FCMO.NEO's Sortino Ratio of 2.11 indicates that for each unit of downside volatility, it generates 2.11 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jul 16, 2026).
Unlike other measures, Sortino only focuses on downside volatility (losses), making it particularly useful for investors more concerned about protecting against drawdowns than overall price swings.
FCMO.NEO Sortino Ratio Rank
FCMO.NEO ranks above 53.0% of all investments in our database based on Sortino Ratio over the past 12 months, indicating moderate downside protection relative to peers. Securities are ranked from 0 (worst) to 100 (best).
What moves the rank
- Strong returns with minimal downside volatility → Higher rank
- Severe or frequent drawdowns → Lower rank
- Upside volatility → No impact (Sortino doesn't penalize upside swings)
What you can do with this information
- Returns are proportional to downside risk—neither strong nor weak
- Evaluate whether downside volatility aligns with your risk tolerance
- Review higher-ranked alternatives in the same category
- Monitor rank direction to identify improving or deteriorating trends
FCMO.NEO Sortino Ratio Market Positioning
The chart shows FCMO.NEO's Sortino Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.
- Red zone (bottom 25%): 1.17 or lower
- Yellow zone (middle 50%): 1.17 to 2.69
- Green zone (top 25%): 2.69 or higher
- Top 1%: 13.58+
- Median: 2.04 — half of all investments score higher
How it compares to other similar ETFs
The table compares Fidelity US Momentum ETF's Sortino Ratio with other ETFs in the Momentum, Large Cap Growth Equities category across multiple time periods, showing how FCMO.NEO's risk-adjusted performance compares to similar funds.
Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jul 16, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| FCCM.NEO | Fidelity Canadian Momentum Index ETF | 3.32 | |||
| WXM.TO | CI Morningstar Canada Momentum Index ETF | 3.23 | |||
| ZXM.TO | CI Morningstar International Momentum Index ETF Common Units CAD Hedged | 3.06 | |||
| FCIM.NEO | Fidelity International Momentum Index ETF | 2.96 | |||
| XQLT.TO | iShares MSCI USA Quality Factor Index ETF | 2.88 | |||
| XSUS.TO | iShares ESG Aware MSCI USA Index ETF | 2.58 | |||
| VMO.TO | Vanguard Global Momentum Factor ETF | 2.25 | |||
| FCMO.NEO | Fidelity US Momentum ETF | 2.11 | |||
| XMTM.TO | iShares MSCI USA Momentum Factor Index ETF | 1.84 | |||
| XUSR.TO | iShares ESG Advanced MSCI USA Index ETF | 1.82 |
Historical Sortino Ratio
The chart shows FCMO.NEO's rolling Sortino ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to downside risk, while declining trends may signal deteriorating risk-adjusted performance or increased volatility during market stress. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.
Identify market cycles by observing when FCMO.NEO consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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