vs 0.72%/yr for ORNAX.
Performance
VMATX vs. ORNAX - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with VMATX having a 1.93% return and ORNAX slightly higher at 1.99%. Over the past 10 years, VMATX has underperformed ORNAX with an annualized return of 2.38%, while ORNAX has yielded a comparatively higher 4.02% annualized return.
VMATX
- 1D
- 0.00%
- 1M
- 1.81%
- YTD
- 1.93%
- 6M
- 2.34%
- 1Y
- 8.20%
- 3Y*
- 4.61%
- 5Y*
- 1.11%
- 10Y*
- 2.38%
ORNAX
- 1D
- 0.15%
- 1M
- 2.15%
- YTD
- 1.99%
- 6M
- 2.61%
- 1Y
- 5.80%
- 3Y*
- 4.01%
- 5Y*
- 0.35%
- 10Y*
- 4.02%
VMATX vs. ORNAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
VMATX Vanguard Massachusetts Tax-Exempt Fund | 1.93% | 4.96% | 2.53% | 7.19% | -10.79% | 1.65% | 6.47% | 8.93% | 0.47% | 6.02% |
ORNAX Invesco Rochester Municipal Opportunities Fund | 1.99% | 2.32% | 4.76% | 7.66% | -14.80% | 6.73% | 5.89% | 14.25% | 9.16% | 6.88% |
Correlation
The correlation between VMATX and ORNAX is 0.78, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.78 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.88 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.90 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.77 |
Correlation (All Time) Calculated using the full available price history since Dec 9, 1998 | 0.66 |
The correlation between VMATX and ORNAX shifts across timeframes, from 0.66 (all time) to 0.90 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
VMATX vs. ORNAX — Risk / Return Rank
VMATX
ORNAX
VMATX vs. ORNAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Massachusetts Tax-Exempt Fund (VMATX) and Invesco Rochester Municipal Opportunities Fund (ORNAX). 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.
| VMATX | ORNAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.99 | ||
| Sortino ratioReturn per unit of downside risk | +1.44 | ||
| Omega ratioGain probability vs. loss probability | 1.65 | 1.36 | +0.29 |
| Calmar ratioReturn relative to maximum drawdown | 2.50 | 2.20 | +0.29 |
| Martin ratioReturn relative to average drawdown | 8.81 | 6.29 | +2.51 |
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Drawdowns
VMATX vs. ORNAX - Drawdown Comparison
The maximum VMATX drawdown since its inception was -15.91%, smaller than the maximum ORNAX drawdown of -55.48%. Use the drawdown chart below to compare losses from any high point for VMATX and ORNAX.
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Drawdown Indicators
| VMATX | ORNAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.91% | -55.48% | +39.57% |
Max Drawdown (1Y)Largest decline over 1 year | -3.30% | -2.92% | -0.38% |
Max Drawdown (3Y)Largest decline over 3 years | -6.68% | -9.79% | +3.11% |
Max Drawdown (5Y)Largest decline over 5 years | -15.91% | -21.16% | +5.25% |
Max Drawdown (10Y)Largest decline over 10 years | -15.91% | -21.16% | +5.25% |
Current DrawdownCurrent decline from peak | -0.35% | 0.00% | -0.35% |
Average DrawdownAverage peak-to-trough decline | -2.10% | -7.06% | +4.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.93% | 0.99% | -0.06% |
Volatility
VMATX vs. ORNAX - Volatility Comparison
The current volatility for Vanguard Massachusetts Tax-Exempt Fund (VMATX) is 0.79%, while Invesco Rochester Municipal Opportunities Fund (ORNAX) has a volatility of 0.96%. This indicates that VMATX experiences smaller price fluctuations and is considered to be less risky than ORNAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VMATX | ORNAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.79% | 0.96% | -0.17% |
Volatility (6M)Calculated over the trailing 6-month period | 2.41% | 2.67% | -0.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.14% | 3.93% | -0.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.66% | 6.04% | -1.38% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.64% | 6.00% | -1.36% |
VMATX vs. ORNAX - Expense Ratio Comparison
VMATX has a 0.13% expense ratio, which is lower than ORNAX's 0.72% expense ratio.
Dividends
VMATX vs. ORNAX - Dividend Comparison
VMATX's dividend yield for the trailing twelve months is around 3.61%, which matches ORNAX's 3.58% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ORNAX Invesco Rochester Municipal Opportunities Fund | 3.58% | 5.86% | 5.68% | 4.21% | 4.04% | 4.26% | 4.86% | 4.50% | 4.80% | 5.78% | 6.50% | 6.67% |
VMATX Vanguard Massachusetts Tax-Exempt Fund | 3.61% | 4.46% | 3.98% | 3.06% | 2.69% | 2.26% | 3.22% | 3.63% | 3.07% | 2.91% | 3.55% | 3.22% |
Frequently Asked Questions
VMATX and ORNAX have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ORNAX has higher volatility (0.96%) compared to VMATX (0.79%). In terms of maximum drawdown, VMATX dropped -15.91% vs ORNAX's -55.48%.
VMATX currently has the higher Sharpe Ratio (2.62 vs 1.64), 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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