SPHD vs. FSMD
SPHD (Invesco S&P 500® High Dividend Low Volatility ETF) and FSMD (Fidelity Small-Mid Multifactor ETF) are both exchange-traded funds - SPHD is a Dividend fund tracking the S&P 500 Low Volatility High Dividend Index, while FSMD is a Small Cap Growth Equities fund tracking the Fidelity Small-Mid Multifactor Index. Both are passively managed. Over the past 5 years, SPHD returned 6.57%/yr vs 10.41%/yr for FSMD. A 0.71 correlation means they provide meaningful diversification when combined. SPHD charges 0.30%/yr vs 0.29%/yr for FSMD.
Performance
SPHD vs. FSMD - Performance Comparison
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Returns By Period
In the year-to-date period, SPHD achieves a 8.51% return, which is significantly lower than FSMD's 18.15% return.
SPHD
- 1D
- -1.12%
- 1M
- 4.38%
- YTD
- 8.51%
- 6M
- 7.65%
- 1Y
- 12.70%
- 3Y*
- 11.55%
- 5Y*
- 6.57%
- 10Y*
- 7.41%
FSMD
- 1D
- 0.48%
- 1M
- 6.83%
- YTD
- 18.15%
- 6M
- 16.30%
- 1Y
- 30.28%
- 3Y*
- 17.72%
- 5Y*
- 10.41%
- 10Y*
- —
SPHD vs. FSMD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 8.51% | 3.41% | 18.08% | 1.32% | 0.58% | 24.98% | -9.98% | 8.64% |
FSMD Fidelity Small-Mid Multifactor ETF | 18.15% | 8.70% | 15.18% | 17.37% | -11.15% | 26.40% | 8.94% | 8.81% |
Correlation
The correlation between SPHD and FSMD is 0.50, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.50 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.60 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.68 |
Correlation (All Time) Calculated using the full available price history since Feb 28, 2019 | 0.71 |
Over the past year, the correlation between SPHD and FSMD has dropped to 0.50 - well below their long-term average of 0.71, suggesting their price drivers have been diverging.
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Return for Risk
SPHD vs. FSMD — Risk / Return Rank
SPHD
FSMD
SPHD vs. FSMD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SPHD | FSMD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.81 | ||
| Sortino ratioReturn per unit of downside risk | -1.08 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.34 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | 1.74 | 3.61 | -1.87 |
| Martin ratioReturn relative to average drawdown | 4.31 | 12.98 | -8.68 |
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Drawdowns
SPHD vs. FSMD - Drawdown Comparison
The maximum SPHD drawdown since its inception was -41.39%, roughly equal to the maximum FSMD drawdown of -40.67%. Use the drawdown chart below to compare losses from any high point for SPHD and FSMD.
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Drawdown Indicators
| SPHD | FSMD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.39% | -40.67% | -0.72% |
Max Drawdown (1Y)Largest decline over 1 year | -7.33% | -8.44% | +1.11% |
Max Drawdown (3Y)Largest decline over 3 years | -13.29% | -22.16% | +8.87% |
Max Drawdown (5Y)Largest decline over 5 years | -19.50% | -22.16% | +2.66% |
Max Drawdown (10Y)Largest decline over 10 years | -41.39% | — | — |
Current DrawdownCurrent decline from peak | -1.63% | 0.00% | -1.63% |
Average DrawdownAverage peak-to-trough decline | -4.70% | -5.98% | +1.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.96% | 2.34% | +0.62% |
Volatility
SPHD vs. FSMD - Volatility Comparison
The current volatility for Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) is 3.91%, while Fidelity Small-Mid Multifactor ETF (FSMD) has a volatility of 5.15%. This indicates that SPHD 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.
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Volatility by Period
| SPHD | FSMD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.91% | 5.15% | -1.24% |
Volatility (6M)Calculated over the trailing 6-month period | 7.86% | 11.81% | -3.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.27% | 15.64% | -4.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.21% | 18.55% | -4.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.66% | 21.42% | -3.76% |
SPHD vs. FSMD - Expense Ratio Comparison
SPHD has a 0.30% expense ratio, which is higher than FSMD's 0.29% expense ratio.
Dividends
SPHD vs. FSMD - Dividend Comparison
SPHD's dividend yield for the trailing twelve months is around 4.45%, more than FSMD's 1.18% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FSMD Fidelity Small-Mid Multifactor ETF | 1.18% | 1.33% | 1.29% | 1.37% | 1.54% | 1.18% | 1.32% | 1.37% | 0.00% | 0.00% | 0.00% | 0.00% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 4.45% | 4.02% | 3.41% | 4.48% | 3.89% | 3.45% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% |
Frequently Asked Questions
SPHD and FSMD have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FSMD has higher volatility (5.15%) compared to SPHD (3.91%). In terms of maximum drawdown, SPHD dropped -41.39% vs FSMD's -40.67%.
On 5-year performance, FSMD leads with 10.41% vs 6.57% for SPHD. On fees, FSMD is cheaper at 0.29% per year. On volatility, SPHD has been the lower-risk option at 3.91%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, FSMD has performed better with a 10.41% return vs 6.57%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FSMD is cheaper with a 0.29% expense ratio, compared with 0.30% for SPHD.
SPHD has the higher dividend yield at 4.45%, compared with 1.18% for FSMD.
SPHD is categorized as Dividend, while FSMD is Small Cap Growth Equities. SPHD tracks S&P 500 Low Volatility High Dividend Index, while FSMD tracks Fidelity Small-Mid Multifactor Index. They also come from different issuers: Invesco and Fidelity. Their fees differ too: 0.30% for SPHD and 0.29% for FSMD.
FSMD currently has the higher Sharpe Ratio (1.95 vs 1.13), 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.
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