Fidelity factors
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
FFLC Fidelity Fundamental Large Cap Core ETF | Large Cap Blend Equities | 50% |
FLRG Fidelity U.S. Multifactor ETF | Large Cap Growth Equities | 50% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Fidelity factors, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
The earliest data available for this chart is Sep 17, 2020, corresponding to the inception date of FLRG
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
| Fidelity factors | 23.89% | 2.64% | 10.12% | 36.17% | N/A | N/A |
| Portfolio components: | ||||||
FLRG Fidelity U.S. Multifactor ETF | 21.63% | 2.33% | 10.81% | 31.99% | N/A | N/A |
FFLC Fidelity Fundamental Large Cap Core ETF | 26.12% | 2.95% | 9.42% | 40.38% | N/A | N/A |
Monthly Returns
The table below presents the monthly returns of Fidelity factors, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 2.19% | 5.67% | 4.48% | -4.11% | 5.30% | 3.07% | 1.70% | 2.75% | 23.89% | ||||
| 2023 | 4.86% | -1.79% | 2.00% | 1.52% | -0.70% | 6.56% | 2.53% | -0.40% | -4.40% | -2.10% | 8.27% | 4.21% | 21.67% |
| 2022 | -2.47% | -0.81% | 2.24% | -5.76% | 3.14% | -9.15% | 7.99% | -2.35% | -7.82% | 10.86% | 5.16% | -4.59% | -5.57% |
| 2021 | -0.01% | 4.79% | 5.56% | 4.51% | 1.91% | 0.72% | 1.80% | 1.87% | -4.06% | 5.08% | -3.44% | 6.13% | 27.09% |
| 2020 | -1.20% | -1.92% | 12.25% | 4.03% | 13.16% |
Expense Ratio
Fidelity factors features an expense ratio of 0.34%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of Fidelity factors is 85, placing it in the top 15% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. 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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
FLRG Fidelity U.S. Multifactor ETF | 2.49 | 3.36 | 1.44 | 3.91 | 16.01 |
FFLC Fidelity Fundamental Large Cap Core ETF | 2.71 | 3.64 | 1.47 | 4.00 | 18.49 |
Dividends
Dividend yield
Fidelity factors granted a 1.00% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|
| Fidelity factors | 1.00% | 0.98% | 1.65% | 1.52% | 1.18% |
| Portfolio components: | |||||
FLRG Fidelity U.S. Multifactor ETF | 1.29% | 1.39% | 1.62% | 1.36% | 1.47% |
FFLC Fidelity Fundamental Large Cap Core ETF | 0.71% | 0.57% | 1.67% | 1.68% | 0.89% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the Fidelity factors. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Fidelity factors was 16.36%, occurring on Sep 30, 2022. Recovery took 168 trading sessions.
The current Fidelity factors drawdown is 0.03%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -16.36% | Jan 12, 2022 | 181 | Sep 30, 2022 | 168 | Jun 2, 2023 | 349 |
| -8.31% | Aug 2, 2023 | 62 | Oct 27, 2023 | 16 | Nov 20, 2023 | 78 |
| -7.69% | Jul 17, 2024 | 14 | Aug 5, 2024 | 12 | Aug 21, 2024 | 26 |
| -6.64% | Oct 13, 2020 | 12 | Oct 28, 2020 | 8 | Nov 9, 2020 | 20 |
| -5.88% | Nov 9, 2021 | 16 | Dec 1, 2021 | 17 | Dec 27, 2021 | 33 |
Volatility
Volatility Chart
The current Fidelity factors volatility is 4.36%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| FFLC | FLRG | |
|---|---|---|
| FFLC | 1.00 | 0.85 |
| FLRG | 0.85 | 1.00 |