Fidelity® Low Volatility Factor ETF

10-Year Study

FDLO.US · · US · ETF

Executive Summary: Fidelity® Low Volatility Factor ETF has compounded at 12.6% annually over the last 10 years, with a maximum drawdown of 19.9% and an annualized volatility of 11.3%.

1Y CAGR
+13.7%
3Y CAGR
+14.3%
5Y CAGR
+9.7%
10Y CAGR
+12.6%

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 →
19.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.68
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.95
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +31.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -10.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.90.6-5.65.3————————1.9%
20253.10.3-2.8-1.82.63.20.52.62.1-0.13.1-1.311.8%
20241.82.71.8-3.93.32.62.63.51.6-1.54.3-3.516.1%
20232.3-3.04.12.7-1.95.11.9-0.6-3.8-0.47.22.316.4%
2022-6.1-2.24.5-6.00.2-4.96.5-4.0-7.69.25.1-3.8-10.4%
2021-2.51.04.65.2-0.02.63.52.4-4.66.4-2.05.924.0%
20201.3-8.0-13.010.95.40.74.95.6-2.0-3.59.03.012.2%
20197.33.72.52.5-2.75.52.00.60.71.12.61.931.1%
20184.3-3.7-1.50.22.21.14.33.70.7-4.62.4-8.4-0.3%
20170.84.1-0.21.51.60.31.6-0.12.22.53.21.220.4%
2016—————————-2.13.41.62.9%

