FLRG vs. FSMD
Compare and contrast key facts about Fidelity U.S. Multifactor ETF (FLRG) and Fidelity Small-Mid Multifactor ETF (FSMD).
FLRG and FSMD are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FLRG is a passively managed fund by Fidelity that tracks the performance of the Fidelity U.S. Multifactor Index. It was launched on Sep 15, 2020. FSMD is a passively managed fund by Fidelity that tracks the performance of the Fidelity Small-Mid Multifactor Index. It was launched on Feb 26, 2019. Both FLRG and FSMD are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FLRG or FSMD.
Key characteristics
| FLRG | FSMD | |
|---|---|---|
| YTD Return | 28.73% | 23.76% |
| 1Y Return | 37.24% | 41.46% |
| 3Y Return (Ann) | 11.75% | 8.37% |
| Sharpe Ratio | 3.33 | 2.65 |
| Sortino Ratio | 4.51 | 3.73 |
| Omega Ratio | 1.62 | 1.47 |
| Calmar Ratio | 6.11 | 4.12 |
| Martin Ratio | 23.07 | 16.95 |
| Ulcer Index | 1.71% | 2.55% |
| Daily Std Dev | 11.78% | 16.29% |
| Max Drawdown | -19.64% | -40.67% |
| Current Drawdown | -0.06% | 0.00% |
Correlation
The correlation between FLRG and FSMD is 0.84, 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 28.73% return, which is significantly higher than FSMD's 23.76% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FLRG vs. FSMD - Expense Ratio Comparison
Both FLRG and FSMD have an expense ratio of 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.
Dividends
FLRG vs. FSMD - Dividend Comparison
FLRG's dividend yield for the trailing twelve months is around 1.22%, more than FSMD's 1.16% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|
FLRG Fidelity U.S. Multifactor ETF | 1.22% | 1.39% | 1.62% | 1.36% | 1.47% | 0.00% |
FSMD Fidelity Small-Mid Multifactor ETF | 1.16% | 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.
Volatility
FLRG vs. FSMD - Volatility Comparison
The current volatility for Fidelity U.S. Multifactor ETF (FLRG) is 4.12%, while Fidelity Small-Mid Multifactor ETF (FSMD) has a volatility of 5.73%. 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.