ESML vs. FSMD

Last updated Jun 4, 2026

ESML (iShares ESG Aware MSCI USA Small-Cap ETF) and FSMD (Fidelity Small-Mid Multifactor ETF) are both Small Cap Growth Equities funds - ESML tracks the MSCI USA Small Cap Extended ESG Focus Index while FSMD tracks the Fidelity Small-Mid Multifactor Index. Both are passively managed. Over the past 5 years, ESML returned 7.18%/yr vs 9.66%/yr for FSMD. With a 0.96 correlation, they move nearly in lockstep. ESML charges 0.17%/yr vs 0.29%/yr for FSMD.

Performance

ESML vs. FSMD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware MSCI USA Small-Cap ETF (ESML) and Fidelity Small-Mid Multifactor ETF (FSMD). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ESML achieves a 16.26% return, which is significantly higher than FSMD's 14.85% return.

ESML

• 1D: -0.47%
• 1M: 3.86%
• YTD: 16.26%
• 6M: 15.99%
• 1Y: 34.21%
• 3Y*: 17.27%
• 5Y*: 7.18%
• 10Y*: —

FSMD

• 1D: -0.08%
• 1M: 3.46%
• YTD: 14.85%
• 6M: 14.81%
• 1Y: 25.71%
• 3Y*: 17.63%
• 5Y*: 9.66%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

ESML vs. FSMD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
ESML iShares ESG Aware MSCI USA Small-Cap ETF	16.26%	10.62%	12.01%	17.27%	-17.28%	19.28%	19.56%	9.51%
FSMD Fidelity Small-Mid Multifactor ETF	14.85%	8.70%	15.18%	17.37%	-11.15%	26.40%	8.94%	8.81%

Correlation

The correlation between ESML and FSMD is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.95
Correlation (3Y) Calculated over the trailing 3-year period	0.97
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (All Time) Calculated using the full available price history since Mar 1, 2019	0.96

The correlation between ESML and FSMD has been stable across timeframes, ranging from 0.95 to 0.97 - a consistent structural relationship.

ESML vs. FSMD - Sectors Allocation Comparison

Sectors	ESML	FSMD
Industrials	19.3%	20.7%
Technology	17.5%	18.2%
Financial Services	14.4%	15.4%
Healthcare	12.6%	11.6%
Consumer Cyclical	11.3%	11.1%
Real Estate	6.5%	6.2%
Energy	5.9%	4.6%
Basic Materials	3.9%	3.9%
Consumer Defensive	3.7%	3.3%
Utilities	2.7%	2.2%
Communication Services	2.2%	2.8%

Return for Risk

ESML vs. FSMD — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ESML

ESML Risk / Return Rank: 66
ESML Sharpe Ratio Rank: 61
ESML Sortino Ratio Rank: 62
ESML Omega Ratio Rank: 57
ESML Calmar Ratio Rank: 75
ESML Martin Ratio Rank: 74

FSMD

FSMD Risk / Return Rank: 53
FSMD Sharpe Ratio Rank: 48
FSMD Sortino Ratio Rank: 50
FSMD Omega Ratio Rank: 46
FSMD Calmar Ratio Rank: 61
FSMD Martin Ratio Rank: 61

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ESML vs. FSMD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI USA Small-Cap ETF (ESML) and Fidelity Small-Mid Multifactor ETF (FSMD). 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.

