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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Fidelity Value Factor ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Fidelity Value Factor ETF (FVAL) has returned -3.56% so far this year and 18.50% over the past 12 months.
Fidelity Value Factor ETF
- 1D
- 2.86%
- 1M
- -4.78%
- YTD
- -3.56%
- 6M
- 1.74%
- 1Y
- 18.50%
- 3Y*
- 16.89%
- 5Y*
- 10.83%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Sep 15, 2016, FVAL's average daily return is +0.06%, while the average monthly return is +1.14%. At this rate, your investment would double in approximately 5.1 years.
Historically, 69% of months were positive and 31% were negative. The best month was Apr 2020 with a return of +13.8%, while the worst month was Mar 2020 at -16.4%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, FVAL closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +9.6%, while the worst single day was Mar 12, 2020 at -11.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.16% | -0.85% | -4.78% | -3.56% | |||||||||
| 2025 | 3.21% | -1.11% | -4.67% | -2.53% | 5.44% | 4.69% | 1.12% | 4.18% | 2.78% | 2.88% | 0.56% | 1.97% | 19.56% |
| 2024 | 0.23% | 3.72% | 4.01% | -4.17% | 3.26% | 2.45% | 2.27% | 1.24% | 2.06% | -0.25% | 6.14% | -3.74% | 18.05% |
| 2023 | 6.61% | -3.17% | 1.63% | 1.64% | -0.52% | 6.57% | 3.83% | -2.14% | -3.70% | -2.63% | 8.52% | 5.31% | 23.10% |
| 2022 | -2.07% | -3.00% | 3.05% | -7.16% | 1.97% | -10.19% | 7.46% | -4.11% | -9.29% | 10.42% | 5.79% | -5.81% | -14.40% |
| 2021 | -0.02% | 3.77% | 6.72% | 5.07% | 1.65% | 0.75% | 2.04% | 2.47% | -4.77% | 4.72% | -0.86% | 5.82% | 30.33% |
Benchmark Metrics
Fidelity Value Factor ETF has an annualized alpha of 1.19%, beta of 0.96, and R² of 0.94 versus S&P 500 Index. Calculated based on daily prices since September 16, 2016.
- This ETF captured 105.17% of S&P 500 Index gains and 102.13% of its losses — amplifying both gains and losses, but participating more in upside than downside.
- With beta of 0.96 and R² of 0.94, this ETF moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 1.19%
- Beta
- 0.96
- R²
- 0.94
- Upside Capture
- 105.17%
- Downside Capture
- 102.13%
Expense Ratio
FVAL has an expense ratio of 0.15%, which is considered low.
Return for Risk
Risk / Return Rank
FVAL ranks 61 for risk / return — better than 61% of ETFs on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Fidelity Value Factor ETF (FVAL) and compare them to a chosen benchmark (S&P 500 Index).
| FVAL | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.02 | 0.90 | +0.13 |
Sortino ratioReturn per unit of downside risk | 1.58 | 1.39 | +0.20 |
Omega ratioGain probability vs. loss probability | 1.24 | 1.21 | +0.03 |
Calmar ratioReturn relative to maximum drawdown | 1.60 | 1.40 | +0.20 |
Martin ratioReturn relative to average drawdown | 7.26 | 6.61 | +0.66 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore FVAL risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
Fidelity Value Factor ETF provided a 1.71% dividend yield over the last twelve months, with an annual payout of $1.19 per share. The fund has been increasing its distributions for 5 consecutive years.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.19 | $1.17 | $0.98 | $0.90 | $0.79 | $0.73 | $0.65 | $0.67 | $0.61 | $0.53 | $0.12 |
Dividend yield | 1.71% | 1.61% | 1.60% | 1.69% | 1.79% | 1.41% | 1.61% | 1.77% | 2.06% | 1.62% | 0.45% |
Monthly Dividends
The table displays the monthly dividend distributions for Fidelity Value 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 | $0.30 | $0.30 | |||||||||
| 2025 | $0.00 | $0.00 | $0.28 | $0.00 | $0.00 | $0.23 | $0.00 | $0.00 | $0.28 | $0.00 | $0.00 | $0.38 | $1.17 |
| 2024 | $0.00 | $0.00 | $0.25 | $0.00 | $0.00 | $0.25 | $0.00 | $0.00 | $0.25 | $0.00 | $0.00 | $0.24 | $0.98 |
| 2023 | $0.00 | $0.00 | $0.24 | $0.00 | $0.00 | $0.21 | $0.00 | $0.00 | $0.20 | $0.00 | $0.00 | $0.25 | $0.90 |
| 2022 | $0.00 | $0.00 | $0.20 | $0.00 | $0.00 | $0.19 | $0.00 | $0.00 | $0.22 | $0.00 | $0.00 | $0.18 | $0.79 |
| 2021 | $0.00 | $0.00 | $0.16 | $0.00 | $0.00 | $0.16 | $0.00 | $0.00 | $0.20 | $0.00 | $0.00 | $0.22 | $0.73 |
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 Value 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 Value Factor ETF was 37.26%, occurring on Mar 23, 2020. Recovery took 166 trading sessions.
The current Fidelity Value Factor ETF drawdown is 6.32%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -37.26% | Feb 13, 2020 | 27 | Mar 23, 2020 | 166 | Nov 16, 2020 | 193 |
| -23.42% | Jan 5, 2022 | 186 | Sep 30, 2022 | 300 | Dec 11, 2023 | 486 |
| -19.69% | Sep 24, 2018 | 64 | Dec 24, 2018 | 137 | Jul 12, 2019 | 201 |
| -18.39% | Feb 19, 2025 | 35 | Apr 8, 2025 | 59 | Jul 3, 2025 | 94 |
| -10.78% | Jan 29, 2018 | 39 | Mar 23, 2018 | 108 | Aug 27, 2018 | 147 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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