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

Correlation

The correlation between FVAL and DEEP 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

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.

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

Key characteristics

Sharpe Ratio

FVAL:

1.76

DEEP:

-0.12

Sortino Ratio

FVAL:

2.39

DEEP:

-0.04

Omega Ratio

FVAL:

1.33

DEEP:

1.00

Calmar Ratio

FVAL:

2.61

DEEP:

-0.21

Martin Ratio

FVAL:

10.74

DEEP:

-0.42

Ulcer Index

FVAL:

1.89%

DEEP:

5.81%

Daily Std Dev

FVAL:

11.50%

DEEP:

19.75%

Max Drawdown

FVAL:

-37.26%

DEEP:

-51.92%

Current Drawdown

FVAL:

-3.60%

DEEP:

-10.05%

Returns By Period

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


FVAL

YTD

18.64%

1M

-0.72%

6M

8.68%

1Y

19.00%

5Y*

12.26%

10Y*

N/A

DEEP

YTD

-4.54%

1M

-4.44%

6M

0.91%

1Y

-3.73%

5Y*

3.31%

10Y*

5.91%

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FVAL vs. DEEP - Expense Ratio Comparison

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

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.


Sharpe ratio
The chart of Sharpe ratio for FVAL, currently valued at 1.76, compared to the broader market0.002.004.001.76-0.12
The chart of Sortino ratio for FVAL, currently valued at 2.39, compared to the broader market-2.000.002.004.006.008.0010.002.39-0.04
The chart of Omega ratio for FVAL, currently valued at 1.33, compared to the broader market0.501.001.502.002.503.001.331.00
The chart of Calmar ratio for FVAL, currently valued at 2.61, compared to the broader market0.005.0010.0015.002.61-0.21
The chart of Martin ratio for FVAL, currently valued at 10.74, compared to the broader market0.0020.0040.0060.0080.00100.0010.74-0.42
FVAL
DEEP

The current FVAL Sharpe Ratio is 1.76, which is higher than the DEEP Sharpe Ratio of -0.12. 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.


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

Dividends

FVAL vs. DEEP - Dividend Comparison

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


TTM2023202220212020201920182017201620152014
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%
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%

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.


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

Volatility

FVAL vs. DEEP - Volatility Comparison

The current volatility for Fidelity Value Factor ETF (FVAL) is 3.21%, while Roundhill Acquirers Deep Value ETF (DEEP) has a volatility of 5.93%. 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.


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