Fidelity Value Sortino Ratio
| FVAL ETF | | | USD 75.13 0.31 0.41% |
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 Value's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Fidelity Value has a Sortino Ratio of 0.0787, indicating its current reading on this measure. This reflects Fidelity Value's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0787 | |
| ER[a] | = | Expected return on investing in Fidelity Value |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.07 for Sortino Ratio, with Fidelity Value at 0.0787 falling above that level. Readings span 0.0108 (First Trust NASDAQ 100) to 0.2394 (VanEck Oil Services). Fidelity Value'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 Value 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.
The Maximum Drawdown-to-Sortino Ratio ratio for Fidelity Value sits near
44.33 , with Sortino Ratio at
0.08 and Maximum Drawdown at
3.49 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Fidelity Value.
Methodology, Assumptions & Data Sources
The current Sortino Ratio for Fidelity Value is 0.0787. The Sortino Ratio for Fidelity Value applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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