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

Key characteristics


VMATXVWSUX
YTD Return1.86%2.84%
1Y Return8.88%4.56%
3Y Return (Ann)-0.78%2.02%
5Y Return (Ann)0.99%1.71%
10Y Return (Ann)2.27%1.44%
Sharpe Ratio2.203.79
Sortino Ratio3.299.09
Omega Ratio1.512.53
Calmar Ratio0.819.03
Martin Ratio8.9231.36
Ulcer Index1.00%0.15%
Daily Std Dev4.04%1.20%
Max Drawdown-16.24%-3.08%
Current Drawdown-3.04%-0.10%

Correlation

-0.50.00.51.00.6

The correlation between VMATX and VWSUX is 0.58, 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. VWSUX - Performance Comparison

In the year-to-date period, VMATX achieves a 1.86% return, which is significantly lower than VWSUX's 2.84% return. Over the past 10 years, VMATX has outperformed VWSUX with an annualized return of 2.27%, while VWSUX has yielded a comparatively lower 1.44% 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%JuneJulyAugustSeptemberOctoberNovember
1.84%
2.14%
VMATX
VWSUX

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VMATX vs. VWSUX - Expense Ratio Comparison

VMATX has a 0.13% expense ratio, which is higher than VWSUX's 0.09% 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 VWSUX: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

VMATX vs. VWSUX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Massachusetts Tax-Exempt Fund (VMATX) and Vanguard Short-Term Tax-Exempt Fund Admiral Shares (VWSUX). 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 2.20, compared to the broader market0.002.004.002.20
Sortino ratio
The chart of Sortino ratio for VMATX, currently valued at 3.29, compared to the broader market0.005.0010.003.29
Omega ratio
The chart of Omega ratio for VMATX, currently valued at 1.51, compared to the broader market1.002.003.004.001.51
Calmar ratio
The chart of Calmar ratio for VMATX, currently valued at 0.81, compared to the broader market0.005.0010.0015.0020.000.81
Martin ratio
The chart of Martin ratio for VMATX, currently valued at 8.92, compared to the broader market0.0020.0040.0060.0080.00100.008.92
VWSUX
Sharpe ratio
The chart of Sharpe ratio for VWSUX, currently valued at 3.79, compared to the broader market0.002.004.003.79
Sortino ratio
The chart of Sortino ratio for VWSUX, currently valued at 9.09, compared to the broader market0.005.0010.009.09
Omega ratio
The chart of Omega ratio for VWSUX, currently valued at 2.53, compared to the broader market1.002.003.004.002.53
Calmar ratio
The chart of Calmar ratio for VWSUX, currently valued at 9.03, compared to the broader market0.005.0010.0015.0020.009.03
Martin ratio
The chart of Martin ratio for VWSUX, currently valued at 31.36, compared to the broader market0.0020.0040.0060.0080.00100.0031.36

VMATX vs. VWSUX - Sharpe Ratio Comparison

The current VMATX Sharpe Ratio is 2.20, which is lower than the VWSUX Sharpe Ratio of 3.79. The chart below compares the historical Sharpe Ratios of VMATX and VWSUX, 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
2.20
3.79
VMATX
VWSUX

Dividends

VMATX vs. VWSUX - Dividend Comparison

VMATX's dividend yield for the trailing twelve months is around 3.35%, more than VWSUX's 3.23% 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%
VWSUX
Vanguard Short-Term Tax-Exempt Fund Admiral Shares
3.23%2.50%1.23%0.71%1.26%1.67%1.53%1.16%0.97%0.78%0.79%0.93%

Drawdowns

VMATX vs. VWSUX - Drawdown Comparison

The maximum VMATX drawdown since its inception was -16.24%, which is greater than VWSUX's maximum drawdown of -3.08%. Use the drawdown chart below to compare losses from any high point for VMATX and VWSUX. 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%
-0.10%
VMATX
VWSUX

Volatility

VMATX vs. VWSUX - Volatility Comparison

Vanguard Massachusetts Tax-Exempt Fund (VMATX) has a higher volatility of 1.99% compared to Vanguard Short-Term Tax-Exempt Fund Admiral Shares (VWSUX) at 0.44%. This indicates that VMATX's price experiences larger fluctuations and is considered to be riskier than VWSUX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.99%
0.44%
VMATX
VWSUX