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

Key characteristics


FLRGFSMD
YTD Return14.48%4.23%
1Y Return25.10%16.35%
3Y Return (Ann)10.87%5.40%
Sharpe Ratio2.391.06
Daily Std Dev10.63%14.68%
Max Drawdown-19.64%-40.67%
Current Drawdown-0.17%-3.28%

Correlation

-0.50.00.51.00.8

The correlation between FLRG and FSMD is 0.85, 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.

Performance

FLRG vs. FSMD - Performance Comparison

In the year-to-date period, FLRG achieves a 14.48% return, which is significantly higher than FSMD's 4.23% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


50.00%55.00%60.00%65.00%70.00%2024FebruaryMarchAprilMayJune
70.83%
65.56%
FLRG
FSMD

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Fidelity U.S. Multifactor ETF

Fidelity Small-Mid Multifactor ETF

FLRG vs. FSMD - Expense Ratio Comparison

Both FLRG and FSMD have an expense ratio of 0.29%.


FLRG
Fidelity U.S. Multifactor ETF
Expense ratio chart for FLRG: 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 FSMD: 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%

Risk-Adjusted Performance

FLRG vs. FSMD - Risk-Adjusted Performance Comparison

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


FLRG
Sharpe ratio
The chart of Sharpe ratio for FLRG, currently valued at 2.39, compared to the broader market0.002.004.006.002.39
Sortino ratio
The chart of Sortino ratio for FLRG, currently valued at 3.39, compared to the broader market0.005.0010.003.39
Omega ratio
The chart of Omega ratio for FLRG, currently valued at 1.42, compared to the broader market0.501.001.502.002.503.003.501.42
Calmar ratio
The chart of Calmar ratio for FLRG, currently valued at 3.30, compared to the broader market0.005.0010.0015.0020.003.30
Martin ratio
The chart of Martin ratio for FLRG, currently valued at 11.84, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.84
FSMD
Sharpe ratio
The chart of Sharpe ratio for FSMD, currently valued at 1.06, compared to the broader market0.002.004.006.001.06
Sortino ratio
The chart of Sortino ratio for FSMD, currently valued at 1.58, compared to the broader market0.005.0010.001.58
Omega ratio
The chart of Omega ratio for FSMD, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.003.501.18
Calmar ratio
The chart of Calmar ratio for FSMD, currently valued at 1.08, compared to the broader market0.005.0010.0015.0020.001.08
Martin ratio
The chart of Martin ratio for FSMD, currently valued at 3.72, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.72

FLRG vs. FSMD - Sharpe Ratio Comparison

The current FLRG Sharpe Ratio is 2.39, which is higher than the FSMD Sharpe Ratio of 1.06. The chart below compares the 12-month rolling Sharpe Ratio of FLRG and FSMD.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.002024FebruaryMarchAprilMayJune
2.39
1.06
FLRG
FSMD

Dividends

FLRG vs. FSMD - Dividend Comparison

FLRG's dividend yield for the trailing twelve months is around 1.24%, less than FSMD's 1.33% yield.


TTM20232022202120202019
FLRG
Fidelity U.S. Multifactor ETF
1.24%1.39%1.62%1.36%1.47%0.00%
FSMD
Fidelity Small-Mid Multifactor ETF
1.33%1.37%1.54%1.18%1.32%1.37%

Drawdowns

FLRG vs. FSMD - Drawdown Comparison

The maximum FLRG drawdown since its inception was -19.64%, smaller than the maximum FSMD drawdown of -40.67%. Use the drawdown chart below to compare losses from any high point for FLRG and FSMD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-0.17%
-3.28%
FLRG
FSMD

Volatility

FLRG vs. FSMD - Volatility Comparison

The current volatility for Fidelity U.S. Multifactor ETF (FLRG) is 2.13%, while Fidelity Small-Mid Multifactor ETF (FSMD) has a volatility of 3.76%. This indicates that FLRG experiences smaller price fluctuations and is considered to be less risky than FSMD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%2024FebruaryMarchAprilMayJune
2.13%
3.76%
FLRG
FSMD