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

Key characteristics


VNJTXBND
YTD Return1.97%2.40%
1Y Return9.29%8.91%
3Y Return (Ann)-0.41%-2.38%
5Y Return (Ann)1.43%0.01%
10Y Return (Ann)2.67%1.50%
Sharpe Ratio2.371.38
Sortino Ratio3.572.03
Omega Ratio1.531.24
Calmar Ratio0.900.51
Martin Ratio9.644.99
Ulcer Index0.96%1.62%
Daily Std Dev3.91%5.85%
Max Drawdown-16.22%-18.84%
Current Drawdown-1.96%-8.44%

Correlation

-0.50.00.51.00.5

The correlation between VNJTX and BND is 0.46, 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

VNJTX vs. BND - Performance Comparison

In the year-to-date period, VNJTX achieves a 1.97% return, which is significantly lower than BND's 2.40% return. Over the past 10 years, VNJTX has outperformed BND with an annualized return of 2.67%, while BND has yielded a comparatively lower 1.50% 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%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
2.52%
4.29%
VNJTX
BND

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VNJTX vs. BND - Expense Ratio Comparison

VNJTX has a 0.17% expense ratio, which is higher than BND's 0.03% 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%.


VNJTX
Vanguard New Jersey Long-Term Tax-Exempt Fund Investor Shares
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%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

VNJTX vs. BND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard New Jersey Long-Term Tax-Exempt Fund Investor Shares (VNJTX) and Vanguard Total Bond Market ETF (BND). 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.


VNJTX
Sharpe ratio
The chart of Sharpe ratio for VNJTX, currently valued at 2.37, compared to the broader market0.002.004.002.37
Sortino ratio
The chart of Sortino ratio for VNJTX, currently valued at 3.57, compared to the broader market0.005.0010.003.57
Omega ratio
The chart of Omega ratio for VNJTX, currently valued at 1.53, compared to the broader market1.002.003.004.001.53
Calmar ratio
The chart of Calmar ratio for VNJTX, currently valued at 0.90, compared to the broader market0.005.0010.0015.0020.000.90
Martin ratio
The chart of Martin ratio for VNJTX, currently valued at 9.64, compared to the broader market0.0020.0040.0060.0080.00100.009.64
BND
Sharpe ratio
The chart of Sharpe ratio for BND, currently valued at 1.38, compared to the broader market0.002.004.001.38
Sortino ratio
The chart of Sortino ratio for BND, currently valued at 2.03, compared to the broader market0.005.0010.002.03
Omega ratio
The chart of Omega ratio for BND, currently valued at 1.24, compared to the broader market1.002.003.004.001.24
Calmar ratio
The chart of Calmar ratio for BND, currently valued at 0.51, compared to the broader market0.005.0010.0015.0020.000.51
Martin ratio
The chart of Martin ratio for BND, currently valued at 4.99, compared to the broader market0.0020.0040.0060.0080.00100.004.99

VNJTX vs. BND - Sharpe Ratio Comparison

The current VNJTX Sharpe Ratio is 2.37, which is higher than the BND Sharpe Ratio of 1.38. The chart below compares the historical Sharpe Ratios of VNJTX and BND, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.37
1.38
VNJTX
BND

Dividends

VNJTX vs. BND - Dividend Comparison

VNJTX's dividend yield for the trailing twelve months is around 3.37%, less than BND's 3.55% yield.


TTM20232022202120202019201820172016201520142013
VNJTX
Vanguard New Jersey Long-Term Tax-Exempt Fund Investor Shares
3.37%3.26%3.14%2.69%2.94%3.23%3.54%3.50%3.68%3.53%3.52%3.76%
BND
Vanguard Total Bond Market ETF
3.55%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

VNJTX vs. BND - Drawdown Comparison

The maximum VNJTX drawdown since its inception was -16.22%, smaller than the maximum BND drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for VNJTX and BND. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.96%
-8.44%
VNJTX
BND

Volatility

VNJTX vs. BND - Volatility Comparison

Vanguard New Jersey Long-Term Tax-Exempt Fund Investor Shares (VNJTX) has a higher volatility of 1.93% compared to Vanguard Total Bond Market ETF (BND) at 1.67%. This indicates that VNJTX's price experiences larger fluctuations and is considered to be riskier than BND 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
1.93%
1.67%
VNJTX
BND