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FNJHX vs. ITOT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FNJHXITOT
YTD Return0.96%25.74%
1Y Return7.14%38.78%
3Y Return (Ann)-0.37%8.44%
5Y Return (Ann)1.21%15.24%
10Y Return (Ann)2.36%12.94%
Sharpe Ratio2.133.04
Sortino Ratio3.284.07
Omega Ratio1.501.57
Calmar Ratio0.894.16
Martin Ratio7.8019.89
Ulcer Index0.92%1.95%
Daily Std Dev3.36%12.73%
Max Drawdown-14.65%-55.21%
Current Drawdown-2.21%0.00%

Correlation

-0.50.00.51.0-0.1

The correlation between FNJHX and ITOT is -0.12. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

FNJHX vs. ITOT - Performance Comparison

In the year-to-date period, FNJHX achieves a 0.96% return, which is significantly lower than ITOT's 25.74% return. Over the past 10 years, FNJHX has underperformed ITOT with an annualized return of 2.36%, while ITOT has yielded a comparatively higher 12.94% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
1.24%
15.36%
FNJHX
ITOT

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FNJHX vs. ITOT - Expense Ratio Comparison

FNJHX has a 0.47% expense ratio, which is higher than ITOT's 0.03% expense ratio.


FNJHX
Fidelity New Jersey Municipal Income Fund
Expense ratio chart for FNJHX: current value at 0.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.47%
Expense ratio chart for ITOT: 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

FNJHX vs. ITOT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity New Jersey Municipal Income Fund (FNJHX) and iShares Core S&P Total U.S. Stock Market ETF (ITOT). 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.


FNJHX
Sharpe ratio
The chart of Sharpe ratio for FNJHX, currently valued at 2.13, compared to the broader market0.002.004.002.13
Sortino ratio
The chart of Sortino ratio for FNJHX, currently valued at 3.28, compared to the broader market0.005.0010.003.28
Omega ratio
The chart of Omega ratio for FNJHX, currently valued at 1.50, compared to the broader market1.002.003.004.001.50
Calmar ratio
The chart of Calmar ratio for FNJHX, currently valued at 0.89, compared to the broader market0.005.0010.0015.0020.0025.000.89
Martin ratio
The chart of Martin ratio for FNJHX, currently valued at 7.80, compared to the broader market0.0020.0040.0060.0080.00100.007.80
ITOT
Sharpe ratio
The chart of Sharpe ratio for ITOT, currently valued at 3.01, compared to the broader market0.002.004.003.01
Sortino ratio
The chart of Sortino ratio for ITOT, currently valued at 4.02, compared to the broader market0.005.0010.004.02
Omega ratio
The chart of Omega ratio for ITOT, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
Calmar ratio
The chart of Calmar ratio for ITOT, currently valued at 4.47, compared to the broader market0.005.0010.0015.0020.0025.004.47
Martin ratio
The chart of Martin ratio for ITOT, currently valued at 19.50, compared to the broader market0.0020.0040.0060.0080.00100.0019.50

FNJHX vs. ITOT - Sharpe Ratio Comparison

The current FNJHX Sharpe Ratio is 2.13, which is lower than the ITOT Sharpe Ratio of 3.04. The chart below compares the historical Sharpe Ratios of FNJHX and ITOT, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.13
3.01
FNJHX
ITOT

Dividends

FNJHX vs. ITOT - Dividend Comparison

FNJHX's dividend yield for the trailing twelve months is around 2.92%, more than ITOT's 1.21% yield.


TTM20232022202120202019201820172016201520142013
FNJHX
Fidelity New Jersey Municipal Income Fund
2.92%2.67%2.38%1.95%2.36%2.70%2.93%2.93%3.11%3.33%3.27%4.02%
ITOT
iShares Core S&P Total U.S. Stock Market ETF
1.21%1.47%1.66%1.18%1.41%1.88%2.14%1.69%1.83%2.01%2.20%2.06%

Drawdowns

FNJHX vs. ITOT - Drawdown Comparison

The maximum FNJHX drawdown since its inception was -14.65%, smaller than the maximum ITOT drawdown of -55.21%. Use the drawdown chart below to compare losses from any high point for FNJHX and ITOT. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.21%
0
FNJHX
ITOT

Volatility

FNJHX vs. ITOT - Volatility Comparison

The current volatility for Fidelity New Jersey Municipal Income Fund (FNJHX) is 1.42%, while iShares Core S&P Total U.S. Stock Market ETF (ITOT) has a volatility of 4.07%. This indicates that FNJHX experiences smaller price fluctuations and is considered to be less risky than ITOT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
1.42%
4.07%
FNJHX
ITOT