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

Key characteristics


FLRGSCHG
YTD Return14.48%21.40%
1Y Return25.10%36.51%
3Y Return (Ann)10.87%12.34%
Sharpe Ratio2.392.47
Daily Std Dev10.63%15.39%
Max Drawdown-19.64%-34.59%
Current Drawdown-0.17%-0.88%

Correlation

-0.50.00.51.00.8

The correlation between FLRG and SCHG 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. SCHG - Performance Comparison

In the year-to-date period, FLRG achieves a 14.48% return, which is significantly lower than SCHG's 21.40% 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%
82.57%
FLRG
SCHG

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

Schwab U.S. Large-Cap Growth ETF

FLRG vs. SCHG - Expense Ratio Comparison

FLRG has a 0.29% expense ratio, which is higher than SCHG's 0.04% 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 SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

FLRG vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity U.S. Multifactor ETF (FLRG) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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 market0.0020.0040.0060.0080.00100.0011.84
SCHG
Sharpe ratio
The chart of Sharpe ratio for SCHG, currently valued at 2.46, compared to the broader market0.002.004.006.002.47
Sortino ratio
The chart of Sortino ratio for SCHG, currently valued at 3.34, compared to the broader market0.005.0010.003.34
Omega ratio
The chart of Omega ratio for SCHG, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.003.501.43
Calmar ratio
The chart of Calmar ratio for SCHG, currently valued at 2.51, compared to the broader market0.005.0010.0015.0020.002.51
Martin ratio
The chart of Martin ratio for SCHG, currently valued at 12.64, compared to the broader market0.0020.0040.0060.0080.00100.0012.64

FLRG vs. SCHG - Sharpe Ratio Comparison

The current FLRG Sharpe Ratio is 2.39, which roughly equals the SCHG Sharpe Ratio of 2.47. The chart below compares the 12-month rolling Sharpe Ratio of FLRG and SCHG.


Rolling 12-month Sharpe Ratio1.502.002.503.003.502024FebruaryMarchAprilMayJune
2.39
2.47
FLRG
SCHG

Dividends

FLRG vs. SCHG - Dividend Comparison

FLRG's dividend yield for the trailing twelve months is around 1.24%, more than SCHG's 0.31% 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%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.31%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.27%1.22%1.09%1.07%

Drawdowns

FLRG vs. SCHG - Drawdown Comparison

The maximum FLRG drawdown since its inception was -19.64%, smaller than the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for FLRG and SCHG. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-0.17%
-0.88%
FLRG
SCHG

Volatility

FLRG vs. SCHG - Volatility Comparison

The current volatility for Fidelity U.S. Multifactor ETF (FLRG) is 2.13%, while Schwab U.S. Large-Cap Growth ETF (SCHG) has a volatility of 3.55%. This indicates that FLRG experiences smaller price fluctuations and is considered to be less risky than SCHG 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%
3.55%
FLRG
SCHG