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FDRR vs. FDLO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FDRR vs. FDLO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Dividend ETF for Rising Rates (FDRR) and Fidelity Low Volatility Factor ETF (FDLO). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.23%
11.29%
FDRR
FDLO

Returns By Period

In the year-to-date period, FDRR achieves a 23.10% return, which is significantly higher than FDLO's 17.72% return.


FDRR

YTD

23.10%

1M

0.63%

6M

14.23%

1Y

30.75%

5Y (annualized)

12.52%

10Y (annualized)

N/A

FDLO

YTD

17.72%

1M

-0.23%

6M

11.29%

1Y

21.09%

5Y (annualized)

12.00%

10Y (annualized)

N/A

Key characteristics


FDRRFDLO
Sharpe Ratio2.752.48
Sortino Ratio3.753.35
Omega Ratio1.511.46
Calmar Ratio4.074.83
Martin Ratio17.9715.80
Ulcer Index1.73%1.38%
Daily Std Dev11.31%8.79%
Max Drawdown-36.52%-34.35%
Current Drawdown-0.26%-1.23%

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FDRR vs. FDLO - Expense Ratio Comparison

Both FDRR and FDLO have an expense ratio of 0.29%.


FDRR
Fidelity Dividend ETF for Rising Rates
Expense ratio chart for FDRR: 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 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%

Correlation

-0.50.00.51.00.9

The correlation between FDRR and FDLO is 0.87, 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

FDRR vs. FDLO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Dividend ETF for Rising Rates (FDRR) and Fidelity Low Volatility Factor ETF (FDLO). 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.


Sharpe ratio
The chart of Sharpe ratio for FDRR, currently valued at 2.75, compared to the broader market0.002.004.002.752.48
The chart of Sortino ratio for FDRR, currently valued at 3.75, compared to the broader market-2.000.002.004.006.008.0010.0012.003.753.35
The chart of Omega ratio for FDRR, currently valued at 1.51, compared to the broader market0.501.001.502.002.503.001.511.46
The chart of Calmar ratio for FDRR, currently valued at 4.07, compared to the broader market0.005.0010.0015.004.074.83
The chart of Martin ratio for FDRR, currently valued at 17.97, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.9715.80
FDRR
FDLO

The current FDRR Sharpe Ratio is 2.75, which is comparable to the FDLO Sharpe Ratio of 2.48. The chart below compares the historical Sharpe Ratios of FDRR and FDLO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.75
2.48
FDRR
FDLO

Dividends

FDRR vs. FDLO - Dividend Comparison

FDRR's dividend yield for the trailing twelve months is around 2.16%, more than FDLO's 1.27% yield.


TTM20232022202120202019201820172016
FDRR
Fidelity Dividend ETF for Rising Rates
2.16%2.93%2.75%2.09%2.85%2.89%3.20%2.89%0.61%
FDLO
Fidelity Low Volatility Factor ETF
1.27%1.35%1.49%1.11%1.38%1.55%1.76%1.61%0.55%

Drawdowns

FDRR vs. FDLO - Drawdown Comparison

The maximum FDRR drawdown since its inception was -36.52%, which is greater than FDLO's maximum drawdown of -34.35%. Use the drawdown chart below to compare losses from any high point for FDRR and FDLO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.26%
-1.23%
FDRR
FDLO

Volatility

FDRR vs. FDLO - Volatility Comparison

Fidelity Dividend ETF for Rising Rates (FDRR) has a higher volatility of 3.23% compared to Fidelity Low Volatility Factor ETF (FDLO) at 3.01%. This indicates that FDRR's price experiences larger fluctuations and is considered to be riskier than FDLO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.23%
3.01%
FDRR
FDLO