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FLRG vs. FMIL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FLRG and FMIL is 0.88, 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.


-0.50.00.51.0
Correlation: 0.9

Performance

FLRG vs. FMIL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity U.S. Multifactor ETF (FLRG) and Fidelity New Millennium ETF (FMIL). The values are adjusted to include any dividend payments, if applicable.

60.00%80.00%100.00%120.00%140.00%December2025FebruaryMarchAprilMay
84.03%
122.78%
FLRG
FMIL

Key characteristics

Sharpe Ratio

FLRG:

0.99

FMIL:

0.56

Sortino Ratio

FLRG:

1.45

FMIL:

0.90

Omega Ratio

FLRG:

1.21

FMIL:

1.13

Calmar Ratio

FLRG:

1.07

FMIL:

0.57

Martin Ratio

FLRG:

4.19

FMIL:

2.13

Ulcer Index

FLRG:

4.21%

FMIL:

5.26%

Daily Std Dev

FLRG:

17.80%

FMIL:

19.90%

Max Drawdown

FLRG:

-19.64%

FMIL:

-19.72%

Current Drawdown

FLRG:

-5.50%

FMIL:

-7.96%

Returns By Period

In the year-to-date period, FLRG achieves a -0.03% return, which is significantly higher than FMIL's -2.99% return.


FLRG

YTD

-0.03%

1M

5.02%

6M

0.78%

1Y

15.04%

5Y*

N/A

10Y*

N/A

FMIL

YTD

-2.99%

1M

6.50%

6M

-1.99%

1Y

9.56%

5Y*

N/A

10Y*

N/A

*Annualized

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FLRG vs. FMIL - Expense Ratio Comparison

FLRG has a 0.29% expense ratio, which is lower than FMIL's 0.59% expense ratio.


Expense ratio chart for FMIL: current value is 0.59%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FMIL: 0.59%
Expense ratio chart for FLRG: current value is 0.29%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FLRG: 0.29%

Risk-Adjusted Performance

FLRG vs. FMIL — Risk-Adjusted Performance Rank

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

FLRG
The Risk-Adjusted Performance Rank of FLRG is 7878
Overall Rank
The Sharpe Ratio Rank of FLRG is 7777
Sharpe Ratio Rank
The Sortino Ratio Rank of FLRG is 7777
Sortino Ratio Rank
The Omega Ratio Rank of FLRG is 7878
Omega Ratio Rank
The Calmar Ratio Rank of FLRG is 8181
Calmar Ratio Rank
The Martin Ratio Rank of FLRG is 7979
Martin Ratio Rank

FMIL
The Risk-Adjusted Performance Rank of FMIL is 5555
Overall Rank
The Sharpe Ratio Rank of FMIL is 5252
Sharpe Ratio Rank
The Sortino Ratio Rank of FMIL is 5353
Sortino Ratio Rank
The Omega Ratio Rank of FMIL is 5555
Omega Ratio Rank
The Calmar Ratio Rank of FMIL is 5858
Calmar Ratio Rank
The Martin Ratio Rank of FMIL is 5555
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FLRG vs. FMIL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity U.S. Multifactor ETF (FLRG) 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.


The chart of Sharpe ratio for FLRG, currently valued at 0.99, compared to the broader market-1.000.001.002.003.004.00
FLRG: 0.99
FMIL: 0.56
The chart of Sortino ratio for FLRG, currently valued at 1.45, compared to the broader market-2.000.002.004.006.008.00
FLRG: 1.45
FMIL: 0.90
The chart of Omega ratio for FLRG, currently valued at 1.21, compared to the broader market0.501.001.502.002.50
FLRG: 1.21
FMIL: 1.13
The chart of Calmar ratio for FLRG, currently valued at 1.07, compared to the broader market0.002.004.006.008.0010.0012.00
FLRG: 1.07
FMIL: 0.57
The chart of Martin ratio for FLRG, currently valued at 4.19, compared to the broader market0.0020.0040.0060.00
FLRG: 4.19
FMIL: 2.13

The current FLRG Sharpe Ratio is 0.99, which is higher than the FMIL Sharpe Ratio of 0.56. The chart below compares the historical Sharpe Ratios of FLRG and FMIL, 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 Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
0.99
0.56
FLRG
FMIL

Dividends

FLRG vs. FMIL - Dividend Comparison

FLRG's dividend yield for the trailing twelve months is around 1.50%, more than FMIL's 0.49% yield.


TTM20242023202220212020
FLRG
Fidelity U.S. Multifactor ETF
1.50%1.42%1.39%1.62%1.36%1.47%
FMIL
Fidelity New Millennium ETF
0.49%0.35%0.23%1.43%1.68%0.48%

Drawdowns

FLRG vs. FMIL - Drawdown Comparison

The maximum FLRG drawdown since its inception was -19.64%, roughly equal to the maximum FMIL drawdown of -19.72%. Use the drawdown chart below to compare losses from any high point for FLRG and FMIL. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-5.50%
-7.96%
FLRG
FMIL

Volatility

FLRG vs. FMIL - Volatility Comparison

The current volatility for Fidelity U.S. Multifactor ETF (FLRG) is 12.13%, while Fidelity New Millennium ETF (FMIL) has a volatility of 14.07%. This indicates that FLRG 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
12.13%
14.07%
FLRG
FMIL