moving from family sharing to a personal icloud

I am a member in a family sharing account (including icloud and itunes and all). I want to open a new icloud account on a new iphone, and leave my family account but keep the media.

How can I open a new account and transfer all notes, music, photos etc. to it? while leaving the family account and without loosing any information?

Is that possible? Is there multiple ways to do so?