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DEEP vs. FVAL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DEEP and FVAL is 0.79, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

DEEP vs. FVAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Roundhill Acquirers Deep Value ETF (DEEP) and Fidelity Value Factor ETF (FVAL). The values are adjusted to include any dividend payments, if applicable.

60.00%80.00%100.00%120.00%140.00%160.00%180.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
74.23%
183.81%
DEEP
FVAL

Key characteristics

Sharpe Ratio

DEEP:

-0.12

FVAL:

1.76

Sortino Ratio

DEEP:

-0.04

FVAL:

2.39

Omega Ratio

DEEP:

1.00

FVAL:

1.33

Calmar Ratio

DEEP:

-0.21

FVAL:

2.61

Martin Ratio

DEEP:

-0.42

FVAL:

10.74

Ulcer Index

DEEP:

5.81%

FVAL:

1.89%

Daily Std Dev

DEEP:

19.75%

FVAL:

11.50%

Max Drawdown

DEEP:

-51.92%

FVAL:

-37.26%

Current Drawdown

DEEP:

-10.05%

FVAL:

-3.60%

Returns By Period

In the year-to-date period, DEEP achieves a -4.54% return, which is significantly lower than FVAL's 18.64% return.


DEEP

YTD

-4.54%

1M

-4.44%

6M

0.91%

1Y

-3.73%

5Y*

3.31%

10Y*

5.91%

FVAL

YTD

18.64%

1M

-0.72%

6M

8.68%

1Y

19.00%

5Y*

12.26%

10Y*

N/A

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DEEP vs. FVAL - Expense Ratio Comparison

DEEP has a 0.80% expense ratio, which is higher than FVAL's 0.29% expense ratio.


DEEP
Roundhill Acquirers Deep Value ETF
Expense ratio chart for DEEP: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
Expense ratio chart for FVAL: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

DEEP vs. FVAL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Roundhill Acquirers Deep Value ETF (DEEP) and Fidelity Value Factor ETF (FVAL). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for DEEP, currently valued at -0.12, compared to the broader market0.002.004.00-0.121.76
The chart of Sortino ratio for DEEP, currently valued at -0.04, compared to the broader market-2.000.002.004.006.008.0010.00-0.042.39
The chart of Omega ratio for DEEP, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.001.001.33
The chart of Calmar ratio for DEEP, currently valued at -0.21, compared to the broader market0.005.0010.0015.00-0.212.61
The chart of Martin ratio for DEEP, currently valued at -0.42, compared to the broader market0.0020.0040.0060.0080.00100.00-0.4210.74
DEEP
FVAL

The current DEEP Sharpe Ratio is -0.12, which is lower than the FVAL Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of DEEP and FVAL, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.12
1.76
DEEP
FVAL

Dividends

DEEP vs. FVAL - Dividend Comparison

DEEP's dividend yield for the trailing twelve months is around 1.62%, more than FVAL's 1.59% yield.


TTM2023202220212020201920182017201620152014
DEEP
Roundhill Acquirers Deep Value ETF
1.62%1.67%1.28%1.43%4.03%3.49%2.78%2.01%3.14%3.98%0.42%
FVAL
Fidelity Value Factor ETF
1.59%1.69%1.79%1.41%1.61%1.77%2.06%1.62%0.45%0.00%0.00%

Drawdowns

DEEP vs. FVAL - Drawdown Comparison

The maximum DEEP drawdown since its inception was -51.92%, which is greater than FVAL's maximum drawdown of -37.26%. Use the drawdown chart below to compare losses from any high point for DEEP and FVAL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.05%
-3.60%
DEEP
FVAL

Volatility

DEEP vs. FVAL - Volatility Comparison

Roundhill Acquirers Deep Value ETF (DEEP) has a higher volatility of 5.93% compared to Fidelity Value Factor ETF (FVAL) at 3.21%. This indicates that DEEP's price experiences larger fluctuations and is considered to be riskier than FVAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.93%
3.21%
DEEP
FVAL
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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