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

Key characteristics


VMATXVTABX
YTD Return1.86%3.09%
1Y Return8.88%8.36%
3Y Return (Ann)-0.80%-1.31%
5Y Return (Ann)1.06%-0.17%
10Y Return (Ann)2.26%1.94%
Sharpe Ratio2.222.00
Sortino Ratio3.333.09
Omega Ratio1.521.36
Calmar Ratio0.820.62
Martin Ratio9.147.71
Ulcer Index0.98%1.02%
Daily Std Dev4.04%3.93%
Max Drawdown-16.24%-16.82%
Current Drawdown-3.04%-5.40%

Correlation

-0.50.00.51.00.5

The correlation between VMATX and VTABX is 0.51, 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.

Performance

VMATX vs. VTABX - Performance Comparison

In the year-to-date period, VMATX achieves a 1.86% return, which is significantly lower than VTABX's 3.09% return. Over the past 10 years, VMATX has outperformed VTABX with an annualized return of 2.26%, while VTABX has yielded a comparatively lower 1.94% annualized return. 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%5.00%JuneJulyAugustSeptemberOctoberNovember
2.14%
3.73%
VMATX
VTABX

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VMATX vs. VTABX - Expense Ratio Comparison

VMATX has a 0.13% expense ratio, which is higher than VTABX's 0.11% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VMATX
Vanguard Massachusetts Tax-Exempt Fund
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%
Expense ratio chart for VTABX: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Risk-Adjusted Performance

VMATX vs. VTABX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Massachusetts Tax-Exempt Fund (VMATX) and Vanguard Total International Bond Index Fund Admiral Shares (VTABX). 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 market0.005.0010.0015.0020.0025.000.82
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
VTABX
Sharpe ratio
The chart of Sharpe ratio for VTABX, currently valued at 2.00, compared to the broader market0.002.004.002.00
Sortino ratio
The chart of Sortino ratio for VTABX, currently valued at 3.09, compared to the broader market0.005.0010.003.09
Omega ratio
The chart of Omega ratio for VTABX, currently valued at 1.36, compared to the broader market1.002.003.004.001.36
Calmar ratio
The chart of Calmar ratio for VTABX, currently valued at 0.62, compared to the broader market0.005.0010.0015.0020.0025.000.62
Martin ratio
The chart of Martin ratio for VTABX, currently valued at 7.71, compared to the broader market0.0020.0040.0060.0080.00100.007.71

VMATX vs. VTABX - Sharpe Ratio Comparison

The current VMATX Sharpe Ratio is 2.22, which is comparable to the VTABX Sharpe Ratio of 2.00. The chart below compares the historical Sharpe Ratios of VMATX and VTABX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.22
2.00
VMATX
VTABX

Dividends

VMATX vs. VTABX - Dividend Comparison

VMATX's dividend yield for the trailing twelve months is around 3.35%, less than VTABX's 4.75% 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%
VTABX
Vanguard Total International Bond Index Fund Admiral Shares
4.75%4.39%1.48%3.04%0.93%3.38%2.99%2.24%1.90%1.64%1.54%0.87%

Drawdowns

VMATX vs. VTABX - Drawdown Comparison

The maximum VMATX drawdown since its inception was -16.24%, roughly equal to the maximum VTABX drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for VMATX and VTABX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-3.04%
-5.40%
VMATX
VTABX

Volatility

VMATX vs. VTABX - Volatility Comparison

Vanguard Massachusetts Tax-Exempt Fund (VMATX) has a higher volatility of 1.99% compared to Vanguard Total International Bond Index Fund Admiral Shares (VTABX) at 0.96%. This indicates that VMATX's price experiences larger fluctuations and is considered to be riskier than VTABX 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%
0.96%
VMATX
VTABX