BJ vs. VUG

Last updated Jun 5, 2026

BJ (BJ's Wholesale Club Holdings, Inc.) is a stock, while VUG (Vanguard Growth ETF) is Large Cap Growth Equities fund tracking the CRSP US Large Cap Growth Index. Over the past 5 years, BJ returned 13.59%/yr vs 15.17%/yr for VUG. At a 0.21 correlation, their price movements are largely independent.

Performance

BJ vs. VUG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BJ's Wholesale Club Holdings, Inc. (BJ) and Vanguard Growth ETF (VUG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, BJ achieves a -1.81% return, which is significantly lower than VUG's 9.78% return.

BJ

• 1D: -0.87%
• 1M: -6.28%
• YTD: -1.81%
• 6M: -2.85%
• 1Y: -20.56%
• 3Y*: 12.22%
• 5Y*: 13.59%
• 10Y*: —

VUG

• 1D: 0.26%
• 1M: 5.75%
• YTD: 9.78%
• 6M: 8.99%
• 1Y: 27.72%
• 3Y*: 26.10%
• 5Y*: 15.17%
• 10Y*: 18.25%

*Multi-year figures are annualized to reflect compound growth (CAGR)

BJ vs. VUG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
BJ BJ's Wholesale Club Holdings, Inc.	-1.81%	0.76%	34.04%	0.76%	-1.21%	79.64%	63.94%	2.62%	0.73%
VUG Vanguard Growth ETF	9.78%	19.40%	32.69%	46.83%	-33.16%	27.35%	40.25%	37.03%	-9.58%

Correlation

The correlation between BJ and VUG is -0.14, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.14
Correlation (3Y) Calculated over the trailing 3-year period	0.02
Correlation (5Y) Calculated over the trailing 5-year period	0.15
Correlation (All Time) Calculated using the full available price history since Jun 29, 2018	0.21

The correlation between BJ and VUG shifts across timeframes, from -0.14 (1 year) to 0.21 (all time), reflecting how their relationship changes across market environments.

Return for Risk

BJ vs. VUG — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

BJ

BJ Risk / Return Rank: 13
BJ Sharpe Ratio Rank: 12
BJ Sortino Ratio Rank: 14
BJ Omega Ratio Rank: 15
BJ Calmar Ratio Rank: 12
BJ Martin Ratio Rank: 13

VUG

VUG Risk / Return Rank: 45
VUG Sharpe Ratio Rank: 52
VUG Sortino Ratio Rank: 50
VUG Omega Ratio Rank: 50
VUG Calmar Ratio Rank: 35
VUG Martin Ratio Rank: 39

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

BJ vs. VUG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BJ's Wholesale Club Holdings, Inc. (BJ) and Vanguard Growth ETF (VUG). 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.

	BJ	VUG	Difference
Sharpe ratio: Return per unit of total volatility	-0.70	1.76	-2.46
Sortino ratio: Return per unit of downside risk	-0.84	2.39	-3.23
Omega ratio: Gain probability vs. loss probability	0.90	1.31	-0.41
Calmar ratio: Return relative to maximum drawdown	-0.77	1.68	-2.46
Martin ratio: Return relative to average drawdown	-1.25	5.90	-7.15
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

BJ vs. VUG - Sharpe Ratio Comparison

The current BJ Sharpe Ratio is -0.70, which is lower than the VUG Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of BJ and VUG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	BJ	VUG	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.70	1.76	-2.46
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.42	0.69	-0.26
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.85	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.52	0.62	-0.10

Drawdowns

BJ vs. VUG - Drawdown Comparison

The maximum BJ drawdown since its inception was -38.76%, smaller than the maximum VUG drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for BJ and VUG.

Drawdown Indicators

	BJ	VUG	Difference
Max Drawdown Largest peak-to-trough decline	-38.76%	-50.68%	+11.92%
Max Drawdown (1Y) Largest decline over 1 year	-26.66%	-16.53%	-10.13%
Max Drawdown (3Y) Largest decline over 3 years	-29.80%	-22.85%	-6.95%
Max Drawdown (5Y) Largest decline over 5 years	-29.80%	-35.61%	+5.81%
Max Drawdown (10Y) Largest decline over 10 years	—	-35.61%	—
Current Drawdown Current decline from peak	-26.30%	-1.25%	-25.05%
Average Drawdown Average peak-to-trough decline	-12.46%	-7.09%	-5.37%
Ulcer Index Depth and duration of drawdowns from previous peaks	16.44%	4.71%	+11.73%

Volatility

BJ vs. VUG - Volatility Comparison

BJ's Wholesale Club Holdings, Inc. (BJ) has a higher volatility of 11.59% compared to Vanguard Growth ETF (VUG) at 3.81%. This indicates that BJ's price experiences larger fluctuations and is considered to be riskier than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BJ	VUG	Difference
Volatility (1M) Calculated over the trailing 1-month period	11.59%	3.81%	+7.78%
Volatility (6M) Calculated over the trailing 6-month period	22.28%	12.11%	+10.17%
Volatility (1Y) Calculated over the trailing 1-year period	29.50%	15.83%	+13.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	32.25%	22.21%	+10.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	37.15%	21.44%	+15.71%

Dividends

BJ vs. VUG - Dividend Comparison

BJ has not paid dividends to shareholders, while VUG's dividend yield for the trailing twelve months is around 0.37%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BJ BJ's Wholesale Club Holdings, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VUG Vanguard Growth ETF	0.37%	0.41%	0.47%	0.58%	0.70%	0.48%	0.66%	0.95%	1.32%	1.14%	1.39%	1.30%

Frequently Asked Questions

Can I hold both BJ and VUG in my portfolio?

BJ and VUG have a correlation of -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BJ or VUG?

BJ has higher volatility (11.59%) compared to VUG (3.81%). In terms of maximum drawdown, BJ dropped -38.76% vs VUG's -50.68%.

Which has better risk-adjusted returns?

VUG currently has the higher Sharpe Ratio (1.76 vs -0.70), 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.