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ETF Top Expense Ratio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


MTUM 10%SPHQ 10%QUAL 10%IJT 10%IJK 10%MDYG 10%SLYG 10%FDLO 10%IMCG 10%FQAL 10%EquityEquity
PositionCategory/SectorWeight
FDLO
Fidelity Low Volatility Factor ETF
Volatility Hedged Equity
10%
FQAL
Fidelity Quality Factor ETF
Large Cap Growth Equities
10%
IJK
iShares S&P MidCap 400 Growth ETF
Mid Cap Growth Equities
10%
IJT
iShares S&P SmallCap 600 Growth ETF
Small Cap Growth Equities
10%
IMCG
iShares Morningstar Mid-Cap Growth ETF
Mid Cap Growth Equities
10%
MDYG
SPDR S&P 400 Mid Cap Growth ETF
Mid Cap Growth Equities
10%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
Large Cap Growth Equities
10%
QUAL
iShares Edge MSCI USA Quality Factor ETF
Large Cap Growth Equities
10%
SLYG
SPDR S&P 600 Small Cap Growth ETF
Small Cap Growth Equities
10%
SPHQ
Invesco S&P 500® Quality ETF
Large Cap Blend Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in ETF Top Expense Ratio, 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


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
12.87%
15.83%
ETF Top Expense Ratio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 15, 2016, corresponding to the inception date of FDLO

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
ETF Top Expense Ratio19.01%0.13%13.17%37.34%12.69%N/A
MTUM
iShares Edge MSCI USA Momentum Factor ETF
32.04%1.75%18.07%51.08%12.71%13.42%
SPHQ
Invesco S&P 500® Quality ETF
24.75%-0.62%16.33%39.13%15.98%13.48%
QUAL
iShares Edge MSCI USA Quality Factor ETF
23.61%0.70%16.19%40.60%15.30%13.27%
IJT
iShares S&P SmallCap 600 Growth ETF
10.30%-1.86%10.28%32.94%9.33%9.67%
IJK
iShares S&P MidCap 400 Growth ETF
16.95%0.22%7.77%35.22%11.05%10.09%
MDYG
SPDR S&P 400 Mid Cap Growth ETF
17.10%0.36%7.89%35.24%11.09%10.16%
SLYG
SPDR S&P 600 Small Cap Growth ETF
10.22%-1.83%10.15%32.82%9.39%9.76%
FDLO
Fidelity Low Volatility Factor ETF
16.90%-0.16%14.24%28.21%12.18%N/A
IMCG
iShares Morningstar Mid-Cap Growth ETF
15.66%1.55%12.34%38.59%13.10%11.92%
FQAL
Fidelity Quality Factor ETF
21.92%1.18%18.10%38.13%14.49%N/A

Monthly Returns

The table below presents the monthly returns of ETF Top Expense Ratio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.68%6.36%3.57%-4.92%4.56%1.24%3.57%1.25%1.55%19.01%
20235.78%-1.90%0.72%0.03%-1.28%7.22%3.54%-1.61%-4.91%-3.40%8.15%6.71%19.52%
2022-8.52%-1.43%1.99%-8.61%0.10%-8.36%9.81%-3.95%-8.62%9.24%5.58%-5.61%-19.11%
20211.01%2.71%2.23%4.28%-0.18%2.56%1.76%2.41%-4.41%6.68%-2.19%3.87%22.25%
2020-0.05%-7.94%-14.38%12.89%6.89%2.06%5.67%5.23%-3.04%-1.17%12.46%5.39%22.55%
20198.53%4.47%0.92%3.27%-5.60%6.74%1.38%-2.04%0.71%1.55%3.57%2.47%28.36%
20184.81%-3.21%-0.34%-0.45%3.98%0.63%2.81%4.89%-0.51%-8.97%2.03%-9.67%-5.18%
20171.66%3.35%0.30%1.38%0.89%1.21%1.51%-0.42%3.48%2.56%3.41%0.41%21.53%
20161.15%-3.08%5.18%2.02%5.20%

Expense Ratio

ETF Top Expense Ratio has an expense ratio of 0.19%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for FDLO: 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%
Expense ratio chart for FQAL: 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%
Expense ratio chart for IJT: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for IJK: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%
Expense ratio chart for MTUM: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for SPHQ: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for QUAL: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for MDYG: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for SLYG: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for IMCG: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ETF Top Expense Ratio is 44, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of ETF Top Expense Ratio is 4444
Combined Rank
The Sharpe Ratio Rank of ETF Top Expense Ratio is 4545Sharpe Ratio Rank
The Sortino Ratio Rank of ETF Top Expense Ratio is 4747Sortino Ratio Rank
The Omega Ratio Rank of ETF Top Expense Ratio is 4343Omega Ratio Rank
The Calmar Ratio Rank of ETF Top Expense Ratio is 3232Calmar Ratio Rank
The Martin Ratio Rank of ETF Top Expense Ratio is 5353Martin 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.

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.


