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

Correlation

The correlation between FVAL and DEEP is 0.70, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

FVAL vs. DEEP - Performance Comparison

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

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Key characteristics

Sharpe Ratio

FVAL:

0.54

DEEP:

-0.32

Sortino Ratio

FVAL:

0.89

DEEP:

-0.37

Omega Ratio

FVAL:

1.13

DEEP:

0.96

Calmar Ratio

FVAL:

0.54

DEEP:

-0.29

Martin Ratio

FVAL:

2.01

DEEP:

-0.74

Ulcer Index

FVAL:

4.94%

DEEP:

10.98%

Daily Std Dev

FVAL:

18.81%

DEEP:

22.95%

Max Drawdown

FVAL:

-37.26%

DEEP:

-51.92%

Current Drawdown

FVAL:

-4.37%

DEEP:

-14.41%

Returns By Period

In the year-to-date period, FVAL achieves a 1.03% return, which is significantly higher than DEEP's -6.38% return.


FVAL

YTD

1.03%

1M

11.38%

6M

-0.48%

1Y

10.15%

3Y*

13.09%

5Y*

15.99%

10Y*

N/A

DEEP

YTD

-6.38%

1M

13.06%

6M

-8.56%

1Y

-7.33%

3Y*

3.37%

5Y*

11.76%

10Y*

5.14%

*Annualized

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Fidelity Value Factor ETF

FVAL vs. DEEP - Expense Ratio Comparison

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


Risk-Adjusted Performance

FVAL vs. DEEP — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FVAL
The Risk-Adjusted Performance Rank of FVAL is 5656
Overall Rank
The Sharpe Ratio Rank of FVAL is 5252
Sharpe Ratio Rank
The Sortino Ratio Rank of FVAL is 5454
Sortino Ratio Rank
The Omega Ratio Rank of FVAL is 5858
Omega Ratio Rank
The Calmar Ratio Rank of FVAL is 5858
Calmar Ratio Rank
The Martin Ratio Rank of FVAL is 5656
Martin Ratio Rank

DEEP
The Risk-Adjusted Performance Rank of DEEP is 77
Overall Rank
The Sharpe Ratio Rank of DEEP is 88
Sharpe Ratio Rank
The Sortino Ratio Rank of DEEP is 77
Sortino Ratio Rank
The Omega Ratio Rank of DEEP is 77
Omega Ratio Rank
The Calmar Ratio Rank of DEEP is 55
Calmar Ratio Rank
The Martin Ratio Rank of DEEP is 77
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FVAL vs. DEEP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Value Factor ETF (FVAL) and Roundhill Acquirers Deep Value ETF (DEEP). 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.


The current FVAL Sharpe Ratio is 0.54, which is higher than the DEEP Sharpe Ratio of -0.32. The chart below compares the historical Sharpe Ratios of FVAL and DEEP, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

FVAL vs. DEEP - Dividend Comparison

FVAL's dividend yield for the trailing twelve months is around 1.63%, less than DEEP's 2.68% yield.


TTM20242023202220212020201920182017201620152014
FVAL
Fidelity Value Factor ETF
1.63%1.60%1.69%1.79%1.41%1.61%1.77%2.06%1.62%0.45%0.00%0.00%
DEEP
Roundhill Acquirers Deep Value ETF
2.68%1.96%1.67%1.28%1.43%4.03%3.49%2.78%2.01%3.14%3.98%0.42%

Drawdowns

FVAL vs. DEEP - Drawdown Comparison

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


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Volatility

FVAL vs. DEEP - Volatility Comparison

The current volatility for Fidelity Value Factor ETF (FVAL) is 4.54%, while Roundhill Acquirers Deep Value ETF (DEEP) has a volatility of 5.70%. This indicates that FVAL experiences smaller price fluctuations and is considered to be less risky than DEEP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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