Fidelity Enhanced Small Cap ETF

10-Year Study

FESM.US · · US · ETF

Executive Summary: Fidelity Enhanced Small Cap ETF has compounded at 24.4% annually over the last 10 years, with a maximum drawdown of 18.9% and an annualized volatility of 29.2%.

1Y CAGR
+40.7%
3Y CAGR
+24.4%
5Y CAGR
+24.4%
10Y CAGR
+24.4%

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 →
18.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
1.13
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
2.09
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
19.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +17.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 9.6%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
100%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20265.00.9-5.09.0————————9.6%
20253.7-5.7-6.4-2.86.15.32.38.63.01.72.0-0.117.9%
2024-2.16.13.0-6.94.7-0.510.3-0.30.8-1.112.2-8.916.2%
2023———————————12.812.8%

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 29.2%. The dominant macroeconomic risk driver is SHV.US, accounting for 56.2% of variance. Idiosyncratic stock-specific factors contribute 0.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2023-11-0110000
2023-12-0111280.60379210898
2024-01-0111038.964226544764
2024-02-0111717.412202654885
2024-03-0112070.769671309648
2024-04-0111239.246487083514
2024-05-0111769.487226687941
2024-06-0111708.821664519033
2024-07-0112918.942136589558
2024-08-0112873.862265038555
2024-09-0112976.21239082858
2024-10-0112829.027837434292
2024-11-0114389.805894745456
2024-12-0113110.388415045714
2025-01-0113600.744513305108
2025-02-0112826.696119940276
2025-03-0112010.513182385304
2025-04-0111672.373238428341
2025-05-0112385.346996379703
2025-06-0113039.046041193677
2025-07-0113344.746476856679
2025-08-0114490.110654312653
2025-09-0114922.746517764004
2025-10-0115175.799226851568
2025-11-0115477.85891063795
2025-12-0115454.787179644516
2026-01-0116223.84487942566
2026-02-0116362.92978257757
2026-03-0115544.783293448692
2026-04-0116943.813789859076
Annual Return Matrix
YearAnnual Return
20240.16220626631853774
20250.17881993197915702
20260.09634727368978302
Total Factor Risk
0.29176744284693024
VTI.US Exposure
0.28468192034734335
VEA.US Exposure
0.03346438708638443
VWO.US Exposure
-0.01527252902756951
QQQ.US Exposure
-0.1024313233923428
VTV.US Exposure
-0.09878261008357876
IJR.US Exposure
0.2899045266665815
QUAL.US Exposure
0.026734306112576104
SHV.US Exposure
0.5622422363034856
TLT.US Exposure
-0.008267286379951867
LQD.US Exposure
0.04040084439756482
HYG.US Exposure
-0.03254989919631739
GLD.US Exposure
0.0052248078002330315
USO.US Exposure
0.00037382231484890953
VNQ.US Exposure
0.01673229124820035
BTC-USD.CC Exposure
-0.0017499307548342557
CPER.US Exposure
-0.002268395592302303
VIX.INDX Exposure
0.0013846785074701543
UUP.US Exposure
-0.004926310574452048
TIP.US Exposure
-0.0014043405941938072
Idiosyncratic Exposure
0.006508804810854471
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
29.2%

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 →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
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
$37
Avg Yield on Cost
0.37%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$37.230.37%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 →
+11.7%
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 →
0.0% 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 →
1.32
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Fidelity Enhanced Small Cap ETF a high-risk investment?

Fidelity Enhanced Small Cap ETF (FESM.US) has an annualized volatility of 29.2% and experienced a maximum drawdown of 18.9% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, FESM.US has generated a Compound Annual Growth Rate (CAGR) of 24.4%. It has had a positive return in 100% 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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