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FDMMX vs. AGG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FDMMXAGG
YTD Return1.67%1.70%
1Y Return7.60%7.76%
3Y Return (Ann)-0.76%-2.48%
5Y Return (Ann)0.72%-0.09%
10Y Return (Ann)1.77%1.44%
Sharpe Ratio2.351.40
Sortino Ratio3.662.04
Omega Ratio1.561.25
Calmar Ratio0.740.53
Martin Ratio8.695.14
Ulcer Index0.82%1.62%
Daily Std Dev3.03%5.96%
Max Drawdown-15.43%-18.43%
Current Drawdown-3.18%-8.58%

Correlation

-0.50.00.51.00.5

The correlation between FDMMX and AGG is 0.49, 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

FDMMX vs. AGG - Performance Comparison

The year-to-date returns for both investments are quite close, with FDMMX having a 1.67% return and AGG slightly higher at 1.70%. Over the past 10 years, FDMMX has outperformed AGG with an annualized return of 1.77%, while AGG has yielded a comparatively lower 1.44% 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
1.71%
3.61%
FDMMX
AGG

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FDMMX vs. AGG - Expense Ratio Comparison

FDMMX has a 0.45% expense ratio, which is higher than AGG's 0.05% expense ratio.


FDMMX
Fidelity Massachusetts Municipal Income Fund
Expense ratio chart for FDMMX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for AGG: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

FDMMX vs. AGG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Massachusetts Municipal Income Fund (FDMMX) and iShares Core U.S. Aggregate Bond ETF (AGG). 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.


FDMMX
Sharpe ratio
The chart of Sharpe ratio for FDMMX, currently valued at 2.35, compared to the broader market0.002.004.002.35
Sortino ratio
The chart of Sortino ratio for FDMMX, currently valued at 3.66, compared to the broader market0.005.0010.003.66
Omega ratio
The chart of Omega ratio for FDMMX, currently valued at 1.56, compared to the broader market1.002.003.004.001.56
Calmar ratio
The chart of Calmar ratio for FDMMX, currently valued at 0.74, compared to the broader market0.005.0010.0015.0020.000.74
Martin ratio
The chart of Martin ratio for FDMMX, currently valued at 8.64, compared to the broader market0.0020.0040.0060.0080.00100.008.64
AGG
Sharpe ratio
The chart of Sharpe ratio for AGG, currently valued at 1.37, compared to the broader market0.002.004.001.37
Sortino ratio
The chart of Sortino ratio for AGG, currently valued at 2.02, compared to the broader market0.005.0010.002.02
Omega ratio
The chart of Omega ratio for AGG, currently valued at 1.24, compared to the broader market1.002.003.004.001.24
Calmar ratio
The chart of Calmar ratio for AGG, currently valued at 0.52, compared to the broader market0.005.0010.0015.0020.000.52
Martin ratio
The chart of Martin ratio for AGG, currently valued at 4.95, compared to the broader market0.0020.0040.0060.0080.00100.004.95

FDMMX vs. AGG - Sharpe Ratio Comparison

The current FDMMX Sharpe Ratio is 2.35, which is higher than the AGG Sharpe Ratio of 1.40. The chart below compares the historical Sharpe Ratios of FDMMX and AGG, 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
2.35
1.37
FDMMX
AGG

Dividends

FDMMX vs. AGG - Dividend Comparison

FDMMX's dividend yield for the trailing twelve months is around 2.65%, less than AGG's 3.96% yield.


TTM20232022202120202019201820172016201520142013
FDMMX
Fidelity Massachusetts Municipal Income Fund
2.65%2.42%2.16%1.99%2.25%2.56%2.76%2.77%3.01%3.46%3.43%3.97%
AGG
iShares Core U.S. Aggregate Bond ETF
3.96%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%

Drawdowns

FDMMX vs. AGG - Drawdown Comparison

The maximum FDMMX drawdown since its inception was -15.43%, smaller than the maximum AGG drawdown of -18.43%. Use the drawdown chart below to compare losses from any high point for FDMMX and AGG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-3.18%
-8.58%
FDMMX
AGG

Volatility

FDMMX vs. AGG - Volatility Comparison

The current volatility for Fidelity Massachusetts Municipal Income Fund (FDMMX) is 1.09%, while iShares Core U.S. Aggregate Bond ETF (AGG) has a volatility of 1.45%. This indicates that FDMMX experiences smaller price fluctuations and is considered to be less risky than AGG 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
1.09%
1.45%
FDMMX
AGG