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PZA vs. VNJTX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PZA and VNJTX is 0.60, 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.


-0.50.00.51.00.6

Performance

PZA vs. VNJTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco National AMT-Free Municipal Bond ETF (PZA) and Vanguard New Jersey Long-Term Tax-Exempt Fund Investor Shares (VNJTX). The values are adjusted to include any dividend payments, if applicable.

-1.00%0.00%1.00%2.00%3.00%JulyAugustSeptemberOctoberNovemberDecember
0.41%
0.97%
PZA
VNJTX

Key characteristics

Sharpe Ratio

PZA:

0.11

VNJTX:

0.43

Sortino Ratio

PZA:

0.18

VNJTX:

0.61

Omega Ratio

PZA:

1.02

VNJTX:

1.09

Calmar Ratio

PZA:

0.07

VNJTX:

0.28

Martin Ratio

PZA:

0.45

VNJTX:

1.53

Ulcer Index

PZA:

1.30%

VNJTX:

1.06%

Daily Std Dev

PZA:

5.38%

VNJTX:

3.74%

Max Drawdown

PZA:

-24.49%

VNJTX:

-16.22%

Current Drawdown

PZA:

-5.61%

VNJTX:

-2.73%

Returns By Period

In the year-to-date period, PZA achieves a 0.37% return, which is significantly lower than VNJTX's 1.16% return. Over the past 10 years, PZA has underperformed VNJTX with an annualized return of 2.23%, while VNJTX has yielded a comparatively higher 2.58% annualized return.


PZA

YTD

0.37%

1M

-1.26%

6M

0.37%

1Y

0.75%

5Y*

0.38%

10Y*

2.23%

VNJTX

YTD

1.16%

1M

-1.14%

6M

0.98%

1Y

1.62%

5Y*

1.07%

10Y*

2.58%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PZA vs. VNJTX - Expense Ratio Comparison

PZA has a 0.28% expense ratio, which is higher than VNJTX's 0.17% expense ratio.


PZA
Invesco National AMT-Free Municipal Bond ETF
Expense ratio chart for PZA: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%
Expense ratio chart for VNJTX: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%

Risk-Adjusted Performance

PZA vs. VNJTX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco National AMT-Free Municipal Bond ETF (PZA) and Vanguard New Jersey Long-Term Tax-Exempt Fund Investor Shares (VNJTX). 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 PZA, currently valued at 0.11, compared to the broader market0.002.004.000.110.43
The chart of Sortino ratio for PZA, currently valued at 0.18, compared to the broader market-2.000.002.004.006.008.0010.000.180.61
The chart of Omega ratio for PZA, currently valued at 1.02, compared to the broader market0.501.001.502.002.503.001.021.09
The chart of Calmar ratio for PZA, currently valued at 0.07, compared to the broader market0.005.0010.0015.000.070.28
The chart of Martin ratio for PZA, currently valued at 0.45, compared to the broader market0.0020.0040.0060.0080.00100.000.451.53
PZA
VNJTX

The current PZA Sharpe Ratio is 0.11, which is lower than the VNJTX Sharpe Ratio of 0.43. The chart below compares the historical Sharpe Ratios of PZA and VNJTX, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.11
0.43
PZA
VNJTX

Dividends

PZA vs. VNJTX - Dividend Comparison

PZA's dividend yield for the trailing twelve months is around 2.96%, less than VNJTX's 3.12% yield.


TTM20232022202120202019201820172016201520142013
PZA
Invesco National AMT-Free Municipal Bond ETF
2.96%2.92%2.69%2.34%2.43%2.80%3.18%3.04%3.23%3.60%3.96%4.26%
VNJTX
Vanguard New Jersey Long-Term Tax-Exempt Fund Investor Shares
3.12%3.26%3.14%2.69%2.94%3.23%3.54%3.50%3.68%3.53%3.52%3.76%

Drawdowns

PZA vs. VNJTX - Drawdown Comparison

The maximum PZA drawdown since its inception was -24.49%, which is greater than VNJTX's maximum drawdown of -16.22%. Use the drawdown chart below to compare losses from any high point for PZA and VNJTX. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.61%
-2.73%
PZA
VNJTX

Volatility

PZA vs. VNJTX - Volatility Comparison

Invesco National AMT-Free Municipal Bond ETF (PZA) has a higher volatility of 1.69% compared to Vanguard New Jersey Long-Term Tax-Exempt Fund Investor Shares (VNJTX) at 1.35%. This indicates that PZA's price experiences larger fluctuations and is considered to be riskier than VNJTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%2.50%3.00%JulyAugustSeptemberOctoberNovemberDecember
1.69%
1.35%
PZA
VNJTX
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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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