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 11.3%. The dominant macroeconomic risk driver is QUAL.US, accounting for 31.6% of variance. Idiosyncratic stock-specific factors contribute 3.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-09-0110000
2016-10-019792.776169031067
2016-11-0110126.654547779777
2016-12-0110285.326707529846
2017-01-0110368.864813512253
2017-02-0110796.64934092134
2017-03-0110777.14645887952
2017-04-0110940.934128673347
2017-05-0111112.760457107363
2017-06-0111143.133797992163
2017-07-0111325.64788848188
2017-08-0111319.66456869856
2017-09-0111569.319728512575
2017-10-0111863.598578618994
2017-11-0112241.232837920546
2017-12-0112387.755661316694
2018-01-0112922.098089905088
2018-02-0112444.437339569384
2018-03-0112252.46869033808
2018-04-0112280.923714956472
2018-05-0112549.122598679101
2018-06-0112681.577769454923
2018-07-0113232.545605685522
2018-08-0113718.336363055054
2018-09-0113808.679924363529
2018-10-0113167.870942989466
2018-11-0113484.986891505512
2018-12-0112355.281307378207
2019-01-0113253.692758812836
2019-02-0113740.397000118752
2019-03-0114082.40538590129
2019-04-0114438.161704926417
2019-05-0114041.709676535338
2019-06-0114818.536416037125
2019-07-0115109.161330398005
2019-08-0115196.35337212595
2019-09-0115304.372847603474
2019-10-0115479.442044011654
2019-11-0115887.906386166198
2019-12-0116197.714463191163
2020-01-0116411.149984927517
2020-02-0115096.920645650445
2020-03-0113137.817321482402
2020-04-0114573.265979117756
2020-05-0115356.213060993323
2020-06-0115458.203542490703
2020-07-0116214.613916014285
2020-08-0117127.412739446976
2020-09-0116777.594066008347
2020-10-0116196.572608270682
2020-11-0117647.00240246275
2020-12-0118171.570552931826
2021-01-0117720.583533538564
2021-02-0117899.306665692286
2021-03-0118724.73075060975
2021-04-0119689.598158416382
2021-05-0119681.057083611184
2021-06-0120190.32437814581
2021-07-0120901.15190324378
2021-08-0121393.611093348918
2021-09-0120414.082268363312
2021-10-0121711.41215481726
2021-11-0121284.03869517954
2021-12-0122532.90825880827
2022-01-0121152.908076111482
2022-02-0120683.3773328096
2022-03-0121607.274986069366
2022-04-0120319.445332553827
2022-05-0120358.359748243827
2022-06-0119354.62359894401
2022-07-0120621.488796119516
2022-08-0119797.160891925712
2022-09-0118289.409980725486
2022-10-0119979.400937234517
2022-11-0120994.235916361413
2022-12-0120193.110504151784
2023-01-0120656.612253473522
2023-02-0120026.947776123354
2023-03-0120856.619561345015
2023-04-0121423.253647084613
2023-05-0121010.358907838603
2023-06-0122087.265120442855
2023-07-0122497.191036895616
2023-08-0122369.348959998537
2023-09-0121511.77024052032
2023-10-0121427.729718372902
2023-11-0122962.7024508774
2023-12-0123500.744489408153
2024-01-0123931.08677183912
2024-02-0124578.746882736064
2024-03-0125027.58721487883
2024-04-0124053.493619314704
2024-05-0124849.36649889012
2024-06-0125500.908916516702
2024-07-0126165.285783449493
2024-08-0127083.474162106857
2024-09-0127517.379031889723
2024-10-0127091.28444976295
2024-11-0128261.959788437118
2024-12-0127275.35146294452
2025-01-0128121.64865580838
2025-02-0128193.67686419234
2025-03-0127399.448255702424
2025-04-0126915.804185583398
2025-05-0127611.878945108747
2025-06-0128493.25392112979
2025-07-0128633.884773136266
2025-08-0129378.00878771547
2025-09-0129986.160718363764
2025-10-0129967.93671383288
2025-11-0130901.151903243783
2025-12-0130487.526376848662
2026-01-0131076.723515816975
2026-02-0131259.420303093964
2026-03-0129500.963725552887
2026-04-0131058.453837089273
Annual Return Matrix
YearAnnual Return
20170.20441051738761673
2018-0.0026214880908488336
20190.3109951979416581
20200.12186016084097506
20210.24000884751113483
2022-0.10383913730895533
20230.1638001230457442
20240.16061648494742764
20250.11776841512997938
20260.01872659176029967
Total Factor Risk
0.1134596804543125
VTI.US Exposure
0.11082257386398085
VEA.US Exposure
-0.0943253396635607
VWO.US Exposure
0.02369272369081598
QQQ.US Exposure
0.026740975021249072
VTV.US Exposure
0.1981472618177541
IJR.US Exposure
-0.12839786888488314
QUAL.US Exposure
0.3159435309490984
SHV.US Exposure
0.29364346275065817
TLT.US Exposure
-0.04057915249290058
LQD.US Exposure
0.0064002231080707815
HYG.US Exposure
0.06426744085022952
GLD.US Exposure
0.0025258381797216554
USO.US Exposure
0.013877562383524677
VNQ.US Exposure
0.09190989769695704
BTC-USD.CC Exposure
-0.007301168825510924
CPER.US Exposure
-0.004547107633092382
VIX.INDX Exposure
0.028179097474673436
UUP.US Exposure
0.021300318563986592
TIP.US Exposure
0.043848114447656295
Idiosyncratic Exposure
0.03385161670157112
Value Score
42.2
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
16.1
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
11.3%

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 →19.6x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.34%
Market Cap$288.2B
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
$127
Avg Yield on Cost
1.27%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$127.431.27%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 →
+1.9%
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 →
+3.5%
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 →
0.9% 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 →
0.69
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Fidelity® Low Volatility Factor ETF a high-risk investment?

Fidelity® Low Volatility Factor ETF (FDLO.US) has an annualized volatility of 11.3% and experienced a maximum drawdown of 19.9% over the last 10 years. Its primary macro risk driver is QUAL.US.

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

Over the past 10 years, FDLO.US has generated a Compound Annual Growth Rate (CAGR) of 12.6%. It has had a positive return in 80% 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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