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NJR vs. VPU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NJR and VPU is 0.66, 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.


-0.50.00.51.00.7

Performance

NJR vs. VPU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in New Jersey Resources Corporation (NJR) and Vanguard Utilities ETF (VPU). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
11.43%
7.92%
NJR
VPU

Key characteristics

Sharpe Ratio

NJR:

0.40

VPU:

1.32

Sortino Ratio

NJR:

0.68

VPU:

1.83

Omega Ratio

NJR:

1.08

VPU:

1.23

Calmar Ratio

NJR:

0.28

VPU:

1.04

Martin Ratio

NJR:

1.58

VPU:

6.24

Ulcer Index

NJR:

4.78%

VPU:

3.25%

Daily Std Dev

NJR:

18.82%

VPU:

15.43%

Max Drawdown

NJR:

-50.72%

VPU:

-46.31%

Current Drawdown

NJR:

-11.37%

VPU:

-10.38%

Returns By Period

In the year-to-date period, NJR achieves a 7.28% return, which is significantly lower than VPU's 19.93% return. Both investments have delivered pretty close results over the past 10 years, with NJR having a 8.02% annualized return and VPU not far ahead at 8.05%.


NJR

YTD

7.28%

1M

-4.68%

6M

11.43%

1Y

8.82%

5Y*

4.00%

10Y*

8.02%

VPU

YTD

19.93%

1M

-6.99%

6M

8.82%

1Y

19.55%

5Y*

5.50%

10Y*

8.05%

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Risk-Adjusted Performance

NJR vs. VPU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for New Jersey Resources Corporation (NJR) and Vanguard Utilities ETF (VPU). 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.


Sharpe ratio
The chart of Sharpe ratio for NJR, currently valued at 0.40, compared to the broader market-4.00-2.000.002.000.401.27
The chart of Sortino ratio for NJR, currently valued at 0.68, compared to the broader market-4.00-2.000.002.004.000.681.77
The chart of Omega ratio for NJR, currently valued at 1.08, compared to the broader market0.501.001.502.001.081.22
The chart of Calmar ratio for NJR, currently valued at 0.28, compared to the broader market0.002.004.006.000.281.00
The chart of Martin ratio for NJR, currently valued at 1.58, compared to the broader market0.0010.0020.001.585.90
NJR
VPU

The current NJR Sharpe Ratio is 0.40, which is lower than the VPU Sharpe Ratio of 1.32. The chart below compares the historical Sharpe Ratios of NJR and VPU, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.40
1.27
NJR
VPU

Dividends

NJR vs. VPU - Dividend Comparison

NJR's dividend yield for the trailing twelve months is around 3.78%, more than VPU's 2.28% yield.


TTM20232022202120202019201820172016201520142013
NJR
New Jersey Resources Corporation
3.78%3.63%3.04%3.39%3.63%2.72%2.48%2.63%2.79%2.82%2.84%3.55%
VPU
Vanguard Utilities ETF
2.28%3.49%2.98%2.70%3.17%2.83%3.23%3.18%3.19%3.63%3.02%3.76%

Drawdowns

NJR vs. VPU - Drawdown Comparison

The maximum NJR drawdown since its inception was -50.72%, which is greater than VPU's maximum drawdown of -46.31%. Use the drawdown chart below to compare losses from any high point for NJR and VPU. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.37%
-10.38%
NJR
VPU

Volatility

NJR vs. VPU - Volatility Comparison

New Jersey Resources Corporation (NJR) has a higher volatility of 7.04% compared to Vanguard Utilities ETF (VPU) at 4.78%. This indicates that NJR's price experiences larger fluctuations and is considered to be riskier than VPU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
7.04%
4.78%
NJR
VPU
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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