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

Key characteristics


FLRGQQQ
YTD Return14.48%17.41%
1Y Return25.10%31.83%
3Y Return (Ann)10.87%12.07%
Sharpe Ratio2.392.13
Daily Std Dev10.63%15.64%
Max Drawdown-19.64%-82.98%
Current Drawdown-0.17%-1.04%

Correlation

-0.50.00.51.00.8

The correlation between FLRG and QQQ 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. QQQ - Performance Comparison

In the year-to-date period, FLRG achieves a 14.48% return, which is significantly lower than QQQ's 17.41% 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%60.00%70.00%80.00%2024FebruaryMarchAprilMayJune
70.83%
81.87%
FLRG
QQQ

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

Invesco QQQ

FLRG vs. QQQ - Expense Ratio Comparison

FLRG has a 0.29% expense ratio, which is higher than QQQ's 0.20% expense ratio.


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 QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

FLRG vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity U.S. Multifactor ETF (FLRG) and Invesco QQQ (QQQ). 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
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.13, compared to the broader market0.002.004.006.002.13
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.92, compared to the broader market0.005.0010.002.92
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.003.501.37
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.41, compared to the broader market0.005.0010.0015.0020.002.41
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 10.07, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.07

FLRG vs. QQQ - Sharpe Ratio Comparison

The current FLRG Sharpe Ratio is 2.39, which roughly equals the QQQ Sharpe Ratio of 2.13. The chart below compares the 12-month rolling Sharpe Ratio of FLRG and QQQ.


Rolling 12-month Sharpe Ratio1.502.002.503.002024FebruaryMarchAprilMayJune
2.39
2.13
FLRG
QQQ

Dividends

FLRG vs. QQQ - Dividend Comparison

FLRG's dividend yield for the trailing twelve months is around 1.24%, more than QQQ's 0.44% yield.


TTM20232022202120202019201820172016201520142013
FLRG
Fidelity U.S. Multifactor ETF
1.24%1.39%1.62%1.36%1.47%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.44%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%

Drawdowns

FLRG vs. QQQ - Drawdown Comparison

The maximum FLRG drawdown since its inception was -19.64%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for FLRG and QQQ. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-0.17%
-1.04%
FLRG
QQQ

Volatility

FLRG vs. QQQ - Volatility Comparison

The current volatility for Fidelity U.S. Multifactor ETF (FLRG) is 2.13%, while Invesco QQQ (QQQ) has a volatility of 3.40%. This indicates that FLRG experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%2024FebruaryMarchAprilMayJune
2.13%
3.40%
FLRG
QQQ