FDLO vs. FMIL
Compare and contrast key facts about Fidelity Low Volatility Factor ETF (FDLO) and Fidelity New Millennium ETF (FMIL).
FDLO and FMIL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FDLO is a passively managed fund by Fidelity that tracks the performance of the Fidelity U.S. Low Volatility Factor Index. It was launched on Sep 12, 2016. FMIL is an actively managed fund by Fidelity. It was launched on Jun 3, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FDLO or FMIL.
Performance
FDLO vs. FMIL - Performance Comparison
Returns By Period
In the year-to-date period, FDLO achieves a 17.72% return, which is significantly lower than FMIL's 30.26% return.
FDLO
17.72%
-0.23%
11.29%
21.09%
12.00%
N/A
FMIL
30.26%
0.39%
11.65%
36.11%
N/A
N/A
Key characteristics
| FDLO | FMIL | |
|---|---|---|
| Sharpe Ratio | 2.48 | 2.76 |
| Sortino Ratio | 3.35 | 3.75 |
| Omega Ratio | 1.46 | 1.50 |
| Calmar Ratio | 4.83 | 4.08 |
| Martin Ratio | 15.80 | 19.34 |
| Ulcer Index | 1.38% | 1.88% |
| Daily Std Dev | 8.79% | 13.19% |
| Max Drawdown | -34.35% | -15.87% |
| Current Drawdown | -1.23% | -1.80% |
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FDLO vs. FMIL - Expense Ratio Comparison
FDLO has a 0.29% expense ratio, which is lower than FMIL's 0.59% expense ratio.
Correlation
The correlation between FDLO and FMIL is 0.77, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
FDLO vs. FMIL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity Low Volatility Factor ETF (FDLO) and Fidelity New Millennium ETF (FMIL). 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.
Dividends
FDLO vs. FMIL - Dividend Comparison
FDLO's dividend yield for the trailing twelve months is around 1.27%, more than FMIL's 0.60% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
FDLO Fidelity Low Volatility Factor ETF | 1.27% | 1.35% | 1.49% | 1.11% | 1.38% | 1.55% | 1.76% | 1.61% | 0.55% |
FMIL Fidelity New Millennium ETF | 0.60% | 0.23% | 1.43% | 1.68% | 0.48% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
FDLO vs. FMIL - Drawdown Comparison
The maximum FDLO drawdown since its inception was -34.35%, which is greater than FMIL's maximum drawdown of -15.87%. Use the drawdown chart below to compare losses from any high point for FDLO and FMIL. For additional features, visit the drawdowns tool.
Volatility
FDLO vs. FMIL - Volatility Comparison
The current volatility for Fidelity Low Volatility Factor ETF (FDLO) is 3.01%, while Fidelity New Millennium ETF (FMIL) has a volatility of 4.11%. This indicates that FDLO experiences smaller price fluctuations and is considered to be less risky than FMIL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.