FIDELITY ASSET Sortino Ratio
| FEYAX Fund | | | USD 32.25 0.26 0.81% |
The Sortino Ratio measures risk-adjusted return using only downside deviation rather than total volatility. Unlike the Sharpe Ratio, which penalizes both upside and downside volatility equally, the Sortino Ratio penalizes only returns below a target threshold, making it a more targeted measure of harmful volatility. Below is FIDELITY ASSET's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
FIDELITY ASSET registers a Sortino Ratio of 0.0748, reflecting its current reading on this measure. This reflects FIDELITY ASSET's positioning relative to its own recent range within Fidelity Investments Funds.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0748 | |
| ER[a] | = | Expected return on investing in FIDELITY ASSET |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
FIDELITY ASSET's Sortino Ratio of 0.0748 falls above the 0.07 peer average. Values range from -4.0E-4 (Dimensional ETF Trust) to 0.2179 (iShares MSCI Taiwan), with wide dispersion across the group. FIDELITY ASSET's risk-adjusted return exceeds the peer average, indicating more efficient compensation for risk taken.
Sortino Ratio Relative To Other Indicators
The chart below plots Sortino Ratio against Maximum Drawdown for Fidelity Asset and its peers. Each point represents one equity — position along the horizontal axis shows Sortino 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 ASSET's Maximum Drawdown of
4.15 runs about
55.45 times its Sortino Ratio of
0.07 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for FIDELITY ASSET.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for FIDELITY ASSET is 0.0748. The Sortino Ratio for FIDELITY ASSET is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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