Fidelity MSCI Sortino Ratio
| FIDU ETF | | | USD 93.87 -0.12 -0.13% |
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 MSCI's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
The current Sortino Ratio of 0.0472 places Fidelity MSCI at its current reading on this measure. This reflects Fidelity MSCI's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0472 | |
| ER[a] | = | Expected return on investing in Fidelity MSCI |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
Fidelity MSCI's Sortino Ratio of 0.0472 falls below the 0.07 peer average. Values range from 0.0013 (iShares Industrials ETF) to 0.1351 (iShares MSCI Emerging), with wide dispersion across the group. Fidelity MSCI's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Sortino Ratio Relative To Other Indicators
The chart below plots Sortino Ratio against Maximum Drawdown for Fidelity MSCI 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.
Comparing Sortino Ratio (
0.05 ) to Maximum Drawdown (
5.81 ) for Fidelity MSCI yields a
123.02 multiple. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Fidelity MSCI.
Methodology, Assumptions & Data Sources
Fidelity MSCI has a current Sortino Ratio reading of 0.0472. The Sortino Ratio for Fidelity MSCI is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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