FSMD vs. ESML

Last updated Jun 5, 2026

FSMD (Fidelity Small-Mid Multifactor ETF) and ESML (iShares ESG Aware MSCI USA Small-Cap ETF) are both Small Cap Growth Equities funds - FSMD tracks the Fidelity Small-Mid Multifactor Index while ESML tracks the MSCI USA Small Cap Extended ESG Focus Index. Both are passively managed. Over the past 5 years, FSMD returned 9.77%/yr vs 7.34%/yr for ESML. With a 0.96 correlation, they move nearly in lockstep. FSMD charges 0.29%/yr vs 0.17%/yr for ESML.

Performance

FSMD vs. ESML - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Small-Mid Multifactor ETF (FSMD) and iShares ESG Aware MSCI USA Small-Cap ETF (ESML). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FSMD achieves a 15.44% return, which is significantly lower than ESML's 17.14% return.

FSMD

• 1D: 0.51%
• 1M: 2.13%
• YTD: 15.44%
• 6M: 15.12%
• 1Y: 26.51%
• 3Y*: 18.26%
• 5Y*: 9.77%
• 10Y*: —

ESML

• 1D: 0.75%
• 1M: 3.07%
• YTD: 17.14%
• 6M: 16.21%
• 1Y: 35.49%
• 3Y*: 18.00%
• 5Y*: 7.34%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

FSMD vs. ESML - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
FSMD Fidelity Small-Mid Multifactor ETF	15.44%	8.70%	15.18%	17.37%	-11.15%	26.40%	8.94%	8.81%
ESML iShares ESG Aware MSCI USA Small-Cap ETF	17.14%	10.62%	12.01%	17.27%	-17.28%	19.28%	19.56%	9.51%

Correlation

The correlation between FSMD and ESML is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.95
Correlation (3Y) Calculated over the trailing 3-year period	0.97
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (All Time) Calculated using the full available price history since Mar 1, 2019	0.96

The correlation between FSMD and ESML has been stable across timeframes, ranging from 0.95 to 0.97 - a consistent structural relationship.

FSMD vs. ESML - Sectors Allocation Comparison

Sectors	FSMD	ESML
Industrials	20.7%	19.3%
Technology	18.2%	17.5%
Financial Services	15.4%	14.4%
Healthcare	11.6%	12.6%
Consumer Cyclical	11.1%	11.3%
Real Estate	6.2%	6.5%
Energy	4.6%	5.9%
Basic Materials	3.9%	3.9%
Consumer Defensive	3.3%	3.7%
Communication Services	2.8%	2.2%
Utilities	2.2%	2.7%

Return for Risk

FSMD vs. ESML — Risk / Return Rank

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

FSMD

FSMD Risk / Return Rank: 57
FSMD Sharpe Ratio Rank: 52
FSMD Sortino Ratio Rank: 54
FSMD Omega Ratio Rank: 50
FSMD Calmar Ratio Rank: 65
FSMD Martin Ratio Rank: 64

ESML

ESML Risk / Return Rank: 70
ESML Sharpe Ratio Rank: 66
ESML Sortino Ratio Rank: 68
ESML Omega Ratio Rank: 61
ESML Calmar Ratio Rank: 78
ESML Martin Ratio Rank: 77

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FSMD vs. ESML - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Small-Mid Multifactor ETF (FSMD) and iShares ESG Aware MSCI USA Small-Cap ETF (ESML). 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.

	FSMD	ESML	Difference
Sharpe ratio: Return per unit of total volatility	1.75	2.15	-0.40
Sortino ratio: Return per unit of downside risk	2.54	3.05	-0.51
Omega ratio: Gain probability vs. loss probability	1.31	1.37	-0.06
Calmar ratio: Return relative to maximum drawdown	3.16	3.95	-0.79
Martin ratio: Return relative to average drawdown	11.37	14.52	-3.15
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FSMD vs. ESML - Sharpe Ratio Comparison

The current FSMD Sharpe Ratio is 1.75, which is comparable to the ESML Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of FSMD and ESML, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FSMD	ESML	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.75	2.15	-0.40
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.53	0.35	+0.18
Sharpe Ratio (All Time) Calculated using the full available price history	0.56	0.46	+0.09

Drawdowns

FSMD vs. ESML - Drawdown Comparison

The maximum FSMD drawdown since its inception was -40.67%, roughly equal to the maximum ESML drawdown of -41.97%. Use the drawdown chart below to compare losses from any high point for FSMD and ESML.

Drawdown Indicators

	FSMD	ESML	Difference
Max Drawdown Largest peak-to-trough decline	-40.67%	-41.97%	+1.30%
Max Drawdown (1Y) Largest decline over 1 year	-8.44%	-9.04%	+0.60%
Max Drawdown (3Y) Largest decline over 3 years	-22.16%	-26.68%	+4.52%
Max Drawdown (5Y) Largest decline over 5 years	-22.16%	-28.61%	+6.45%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-6.00%	-8.97%	+2.97%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.34%	2.45%	-0.11%

Volatility

FSMD vs. ESML - Volatility Comparison

Fidelity Small-Mid Multifactor ETF (FSMD) and iShares ESG Aware MSCI USA Small-Cap ETF (ESML) have volatilities of 4.13% and 4.06%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FSMD	ESML	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.13%	4.06%	+0.07%
Volatility (6M) Calculated over the trailing 6-month period	11.37%	11.67%	-0.30%
Volatility (1Y) Calculated over the trailing 1-year period	15.25%	16.62%	-1.37%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.48%	21.23%	-2.75%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.42%	23.40%	-1.98%

FSMD vs. ESML - Expense Ratio Comparison

FSMD has a 0.29% expense ratio, which is higher than ESML's 0.17% expense ratio.

Dividends

FSMD vs. ESML - Dividend Comparison

FSMD's dividend yield for the trailing twelve months is around 1.20%, more than ESML's 0.94% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
ESML iShares ESG Aware MSCI USA Small-Cap ETF	0.94%	1.08%	1.22%	1.31%	1.46%	0.94%	0.99%	1.10%	1.07%
FSMD Fidelity Small-Mid Multifactor ETF	1.20%	1.33%	1.29%	1.37%	1.54%	1.18%	1.32%	1.37%	0.00%

Frequently Asked Questions

Can I hold both FSMD and ESML in my portfolio?

With a correlation of 0.95, FSMD and ESML move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, FSMD or ESML?

FSMD has higher volatility (4.13%) compared to ESML (4.06%). In terms of maximum drawdown, FSMD dropped -40.67% vs ESML's -41.97%.

Which ETF is better, FSMD or ESML?

On 5-year performance, FSMD leads with 9.77% vs 7.34% for ESML. On fees, ESML is cheaper at 0.17% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FSMD or ESML?

Over the 5-year period, FSMD has performed better with a 9.77% return vs 7.34%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FSMD or ESML?

ESML is cheaper with a 0.17% expense ratio, compared with 0.29% for FSMD.

Which ETF pays a higher dividend yield, FSMD or ESML?

FSMD has the higher dividend yield at 1.20%, compared with 0.94% for ESML.

What is the main difference between FSMD and ESML?

FSMD tracks Fidelity Small-Mid Multifactor Index, while ESML tracks MSCI USA Small Cap Extended ESG Focus Index. They also come from different issuers: Fidelity and iShares. Their fees differ too: 0.29% for FSMD and 0.17% for ESML.

Which has better risk-adjusted returns?

ESML currently has the higher Sharpe Ratio (2.15 vs 1.75), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.