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

Performance

NJTFX vs. FNJHX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price New Jersey Tax Free Bond Fund (NJTFX) and Fidelity New Jersey Municipal Income Fund (FNJHX). The values are adjusted to include any dividend payments, if applicable.

-1.00%0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.72%
3.56%
NJTFX
FNJHX

Returns By Period

In the year-to-date period, NJTFX achieves a 3.05% return, which is significantly higher than FNJHX's 1.93% return. Over the past 10 years, NJTFX has underperformed FNJHX with an annualized return of 1.86%, while FNJHX has yielded a comparatively higher 2.46% annualized return.


NJTFX

YTD

3.05%

1M

1.25%

6M

3.72%

1Y

7.13%

5Y (annualized)

1.44%

10Y (annualized)

1.86%

FNJHX

YTD

1.93%

1M

1.04%

6M

3.56%

1Y

6.34%

5Y (annualized)

1.29%

10Y (annualized)

2.46%

Key characteristics


NJTFXFNJHX
Sharpe Ratio2.161.53
Sortino Ratio3.252.29
Omega Ratio1.491.35
Calmar Ratio0.930.91
Martin Ratio9.575.13
Ulcer Index0.75%0.96%
Daily Std Dev3.30%3.32%
Max Drawdown-17.09%-14.65%
Current Drawdown-1.02%-1.27%

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NJTFX vs. FNJHX - Expense Ratio Comparison

NJTFX has a 0.56% expense ratio, which is higher than FNJHX's 0.47% expense ratio.


NJTFX
T. Rowe Price New Jersey Tax Free Bond Fund
Expense ratio chart for NJTFX: current value at 0.56% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.56%
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%

Correlation

-0.50.00.51.00.8

The correlation between NJTFX and FNJHX is 0.81, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

NJTFX vs. FNJHX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price New Jersey Tax Free Bond Fund (NJTFX) and Fidelity New Jersey Municipal Income Fund (FNJHX). 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 NJTFX, currently valued at 1.83, compared to the broader market-1.000.001.002.003.004.005.001.831.53
The chart of Sortino ratio for NJTFX, currently valued at 2.68, compared to the broader market0.005.0010.002.682.29
The chart of Omega ratio for NJTFX, currently valued at 1.40, compared to the broader market1.002.003.004.001.401.35
The chart of Calmar ratio for NJTFX, currently valued at 0.94, compared to the broader market0.005.0010.0015.0020.000.940.91
The chart of Martin ratio for NJTFX, currently valued at 7.79, compared to the broader market0.0020.0040.0060.0080.00100.007.795.13
NJTFX
FNJHX

The current NJTFX Sharpe Ratio is 2.16, which is higher than the FNJHX Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of NJTFX and FNJHX, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
1.83
1.53
NJTFX
FNJHX

Dividends

NJTFX vs. FNJHX - Dividend Comparison

NJTFX's dividend yield for the trailing twelve months is around 3.11%, more than FNJHX's 2.88% yield.


TTM20232022202120202019201820172016201520142013
NJTFX
T. Rowe Price New Jersey Tax Free Bond Fund
3.11%2.84%2.70%2.37%2.98%2.84%3.13%3.14%1.10%0.00%0.00%0.02%
FNJHX
Fidelity New Jersey Municipal Income Fund
2.88%2.67%2.38%1.95%2.36%2.70%2.93%2.93%3.11%3.33%3.27%4.02%

Drawdowns

NJTFX vs. FNJHX - Drawdown Comparison

The maximum NJTFX drawdown since its inception was -17.09%, which is greater than FNJHX's maximum drawdown of -14.65%. Use the drawdown chart below to compare losses from any high point for NJTFX and FNJHX. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.02%
-1.27%
NJTFX
FNJHX

Volatility

NJTFX vs. FNJHX - Volatility Comparison

T. Rowe Price New Jersey Tax Free Bond Fund (NJTFX) and Fidelity New Jersey Municipal Income Fund (FNJHX) have volatilities of 1.37% and 1.37%, 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.


0.40%0.60%0.80%1.00%1.20%1.40%1.60%JuneJulyAugustSeptemberOctoberNovember
1.37%
1.37%
NJTFX
FNJHX