ETF Top Expense Ratio
Sharpe ratio
The chart of Sharpe ratio for ETF Top Expense Ratio, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ETF Top Expense Ratio, currently valued at 3.96, compared to the broader market-2.000.002.004.006.003.96
Omega ratio
The chart of Omega ratio for ETF Top Expense Ratio, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.802.001.51
Calmar ratio
The chart of Calmar ratio for ETF Top Expense Ratio, currently valued at 2.19, compared to the broader market0.005.0010.0015.002.19
Martin ratio
The chart of Martin ratio for ETF Top Expense Ratio, currently valued at 18.83, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.83
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.0015.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MTUM
iShares Edge MSCI USA Momentum Factor ETF
2.903.751.501.9816.97
SPHQ
Invesco S&P 500® Quality ETF
3.454.751.635.4926.95
QUAL
iShares Edge MSCI USA Quality Factor ETF
3.424.671.634.5822.08
IJT
iShares S&P SmallCap 600 Growth ETF
1.772.551.311.2910.77
IJK
iShares S&P MidCap 400 Growth ETF
2.283.131.381.7912.17
MDYG
SPDR S&P 400 Mid Cap Growth ETF
2.283.121.381.7912.24
SLYG
SPDR S&P 600 Small Cap Growth ETF
1.782.561.311.3010.75
FDLO
Fidelity Low Volatility Factor ETF
3.484.731.675.1123.47
IMCG
iShares Morningstar Mid-Cap Growth ETF
2.823.861.481.4114.97
FQAL
Fidelity Quality Factor ETF
3.424.641.633.2222.80

Sharpe Ratio

The current ETF Top Expense Ratio Sharpe ratio is 2.91. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.49 to 3.44, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of ETF Top Expense Ratio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.91
3.43
ETF Top Expense Ratio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ETF Top Expense Ratio provided a 0.98% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
ETF Top Expense Ratio0.98%1.21%1.37%0.81%0.95%1.23%1.35%1.67%1.11%1.59%1.24%0.70%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.56%1.35%1.80%0.55%0.83%1.48%1.27%1.02%1.43%1.12%1.04%1.02%
SPHQ
Invesco S&P 500® Quality ETF
1.16%1.42%1.85%1.19%1.55%1.51%1.85%1.57%1.67%2.29%1.66%1.99%
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.00%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%0.63%
IJT
iShares S&P SmallCap 600 Growth ETF
1.00%1.02%1.08%0.63%0.68%0.92%0.92%0.86%1.03%1.14%0.78%0.70%
IJK
iShares S&P MidCap 400 Growth ETF
0.84%1.13%1.08%0.50%0.70%1.09%1.13%0.93%1.15%1.12%0.91%0.88%
MDYG
SPDR S&P 400 Mid Cap Growth ETF
0.94%1.20%1.16%0.69%0.71%1.21%1.36%2.23%1.25%2.48%1.60%0.82%
SLYG
SPDR S&P 600 Small Cap Growth ETF
1.10%1.18%1.18%0.68%0.71%1.08%1.06%4.74%1.13%5.75%4.42%0.61%
FDLO
Fidelity Low Volatility Factor ETF
1.28%1.35%1.49%1.11%1.38%1.55%1.76%1.61%0.55%0.00%0.00%0.00%
IMCG
iShares Morningstar Mid-Cap Growth ETF
0.81%0.85%0.91%0.41%0.09%0.30%0.35%0.45%0.52%0.38%0.60%0.36%
FQAL
Fidelity Quality Factor ETF
1.09%1.35%1.52%1.17%1.46%1.55%1.73%1.53%0.43%0.00%0.00%0.00%

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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.62%
-0.54%
ETF Top Expense Ratio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ETF Top Expense Ratio. 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 ETF Top Expense Ratio was 35.92%, occurring on Mar 23, 2020. Recovery took 94 trading sessions.

The current ETF Top Expense Ratio drawdown is 1.62%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.92%Feb 20, 202023Mar 23, 202094Aug 5, 2020117
-26.76%Nov 17, 2021219Sep 30, 2022342Feb 12, 2024561
-21.92%Sep 17, 201869Dec 24, 2018131Jul 3, 2019200
-9.5%Jan 29, 20189Feb 8, 201880Jun 5, 201889
-8.8%Sep 3, 202014Sep 23, 202013Oct 12, 202027

Volatility

Volatility Chart

The current ETF Top Expense Ratio volatility is 2.84%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%MayJuneJulyAugustSeptemberOctober
2.84%
2.71%
ETF Top Expense Ratio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

MTUMFDLOSLYGIJTIMCGSPHQQUALFQALMDYGIJK
MTUM1.000.780.690.700.830.850.830.830.780.78
FDLO0.781.000.730.740.810.890.910.920.810.81
SLYG0.690.731.001.000.820.770.790.790.940.94
IJT0.700.741.001.000.820.770.790.790.940.94
IMCG0.830.810.820.821.000.840.860.870.900.90
SPHQ0.850.890.770.770.841.000.950.940.840.84
QUAL0.830.910.790.790.860.951.000.960.860.86
FQAL0.830.920.790.790.870.940.961.000.860.86
MDYG0.780.810.940.940.900.840.860.861.001.00
IJK0.780.810.940.940.900.840.860.861.001.00
The correlation results are calculated based on daily price changes starting from Sep 16, 2016