Fidelity Advisor Treynor Ratio

FFCMX -- USA Fund  

USD 18.37  0.01  0.05%

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Fidelity Advisor Asset Manager has current Treynor Ratio of 0.1092. The Treynor is reward-to-volatility ratio that expresses the excess return to the beta of the equity or portfolio. It is similar to the Sharpe ratio, but instead of using volatility in the denominator, it uses the beta of equity or portfolio. Therefore the Treynor Ratio is calculated as [(Portfolio return - Risk free return)/Beta].
Treynor Ratio 
 = 
ER[a] - RFR 
BETA 
 = 
0.1092
ER[a] =   Expected return on investing in Fidelity Advisor
BETA =   Beta coefficient between Fidelity Advisor and the market
RFR =   Risk Free Rate of return. Typically T-Bill Rate

Treynor Ratio Comparison

Fidelity Advisor Asset Manager is one of the top funds in treynor ratio among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about  14.76  of Maximum Drawdown per Treynor Ratio. The ratio of Maximum Drawdown to Treynor Ratio for Fidelity Advisor Asset Manager is roughly  14.76 
This ratio was developed by Jack Treynor to measure how well an investment has compensated its investors given its level of risk. The Treynor ratio relies on beta, which measures an investment sensitivity to market movements, to gauge risk. The premise underlying the Treynor ratio is that systematic risk--the kind of risk that is inherent to the entire market (represented by beta)--should be penalized because it cannot be diversified away.
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