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FFNAX vs. JMSIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FFNAXJMSIX
YTD Return6.86%6.74%
1Y Return16.80%11.77%
3Y Return (Ann)0.83%1.49%
5Y Return (Ann)5.00%2.37%
Sharpe Ratio2.793.74
Sortino Ratio4.206.70
Omega Ratio1.541.99
Calmar Ratio1.361.78
Martin Ratio18.5527.66
Ulcer Index0.96%0.43%
Daily Std Dev6.36%3.16%
Max Drawdown-31.87%-18.41%
Current Drawdown-2.20%-1.05%

Correlation

-0.50.00.51.00.4

The correlation between FFNAX and JMSIX is 0.44, 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

FFNAX vs. JMSIX - Performance Comparison

The year-to-date returns for both stocks are quite close, with FFNAX having a 6.86% return and JMSIX slightly lower at 6.74%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctober
5.60%
4.52%
FFNAX
JMSIX

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FFNAX vs. JMSIX - Expense Ratio Comparison

FFNAX has a 0.83% expense ratio, which is higher than JMSIX's 0.40% expense ratio.


FFNAX
Fidelity Advisor Asset Manager 40% Fund Class A
Expense ratio chart for FFNAX: current value at 0.83% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.83%
Expense ratio chart for JMSIX: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

FFNAX vs. JMSIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Advisor Asset Manager 40% Fund Class A (FFNAX) and JPMorgan Income Fund (JMSIX). 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.


FFNAX
Sharpe ratio
The chart of Sharpe ratio for FFNAX, currently valued at 2.66, compared to the broader market0.002.004.002.66
Sortino ratio
The chart of Sortino ratio for FFNAX, currently valued at 4.00, compared to the broader market0.005.0010.004.00
Omega ratio
The chart of Omega ratio for FFNAX, currently valued at 1.51, compared to the broader market1.002.003.004.001.51
Calmar ratio
The chart of Calmar ratio for FFNAX, currently valued at 1.38, compared to the broader market0.005.0010.0015.0020.001.38
Martin ratio
The chart of Martin ratio for FFNAX, currently valued at 17.58, compared to the broader market0.0020.0040.0060.0080.0017.58
JMSIX
Sharpe ratio
The chart of Sharpe ratio for JMSIX, currently valued at 3.74, compared to the broader market0.002.004.003.74
Sortino ratio
The chart of Sortino ratio for JMSIX, currently valued at 6.70, compared to the broader market0.005.0010.006.70
Omega ratio
The chart of Omega ratio for JMSIX, currently valued at 1.99, compared to the broader market1.002.003.004.001.99
Calmar ratio
The chart of Calmar ratio for JMSIX, currently valued at 1.78, compared to the broader market0.005.0010.0015.0020.001.78
Martin ratio
The chart of Martin ratio for JMSIX, currently valued at 27.66, compared to the broader market0.0020.0040.0060.0080.0027.66

FFNAX vs. JMSIX - Sharpe Ratio Comparison

The current FFNAX Sharpe Ratio is 2.79, which is comparable to the JMSIX Sharpe Ratio of 3.74. The chart below compares the historical Sharpe Ratios of FFNAX and JMSIX, 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 Ratio1.001.502.002.503.003.504.004.50JuneJulyAugustSeptemberOctober
2.66
3.74
FFNAX
JMSIX

Dividends

FFNAX vs. JMSIX - Dividend Comparison

FFNAX's dividend yield for the trailing twelve months is around 2.32%, less than JMSIX's 5.12% yield.


TTM20232022202120202019201820172016201520142013
FFNAX
Fidelity Advisor Asset Manager 40% Fund Class A
2.32%2.20%5.40%2.06%2.08%3.37%4.21%2.72%1.55%1.63%4.51%3.99%
JMSIX
JPMorgan Income Fund
5.12%5.30%4.77%3.99%4.94%5.10%5.43%5.41%5.47%5.72%0.92%0.00%

Drawdowns

FFNAX vs. JMSIX - Drawdown Comparison

The maximum FFNAX drawdown since its inception was -31.87%, which is greater than JMSIX's maximum drawdown of -18.41%. Use the drawdown chart below to compare losses from any high point for FFNAX and JMSIX. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctober
-2.20%
-1.05%
FFNAX
JMSIX

Volatility

FFNAX vs. JMSIX - Volatility Comparison

Fidelity Advisor Asset Manager 40% Fund Class A (FFNAX) has a higher volatility of 1.26% compared to JPMorgan Income Fund (JMSIX) at 0.43%. This indicates that FFNAX's price experiences larger fluctuations and is considered to be riskier than JMSIX 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%JuneJulyAugustSeptemberOctober
1.26%
0.43%
FFNAX
JMSIX