	ESML	FSMD	Difference
Sharpe ratio: Return per unit of total volatility	2.07	1.69	+0.38
Sortino ratio: Return per unit of downside risk	2.95	2.47	+0.48
Omega ratio: Gain probability vs. loss probability	1.35	1.30	+0.05
Calmar ratio: Return relative to maximum drawdown	3.80	3.06	+0.74
Martin ratio: Return relative to average drawdown	14.00	11.03	+2.97
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ESML vs. FSMD - Sharpe Ratio Comparison

The current ESML Sharpe Ratio is 2.07, which is comparable to the FSMD Sharpe Ratio of 1.69. The chart below compares the historical Sharpe Ratios of ESML and FSMD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ESML	FSMD	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.07	1.69	+0.38
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.34	0.53	-0.19
Sharpe Ratio (All Time) Calculated using the full available price history	0.46	0.55	-0.09

Drawdowns

ESML vs. FSMD - Drawdown Comparison

The maximum ESML drawdown since its inception was -41.97%, roughly equal to the maximum FSMD drawdown of -40.67%. Use the drawdown chart below to compare losses from any high point for ESML and FSMD.

Drawdown Indicators

	ESML	FSMD	Difference
Max Drawdown Largest peak-to-trough decline	-41.97%	-40.67%	-1.30%
Max Drawdown (1Y) Largest decline over 1 year	-9.04%	-8.44%	-0.60%
Max Drawdown (3Y) Largest decline over 3 years	-26.68%	-22.16%	-4.52%
Max Drawdown (5Y) Largest decline over 5 years	-28.61%	-22.16%	-6.45%
Current Drawdown Current decline from peak	-0.47%	-0.08%	-0.39%
Average Drawdown Average peak-to-trough decline	-8.97%	-6.00%	-2.97%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.45%	2.34%	+0.11%

Volatility

ESML vs. FSMD - Volatility Comparison

iShares ESG Aware MSCI USA Small-Cap ETF (ESML) and Fidelity Small-Mid Multifactor ETF (FSMD) have volatilities of 4.25% and 4.45%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESML	FSMD	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.25%	4.45%	-0.20%
Volatility (6M) Calculated over the trailing 6-month period	11.67%	11.37%	+0.30%
Volatility (1Y) Calculated over the trailing 1-year period	16.66%	15.26%	+1.40%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.23%	18.48%	+2.75%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.40%	21.42%	+1.98%

ESML vs. FSMD - Expense Ratio Comparison

ESML has a 0.17% expense ratio, which is lower than FSMD's 0.29% expense ratio.

Dividends

ESML vs. FSMD - Dividend Comparison

ESML's dividend yield for the trailing twelve months is around 0.95%, less than FSMD's 1.21% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
ESML iShares ESG Aware MSCI USA Small-Cap ETF	0.95%	1.08%	1.22%	1.31%	1.46%	0.94%	0.99%	1.10%	1.07%
FSMD Fidelity Small-Mid Multifactor ETF	1.21%	1.33%	1.29%	1.37%	1.54%	1.18%	1.32%	1.37%	0.00%

Frequently Asked Questions

Can I hold both ESML and FSMD in my portfolio?

With a correlation of 0.95, ESML and FSMD move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, ESML or FSMD?

FSMD has higher volatility (4.45%) compared to ESML (4.25%). In terms of maximum drawdown, ESML dropped -41.97% vs FSMD's -40.67%.

Which ETF is better, ESML or FSMD?

On 5-year performance, FSMD leads with 9.66% vs 7.18% for ESML. On fees, ESML is cheaper at 0.17% per year. On volatility, ESML has been the lower-risk option at 4.25%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESML or FSMD?

Over the 5-year period, FSMD has performed better with a 9.66% return vs 7.18%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESML or FSMD?

ESML is cheaper with a 0.17% expense ratio, compared with 0.29% for FSMD.

Which ETF pays a higher dividend yield, ESML or FSMD?

FSMD has the higher dividend yield at 1.21%, compared with 0.95% for ESML.

What is the main difference between ESML and FSMD?

ESML tracks MSCI USA Small Cap Extended ESG Focus Index, while FSMD tracks Fidelity Small-Mid Multifactor Index. They also come from different issuers: iShares and Fidelity. Their fees differ too: 0.17% for ESML and 0.29% for FSMD.

Which has better risk-adjusted returns?

ESML currently has the higher Sharpe Ratio (2.07 vs 1.69), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.