Fidelity® Momentum Factor ETF

10-Year Study

FDMO.US · · US · ETF

Executive Summary: Fidelity® Momentum Factor ETF has compounded at 14.9% annually over the last 10 years, with a maximum drawdown of 22.8% and an annualized volatility of 17.3%.

1Y CAGR
+24.6%
3Y CAGR
+26.2%
5Y CAGR
+14.4%
10Y CAGR
+14.9%

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 →
22.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.73
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.09
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · +32.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -19.3%
% 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.
20262.4-2.1-4.89.4————————4.4%
20254.0-3.0-7.21.78.95.52.61.95.02.3-0.8-0.421.4%
20243.07.53.2-4.25.74.4-1.02.52.40.18.8-2.932.8%
20233.5-1.82.91.9-0.06.61.80.2-5.2-2.210.94.724.8%
2022-7.0-2.45.1-10.2-1.0-7.99.8-2.7-7.48.52.5-6.1-19.3%
20212.0-0.50.26.3-1.03.22.23.6-4.77.4-0.62.822.2%
20202.9-8.5-11.914.04.41.97.16.4-3.3-3.410.13.121.7%
20198.83.61.53.7-3.95.61.2-0.7-1.40.13.31.725.3%
20186.3-3.1-1.61.23.9-0.92.25.20.3-8.60.8-8.7-4.1%
20172.53.90.41.21.20.42.6-0.41.75.52.70.123.9%
2016—————————-2.51.51.70.7%

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 17.3%. The dominant macroeconomic risk driver is VTI.US, accounting for 136.8% of variance. Idiosyncratic stock-specific factors contribute 3.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-09-0110000
2016-10-019752.780412104492
2016-11-019897.965341839814
2016-12-0110068.195534097767
2017-01-0110320.760410380206
2017-02-0110722.864040003447
2017-03-0110766.574704715924
2017-04-0110897.060091387188
2017-05-0111031.511337184242
2017-06-0111074.230537115269
2017-07-0111358.737822226054
2017-08-0111315.501336322095
2017-09-0111513.01836365204
2017-10-0112141.04664195189
2017-11-0112468.402448486937
2017-12-0112477.411845848781
2018-01-0113261.832916630745
2018-02-0112854.901284593498
2018-03-0112649.107681696696
2018-04-0112805.198724027932
2018-05-0113301.40529355979
2018-06-0113187.257522200189
2018-07-0113478.618846452282
2018-08-0114175.532373480473
2018-09-0114216.527286835073
2018-10-0112996.853176998016
2018-11-0113103.155444434864
2018-12-0111961.93637382533
2019-01-0113010.906112595912
2019-02-0113475.04095180619
2019-03-0113678.765410811275
2019-04-0114185.662557116992
2019-05-0113631.045779808604
2019-06-0114388.654194327095
2019-07-0114561.21217346323
2019-08-0114459.737908440382
2019-09-0114252.478661953615
2019-10-0114268.773170100872
2019-11-0114741.141477713596
2019-12-0114987.49892232089
2020-01-0115416.544529700837
2020-02-0114100.827657556687
2020-03-0112429.86464350375
2020-04-0114174.842658849902
2020-05-0114804.896973877057
2020-06-0115085.00732821795
2020-07-0116162.212259677557
2020-08-0117190.059487886887
2020-09-0116627.20924217605
2020-10-0116059.746529873264
2020-11-0117688.636951461333
2020-12-0118240.710406069487
2021-01-0118603.802051901028
2021-02-0118508.88007586861
2021-03-0118553.064919389602
2021-04-0119713.94085697043
2021-05-0119507.371325114233
2021-06-0120134.149495646176
2021-07-0120578.196396241055
2021-08-0121321.70876799724
2021-09-0120320.41555306492
2021-10-0121822.484696956635
2021-11-0121697.603241658766
2021-12-0122296.404862488143
2022-01-0120731.054401241487
2022-02-0120225.83843434779
2022-03-0121250.92680403483
2022-04-0119086.30054315027
2022-05-0118901.28459349944
2022-06-0117413.1821708768
2022-07-0119115.3547719631
2022-08-0118606.43158893008
2022-09-0117223.381325976377
2022-10-0118685.231485472883
2022-11-0119150.142253642556
2022-12-0117988.361065609104
2023-01-0118612.639020605224
2023-02-0118286.5764290025
2023-03-0118820.243124407276
2023-04-0119174.19605138374
2023-05-0119171.609621519096
2023-06-0120431.675144409
2023-07-0120798.25847055781
2023-08-0120843.305457367012
2023-09-0119757.177342874387
2023-10-0119322.398482627814
2023-11-0121431.330287093715
2023-12-0122447.3661522545
2024-01-0123117.122165703942
2024-02-0124842.917492887318
2024-03-0125641.00353478748
2024-04-0124566.126390206053
2024-05-0125966.462626088454
2024-06-0127112.50969911199
2024-07-0126844.340029312873
2024-08-0127525.303905509096
2024-09-0128197.25838434348
2024-10-0128221.82946805759
2024-11-0130708.164496939393
2024-12-0129806.621260453485
2025-01-0131000.905250452623
2025-02-0130067.462712302782
2025-03-0127899.043020950085
2025-04-0128366.454004655574
2025-05-0130883.653763255454
2025-06-0132583.584791792397
2025-07-0133428.26967842055
2025-08-0134072.67867919648
2025-09-0135787.69721527718
2025-10-0136618.19984481421
2025-11-0136342.78817139409
2025-12-0136192.77523924476
2026-01-0137048.88352444176
2026-02-0136266.057418742996
2026-03-0134528.83869299077
2026-04-0137783.42960600052
Annual Return Matrix
YearAnnual Return
20170.23928978172819204
2018-0.04131269195822429
20190.25293250640556697
20200.2170616658996778
20210.2223430100106818
2022-0.19321697033439544
20230.24788278767487681
20240.3278449265843981
20250.2142528642541659
20260.04394949976179152
Total Factor Risk
0.1729315662160824
VTI.US Exposure
1.3679221710224567
VEA.US Exposure
0.010355936363989168
VWO.US Exposure
-0.024087005635737332
QQQ.US Exposure
-0.14919145801740274
VTV.US Exposure
-0.07905436622259955
IJR.US Exposure
-0.07949947974569789
QUAL.US Exposure
-0.09225059526934086
SHV.US Exposure
0.023462080335588387
TLT.US Exposure
0.006460045009023033
LQD.US Exposure
0.0008679205453235107
HYG.US Exposure
-0.014365031963226277
GLD.US Exposure
0.00580389230416894
USO.US Exposure
-0.0007721255581682712
VNQ.US Exposure
-0.030408078702493242
BTC-USD.CC Exposure
0.017348999455556277
CPER.US Exposure
-0.008600451112529602
VIX.INDX Exposure
0.02133808081918208
UUP.US Exposure
-0.005047650335317654
TIP.US Exposure
-0.000055728696253592804
Idiosyncratic Exposure
0.029772845403479097
Value Score
41.3
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
7.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
17.3%

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 →21.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.61%
Market Cap$330.1B
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
$52
Avg Yield on Cost
0.52%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$52.160.52%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 →
+5.5%
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 →
+6.7%
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 →
0.3% 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 →
1.17
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Fidelity® Momentum Factor ETF a high-risk investment?

Fidelity® Momentum Factor ETF (FDMO.US) has an annualized volatility of 17.3% and experienced a maximum drawdown of 22.8% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FDMO.US has generated a Compound Annual Growth Rate (CAGR) of 14.9%. 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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