PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VNJUX vs. GOVT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VNJUX vs. GOVT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard New Jersey Long-Term Tax-Exempt Fund Admiral Shares (VNJUX) and iShares U.S. Treasury Bond ETF (GOVT). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.58%
3.81%
VNJUX
GOVT

Returns By Period

In the year-to-date period, VNJUX achieves a 2.86% return, which is significantly higher than GOVT's 1.62% return. Over the past 10 years, VNJUX has outperformed GOVT with an annualized return of 2.79%, while GOVT has yielded a comparatively lower 0.84% annualized return.


VNJUX

YTD

2.86%

1M

1.35%

6M

4.58%

1Y

7.75%

5Y (annualized)

1.52%

10Y (annualized)

2.79%

GOVT

YTD

1.62%

1M

0.06%

6M

3.81%

1Y

5.37%

5Y (annualized)

-0.67%

10Y (annualized)

0.84%

Key characteristics


VNJUXGOVT
Sharpe Ratio2.020.98
Sortino Ratio3.001.44
Omega Ratio1.441.17
Calmar Ratio1.000.34
Martin Ratio7.762.84
Ulcer Index1.00%1.89%
Daily Std Dev3.82%5.50%
Max Drawdown-16.13%-19.07%
Current Drawdown-0.93%-11.60%

Compare stocks, funds, or ETFs

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


VNJUX vs. GOVT - Expense Ratio Comparison

VNJUX has a 0.09% expense ratio, which is lower than GOVT's 0.15% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


GOVT
iShares U.S. Treasury Bond ETF
Expense ratio chart for GOVT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VNJUX: 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%

Correlation

The correlation between VNJUX and GOVT is 0.47, 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.


-0.50.00.51.00.5

Risk-Adjusted Performance

VNJUX vs. GOVT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard New Jersey Long-Term Tax-Exempt Fund Admiral Shares (VNJUX) and iShares U.S. Treasury Bond ETF (GOVT). 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 VNJUX, currently valued at 2.02, compared to the broader market-1.000.001.002.003.004.005.002.020.98
The chart of Sortino ratio for VNJUX, currently valued at 3.00, compared to the broader market0.005.0010.003.001.44
The chart of Omega ratio for VNJUX, currently valued at 1.44, compared to the broader market1.002.003.004.001.441.17
The chart of Calmar ratio for VNJUX, currently valued at 1.00, compared to the broader market0.005.0010.0015.0020.001.000.34
The chart of Martin ratio for VNJUX, currently valued at 7.76, compared to the broader market0.0020.0040.0060.0080.007.762.84
VNJUX
GOVT

The current VNJUX Sharpe Ratio is 2.02, which is higher than the GOVT Sharpe Ratio of 0.98. The chart below compares the historical Sharpe Ratios of VNJUX and GOVT, 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
2.02
0.98
VNJUX
GOVT

Dividends

VNJUX vs. GOVT - Dividend Comparison

VNJUX's dividend yield for the trailing twelve months is around 3.42%, more than GOVT's 3.11% yield.


TTM20232022202120202019201820172016201520142013
VNJUX
Vanguard New Jersey Long-Term Tax-Exempt Fund Admiral Shares
3.42%3.31%3.22%2.77%3.01%3.33%3.60%3.60%3.79%3.61%3.61%3.84%
GOVT
iShares U.S. Treasury Bond ETF
3.11%2.66%1.76%0.96%2.17%1.98%1.97%1.57%1.40%1.25%1.17%0.94%

Drawdowns

VNJUX vs. GOVT - Drawdown Comparison

The maximum VNJUX drawdown since its inception was -16.13%, smaller than the maximum GOVT drawdown of -19.07%. Use the drawdown chart below to compare losses from any high point for VNJUX and GOVT. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.93%
-11.60%
VNJUX
GOVT

Volatility

VNJUX vs. GOVT - Volatility Comparison

Vanguard New Jersey Long-Term Tax-Exempt Fund Admiral Shares (VNJUX) and iShares U.S. Treasury Bond ETF (GOVT) have volatilities of 1.64% and 1.65%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.64%
1.65%
VNJUX
GOVT
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab