- ISIN
- US3160928244
- CUSIP
- 316092824
- Issuer
- Fidelity
- Inception Date
- Sep 12, 2016
- Region
- North America (U.S.)
- Category
- Volatility Hedged Equity
- Leveraged
- 1x (No leverage)
- Index Tracked
- Fidelity U.S. Low Volatility Factor Index
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Growth
- Assets Under Management
- $1B
Share Price Chart
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Performance
FDLO Performance Chart
Fidelity Low Volatility Factor ETF (FDLO) is up 2.3% since the beginning of the year. FDLO is currently trading at $68 per share. Investors who bought $1,000 worth of FDLO shares 5 years ago would now be looking at an investment worth $1,563.
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Returns By Period
Fidelity Low Volatility Factor ETF (FDLO) has returned 2.30% so far this year and 12.80% over the past 12 months.
Fidelity Low Volatility Factor ETF
- 1D
- -0.75%
- 1M
- -3.23%
- YTD
- 2.30%
- 6M
- 2.04%
- 1Y
- 12.80%
- 3Y*
- 12.90%
- 5Y*
- 9.34%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
FDLO Monthly Returns History
Based on dividend-adjusted daily data since Sep 15, 2016, FDLO's average daily return is +0.05%, while the average monthly return is +1.06%. At this rate, an investment would double in approximately 5.5 years.
Historically, 69% of months were positive and 31% were negative. The best month was Apr 2020 with a return of +10.9%, while the worst month was Mar 2020 at -13.0%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 3 months.
On a daily basis, FDLO closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +8.8%, while the worst single day was Mar 12, 2020 at -10.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.93% | 0.59% | -5.22% | 7.00% | 1.91% | -3.46% | 2.30% | ||||||
| 2025 | 3.10% | 0.26% | -2.82% | -1.77% | 2.59% | 3.19% | 0.49% | 2.60% | 2.07% | -0.06% | 3.11% | -1.34% | 11.77% |
| 2024 | 1.83% | 2.71% | 1.83% | -3.89% | 3.31% | 2.62% | 2.61% | 3.51% | 1.60% | -1.55% | 4.32% | -3.49% | 16.06% |
| 2023 | 2.30% | -3.05% | 4.14% | 2.72% | -1.93% | 5.13% | 1.86% | -0.57% | -3.83% | -0.39% | 7.16% | 2.34% | 16.38% |
| 2022 | -6.12% | -2.22% | 4.47% | -5.96% | 0.19% | -4.93% | 6.55% | -4.00% | -7.62% | 9.24% | 5.08% | -3.82% | -10.38% |
| 2021 | -2.48% | 1.01% | 4.61% | 5.15% | -0.04% | 2.59% | 3.52% | 2.36% | -4.58% | 6.36% | -1.97% | 5.87% | 24.00% |
Benchmark Metrics
Fidelity Low Volatility Factor ETF has an annualized alpha of 1.31%, beta of 0.81, and R2 of 0.90 versus S&P 500 Index. Calculated based on daily prices since September 15, 2016.
- This ETF participated in 86.05% of S&P 500 Index downside but only 84.36% of its upside - more exposed to losses than it benefited from rallies.
- Alpha
- 1.31%
- Beta
- 0.81
- R²
- 0.90
- Upside Capture
- 84.36%
- Downside Capture
- 86.05%
Expense Ratio
FDLO has an expense ratio of 0.29%, placing it in the medium range.
Return for Risk
Risk / Return Rank
FDLO ranks 41 for risk / return — on par with similar ETFs. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Fidelity Low Volatility Factor ETF (FDLO) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FDLO | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.58 | ||
| Sortino ratioReturn per unit of downside risk | -0.70 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.37 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 1.80 | 2.78 | -0.98 |
| Martin ratioReturn relative to average drawdown | 7.61 | 12.44 | -4.83 |
Dividends
Dividend History
Fidelity Low Volatility Factor ETF provided a 1.45% dividend yield over the last twelve months, with an annual payout of $0.98 per share. The fund has been increasing its distributions for 4 consecutive years.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.98 | $0.92 | $0.85 | $0.72 | $0.69 | $0.58 | $0.59 | $0.60 | $0.53 | $0.49 | $0.14 |
Dividend yield | 1.45% | 1.37% | 1.40% | 1.35% | 1.49% | 1.11% | 1.38% | 1.55% | 1.76% | 1.61% | 0.55% |
Monthly Dividends
The table displays the monthly dividend distributions for Fidelity Low Volatility Factor ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.28 | $0.00 | $0.00 | $0.26 | $0.54 | ||||||
| 2025 | $0.00 | $0.00 | $0.24 | $0.00 | $0.00 | $0.23 | $0.00 | $0.00 | $0.22 | $0.00 | $0.00 | $0.22 | $0.92 |
| 2024 | $0.00 | $0.00 | $0.23 | $0.00 | $0.00 | $0.20 | $0.00 | $0.00 | $0.20 | $0.00 | $0.00 | $0.22 | $0.85 |
| 2023 | $0.00 | $0.00 | $0.21 | $0.00 | $0.00 | $0.17 | $0.00 | $0.00 | $0.18 | $0.00 | $0.00 | $0.16 | $0.72 |
| 2022 | $0.00 | $0.00 | $0.16 | $0.00 | $0.00 | $0.17 | $0.00 | $0.00 | $0.18 | $0.00 | $0.00 | $0.18 | $0.69 |
| 2021 | $0.00 | $0.00 | $0.15 | $0.00 | $0.00 | $0.14 | $0.00 | $0.00 | $0.16 | $0.00 | $0.00 | $0.14 | $0.58 |
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Fidelity Low Volatility Factor ETF. 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 Low Volatility Factor ETF was 34.35%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.
The current Fidelity Low Volatility Factor ETF drawdown is 3.46%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -34.35%Mar 2020 | 1mo 2d | 5mo 8d | 6mo 10dFeb 2020 - Aug 2020 |
Bear market2022 | -19.23%Sep 2022 | 9mo 4d | 1y 1mo | 1y 10moDec 2021 - Nov 2023 |
Rate-hike selloffLate 2018 | -15.97%Dec 2018 | 3mo 1d | 2mo 19d | 5mo 20dSep 2018 - Mar 2019 |
2025 selloff2025 | -13.68%Apr 2025 | 1mo 17d | 2mo 24d | 4mo 11dFeb 2025 - Jul 2025 |
2018 pullback2018 | -9.65%Feb 2018 | 10d | 5mo 16d | 5mo 26dJan 2018 - Jul 2018 |
Drawdown Indicators
| FDLO | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.35% | -56.78% | +22.43% |
Max Drawdown (1Y)Largest decline over 1 year | -7.13% | -9.10% | +1.97% |
Max Drawdown (3Y)Largest decline over 3 years | -13.68% | -18.90% | +5.22% |
Max Drawdown (5Y)Largest decline over 5 years | -19.23% | -25.43% | +6.20% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -3.46% | -1.80% | -1.66% |
Average DrawdownAverage peak-to-trough decline | -3.37% | -10.71% | +7.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.69% | 2.03% | -0.34% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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