Fidelity® Emerging Markets Multifactor ETF

10-Year Study

FDEM.US · · US · ETF

Executive Summary: Fidelity® Emerging Markets Multifactor ETF has compounded at 8.1% annually over the last 10 years, with a maximum drawdown of 28.1% and an annualized volatility of 16.4%.

1Y CAGR
+36.2%
3Y CAGR
+21.4%
5Y CAGR
+7.8%
10Y CAGR
+8.1%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
28.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.31
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.42
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +26.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -13.1%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
71%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20268.04.4-9.38.6————————11.1%
20252.1-2.42.20.43.76.51.12.64.52.3-0.81.926.7%
2024-1.32.72.4-0.23.41.41.30.05.3-3.5-1.7-0.49.3%
20235.2-4.53.22.0-3.13.45.9-2.9-0.8-3.57.54.617.3%
20221.3-4.5-1.0-4.41.3-7.2-1.01.1-8.6-0.313.2-2.2-13.1%
20210.8-0.41.01.41.80.6-5.40.5-3.50.3-2.21.7-3.5%
2020-4.8-5.3-16.38.42.83.75.20.7-0.20.29.08.18.9%
2019——0.21.3-5.65.5-2.2-2.71.73.5-1.05.65.8%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 16.4%. The dominant macroeconomic risk driver is VWO.US, accounting for 49.9% of variance. Idiosyncratic stock-specific factors contribute 3.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-02-0110000
2019-03-0110018.591231643699
2019-04-0110144.025986723133
2019-05-019574.090446795339
2019-06-0110096.76251018593
2019-07-019877.294421730669
2019-08-019611.492954056448
2019-09-019773.972235890658
2019-10-0110112.83284791265
2019-11-0110013.963502983714
2019-12-0110575.73162583571
2020-01-0110072.124619766297
2020-02-019537.997826590752
2020-03-017981.092423966455
2020-04-018652.405665028315
2020-05-018892.222538874199
2020-06-019223.871021274337
2020-07-019704.207186211655
2020-08-019769.060159428702
2020-09-019749.91468744355
2020-10-019769.247147743723
2020-11-0110650.63546319799
2020-12-0111513.931448109737
2021-01-0111602.529030780359
2021-02-0111551.059770432239
2021-03-0111669.466003301088
2021-04-0111831.99469655533
2021-05-0112048.69768319157
2021-06-0112123.959995561923
2021-07-0111474.499197221843
2021-08-0111536.454335981749
2021-09-0111137.821407343597
2021-10-0111170.081251515936
2021-11-0110925.345519248482
2021-12-0111108.809152974112
2022-01-0111255.138651269006
2022-02-0110749.484462248089
2022-03-0110638.923018947775
2022-04-0110175.907978859936
2022-05-0110303.290619701176
2022-06-019557.075478979781
2022-07-019465.966633549911
2022-08-019570.787632464213
2022-09-018747.965413666512
2022-10-018721.118542116057
2022-11-019868.870259040983
2022-12-019652.480211398273
2023-01-0110156.548390721315
2023-02-019696.586201310325
2023-03-0110008.555374618694
2023-04-0110207.6397990339
2023-05-019892.27286395983
2023-06-0110230.164624608655
2023-07-0110834.402347403422
2023-08-0110521.008962576498
2023-09-0110439.01507086538
2023-10-0110071.050163593454
2023-11-0110825.264141251713
2023-12-0111318.916199461837
2024-01-0111172.77465833334
2024-02-0111469.772171372164
2024-03-0111747.575769857178
2024-04-0111723.891229188739
2024-05-0112117.055960676737
2024-06-0112291.765053394432
2024-07-0112450.24491676021
2024-08-0112452.644761611544
2024-09-0113110.90854352822
2024-10-0112645.60507649696
2024-11-0112429.433989264584
2024-12-0112375.57069717337
2025-01-0112640.445942934846
2025-02-0112336.331247708738
2025-03-0112606.46154331827
2025-04-0112655.801268348168
2025-05-0113129.46979813535
2025-06-0113984.667154418796
2025-07-0114144.049018412992
2025-08-0114516.773892481287
2025-09-0115166.00313534318
2025-10-0115513.893442163087
2025-11-0115387.845878514072
2025-12-0115685.71632664012
2026-01-0116935.29141633077
2026-02-0117681.98834746301
2026-03-0116041.286757049176
2026-04-0117428.009773095546
Annual Return Matrix
YearAnnual Return
20200.08871252178734168
2021-0.03518540100411427
2022-0.13109676487564315
20230.17264329494255026
20240.09335297470987314
20250.26747418042085114
20260.11107515972964332
Total Factor Risk
0.1638306974622473
VTI.US Exposure
-0.007164148336590531
VEA.US Exposure
0.09093228075416818
VWO.US Exposure
0.49948741712022804
QQQ.US Exposure
0.05189979199398603
VTV.US Exposure
0.15446699533413288
IJR.US Exposure
-0.04041097999599419
QUAL.US Exposure
-0.09368154243165121
SHV.US Exposure
0.30572558931291816
TLT.US Exposure
0.05903343879705894
LQD.US Exposure
-0.06574665487480608
HYG.US Exposure
0.03307503183547544
GLD.US Exposure
-0.0024913853454954097
USO.US Exposure
0.0009259750347414524
VNQ.US Exposure
-0.02070285864975771
BTC-USD.CC Exposure
-0.0012051828291405184
CPER.US Exposure
0.008497865229659146
VIX.INDX Exposure
0.0016992979264142608
UUP.US Exposure
-0.008324529882046622
TIP.US Exposure
0.00007595022380053087
Idiosyncratic Exposure
0.0339076487828992
Value Score
45.8
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
34.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
16.4%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →10.5x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.86%
Market Cap$38.7B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$80
Avg Yield on Cost
0.80%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$79.750.80%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+3.7%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+11.5%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
2.6% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.82
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Fidelity® Emerging Markets Multifactor ETF a high-risk investment?

Fidelity® Emerging Markets Multifactor ETF (FDEM.US) has an annualized volatility of 16.4% and experienced a maximum drawdown of 28.1% over the last 10 years. Its primary macro risk driver is VWO.US.

What is the 10-year return of FDEM.US?

Over the past 10 years, FDEM.US has generated a Compound Annual Growth Rate (CAGR) of 8.1%. It has had a positive return in 71% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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