Fidelity Enhanced Treynor Ratio
| FESM ETF | | | 44.53 0.27 0.61% |
The Treynor Ratio measures excess return per unit of systematic risk (beta) rather than total risk. It is calculated as (Portfolio Return - Risk-Free Rate) / Beta, isolating how well the asset compensates investors for market exposure that cannot be diversified away. Below is Fidelity Enhanced's current Treynor Ratio with peer comparisons and related risk metrics.
Current Treynor Ratio Value
The Treynor Ratio of 0.1461 for Fidelity Enhanced indicates positive return per unit of systematic risk. Fidelity Enhanced has been compensated for its market exposure, though the margin is modest.
Treynor Ratio | = | ER[a] - RFRBETA |
| = | 0.1461 | |
| ER[a] | = | Expected return on investing in Fidelity Enhanced |
| BETA | = | Beta coefficient between Fidelity Enhanced and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Treynor Ratio Peers Comparison
Fidelity Enhanced falls above the 0.04 peer average for Treynor Ratio. SPDR SAMPP 400 leads at 0.1354 while Fidelity MSCI Health registers the lowest at -0.1479. Fidelity Enhanced has earned more return per unit of systematic risk than the peer average.
Treynor Ratio Relative To Other Indicators
The chart below plots Treynor Ratio against Maximum Drawdown for Fidelity Enhanced and its peers. Each point represents one equity — position along the horizontal axis shows Treynor Ratio while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Fidelity Enhanced shows nearly
42.31 of Maximum Drawdown per unit of Treynor Ratio (
0.15 versus
6.18 ). This indicates Maximum Drawdown substantially exceeds Treynor Ratio for Fidelity Enhanced.
Methodology, Assumptions & Data Sources
Fidelity Enhanced has a current Treynor Ratio reading of 0.1461. This Treynor Ratio reading for Fidelity Enhanced results from applying the indicator's calculation rules to price and volume data over the selected window. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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