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JITIX vs. PZA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JITIXPZA
YTD Return1.90%0.79%
1Y Return9.58%12.70%
3Y Return (Ann)-0.22%-1.19%
5Y Return (Ann)0.88%0.57%
10Y Return (Ann)1.62%2.38%
Sharpe Ratio3.402.29
Sortino Ratio5.673.61
Omega Ratio1.891.43
Calmar Ratio0.900.80
Martin Ratio17.1310.89
Ulcer Index0.56%1.16%
Daily Std Dev2.82%5.52%
Max Drawdown-12.29%-24.49%
Current Drawdown-2.02%-5.23%

Correlation

-0.50.00.51.00.6

The correlation between JITIX and PZA is 0.59, 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

JITIX vs. PZA - Performance Comparison

In the year-to-date period, JITIX achieves a 1.90% return, which is significantly higher than PZA's 0.79% return. Over the past 10 years, JITIX has underperformed PZA with an annualized return of 1.62%, while PZA has yielded a comparatively higher 2.38% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-1.00%0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctober
2.37%
2.55%
JITIX
PZA

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JITIX vs. PZA - Expense Ratio Comparison

JITIX has a 0.40% expense ratio, which is higher than PZA's 0.28% expense ratio.


JITIX
JPMorgan Intermediate Tax Free Bond Fund
Expense ratio chart for JITIX: 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%
Expense ratio chart for PZA: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%

Risk-Adjusted Performance

JITIX vs. PZA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Intermediate Tax Free Bond Fund (JITIX) and Invesco National AMT-Free Municipal Bond ETF (PZA). 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.


JITIX
Sharpe ratio
The chart of Sharpe ratio for JITIX, currently valued at 3.40, compared to the broader market-2.000.002.004.003.40
Sortino ratio
The chart of Sortino ratio for JITIX, currently valued at 5.67, compared to the broader market0.005.0010.005.67
Omega ratio
The chart of Omega ratio for JITIX, currently valued at 1.89, compared to the broader market1.002.003.004.001.89
Calmar ratio
The chart of Calmar ratio for JITIX, currently valued at 0.90, compared to the broader market0.005.0010.0015.0020.000.90
Martin ratio
The chart of Martin ratio for JITIX, currently valued at 17.13, compared to the broader market0.0020.0040.0060.0080.0017.13
PZA
Sharpe ratio
The chart of Sharpe ratio for PZA, currently valued at 2.29, compared to the broader market-2.000.002.004.002.29
Sortino ratio
The chart of Sortino ratio for PZA, currently valued at 3.61, compared to the broader market0.005.0010.003.61
Omega ratio
The chart of Omega ratio for PZA, currently valued at 1.43, compared to the broader market1.002.003.004.001.43
Calmar ratio
The chart of Calmar ratio for PZA, currently valued at 0.80, compared to the broader market0.005.0010.0015.0020.000.80
Martin ratio
The chart of Martin ratio for PZA, currently valued at 10.89, compared to the broader market0.0020.0040.0060.0080.0010.89

JITIX vs. PZA - Sharpe Ratio Comparison

The current JITIX Sharpe Ratio is 3.40, which is higher than the PZA Sharpe Ratio of 2.29. The chart below compares the historical Sharpe Ratios of JITIX and PZA, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctober
3.40
2.29
JITIX
PZA

Dividends

JITIX vs. PZA - Dividend Comparison

JITIX's dividend yield for the trailing twelve months is around 3.68%, more than PZA's 3.21% yield.


TTM20232022202120202019201820172016201520142013
JITIX
JPMorgan Intermediate Tax Free Bond Fund
3.68%3.26%2.90%3.15%2.16%1.24%2.56%2.50%2.82%3.05%3.03%3.04%
PZA
Invesco National AMT-Free Municipal Bond ETF
3.21%2.91%2.68%2.34%2.44%2.81%3.19%3.04%3.23%3.59%3.96%4.27%

Drawdowns

JITIX vs. PZA - Drawdown Comparison

The maximum JITIX drawdown since its inception was -12.29%, smaller than the maximum PZA drawdown of -24.49%. Use the drawdown chart below to compare losses from any high point for JITIX and PZA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctober
-2.02%
-5.23%
JITIX
PZA

Volatility

JITIX vs. PZA - Volatility Comparison

The current volatility for JPMorgan Intermediate Tax Free Bond Fund (JITIX) is 0.92%, while Invesco National AMT-Free Municipal Bond ETF (PZA) has a volatility of 1.52%. This indicates that JITIX experiences smaller price fluctuations and is considered to be less risky than PZA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%JuneJulyAugustSeptemberOctober
0.92%
1.52%
JITIX
PZA