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PRTAX vs. FTABX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PRTAXFTABX
YTD Return2.59%2.06%
1Y Return9.25%8.28%
3Y Return (Ann)-0.26%-0.49%
5Y Return (Ann)1.49%1.30%
10Y Return (Ann)2.39%2.45%
Sharpe Ratio2.462.10
Sortino Ratio3.813.11
Omega Ratio1.591.49
Calmar Ratio0.950.83
Martin Ratio11.518.69
Ulcer Index0.80%0.87%
Daily Std Dev3.76%3.63%
Max Drawdown-17.63%-15.78%
Current Drawdown-1.41%-2.33%

Correlation

-0.50.00.51.00.9

The correlation between PRTAX and FTABX is 0.86, 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.

Performance

PRTAX vs. FTABX - Performance Comparison

In the year-to-date period, PRTAX achieves a 2.59% return, which is significantly higher than FTABX's 2.06% return. Both investments have delivered pretty close results over the past 10 years, with PRTAX having a 2.39% annualized return and FTABX not far ahead at 2.45%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%-1.00%0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
2.67%
2.08%
PRTAX
FTABX

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PRTAX vs. FTABX - Expense Ratio Comparison

PRTAX has a 0.53% expense ratio, which is higher than FTABX's 0.25% expense ratio.


PRTAX
T. Rowe Price Tax Free Income Fund
Expense ratio chart for PRTAX: current value at 0.53% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.53%
Expense ratio chart for FTABX: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

PRTAX vs. FTABX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Tax Free Income Fund (PRTAX) and Fidelity Tax-Free Bond Fund (FTABX). 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.


PRTAX
Sharpe ratio
The chart of Sharpe ratio for PRTAX, currently valued at 2.28, compared to the broader market0.002.004.002.28
Sortino ratio
The chart of Sortino ratio for PRTAX, currently valued at 3.48, compared to the broader market0.005.0010.003.48
Omega ratio
The chart of Omega ratio for PRTAX, currently valued at 1.54, compared to the broader market1.002.003.004.001.54
Calmar ratio
The chart of Calmar ratio for PRTAX, currently valued at 0.93, compared to the broader market0.005.0010.0015.0020.000.93
Martin ratio
The chart of Martin ratio for PRTAX, currently valued at 10.44, compared to the broader market0.0020.0040.0060.0080.00100.0010.44
FTABX
Sharpe ratio
The chart of Sharpe ratio for FTABX, currently valued at 2.10, compared to the broader market0.002.004.002.10
Sortino ratio
The chart of Sortino ratio for FTABX, currently valued at 3.11, compared to the broader market0.005.0010.003.11
Omega ratio
The chart of Omega ratio for FTABX, currently valued at 1.49, compared to the broader market1.002.003.004.001.49
Calmar ratio
The chart of Calmar ratio for FTABX, currently valued at 0.83, compared to the broader market0.005.0010.0015.0020.000.83
Martin ratio
The chart of Martin ratio for FTABX, currently valued at 8.69, compared to the broader market0.0020.0040.0060.0080.00100.008.69

PRTAX vs. FTABX - Sharpe Ratio Comparison

The current PRTAX Sharpe Ratio is 2.46, which is comparable to the FTABX Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of PRTAX and FTABX, 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
2.28
2.10
PRTAX
FTABX

Dividends

PRTAX vs. FTABX - Dividend Comparison

PRTAX's dividend yield for the trailing twelve months is around 3.28%, more than FTABX's 3.00% yield.


TTM20232022202120202019201820172016201520142013
PRTAX
T. Rowe Price Tax Free Income Fund
3.28%3.03%3.03%2.42%2.85%3.28%3.61%3.63%3.80%3.79%3.82%4.02%
FTABX
Fidelity Tax-Free Bond Fund
3.00%2.90%2.85%2.40%2.60%2.84%3.02%3.07%3.37%3.58%3.62%3.86%

Drawdowns

PRTAX vs. FTABX - Drawdown Comparison

The maximum PRTAX drawdown since its inception was -17.63%, which is greater than FTABX's maximum drawdown of -15.78%. Use the drawdown chart below to compare losses from any high point for PRTAX and FTABX. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.41%
-2.33%
PRTAX
FTABX

Volatility

PRTAX vs. FTABX - Volatility Comparison

T. Rowe Price Tax Free Income Fund (PRTAX) and Fidelity Tax-Free Bond Fund (FTABX) have volatilities of 1.89% and 1.85%, 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.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.89%
1.85%
PRTAX
FTABX