Fidelity Fundamental Large Cap Core ETF

10-Year Study

FFLC.US · · US · ETF

Executive Summary: Fidelity Fundamental Large Cap Core ETF has compounded at 20.9% annually over the last 10 years, with a maximum drawdown of 13.9% and an annualized volatility of 13.4%.

1Y CAGR
+23.7%
3Y CAGR
+22.9%
5Y CAGR
+15.0%
10Y CAGR
+20.9%

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 →
13.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
1.11
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.94
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · +27.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -0.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
83%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20262.4-0.5-5.78.7————————4.4%
20253.0-2.1-5.7-1.07.45.93.01.12.52.10.00.917.7%
20242.37.84.8-3.45.12.80.52.72.1-0.54.7-3.327.9%
20235.9-1.41.60.80.77.33.0-0.9-4.9-2.29.44.425.1%
2022-0.81.62.3-5.74.3-10.27.7-1.2-8.412.35.2-4.7-0.0%
20210.38.15.54.03.3-1.3-0.21.3-3.14.9-5.65.824.5%
2020——————3.13.2-2.9-0.715.64.323.8%

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 13.4%. The dominant macroeconomic risk driver is VTI.US, accounting for 104.4% of variance. Idiosyncratic stock-specific factors contribute 7.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-06-0110000
2020-07-0110314.786427926902
2020-08-0110647.891458204233
2020-09-0110342.943804833501
2020-10-0110273.311372753662
2020-11-0111874.531163367143
2020-12-0112379.298348607897
2021-01-0112415.065827381146
2021-02-0113419.87106313123
2021-03-0114157.77915484383
2021-04-0114727.177848080624
2021-05-0115214.496156898558
2021-06-0115023.102094952328
2021-07-0114987.062826826697
2021-08-0115177.42408923388
2021-09-0114703.749605905441
2021-10-0115421.110422578084
2021-11-0114564.376026004806
2021-12-0115415.946424882859
2022-01-0115299.946729286932
2022-02-0115547.546829305416
2022-03-0115898.481241098902
2022-04-0114991.085309241926
2022-05-0115629.735929465227
2022-06-0114040.909733320288
2022-07-0115122.142134959722
2022-08-0114947.599012861072
2022-09-0113688.779448376332
2022-10-0115368.27457247535
2022-11-0116168.531141623997
2022-12-0115410.401922094301
2023-01-0116312.688214126523
2023-02-0116087.809703967037
2023-03-0116349.271060956919
2023-04-0116481.904264918518
2023-05-0116593.337899394453
2023-06-0117797.582161921226
2023-07-0118327.353967580966
2023-08-0118156.289749192787
2023-09-0117259.98282291293
2023-10-0116881.217181435703
2023-11-0118465.47731646065
2023-12-0119274.322429144515
2024-01-0119711.033560549233
2024-02-0121244.903949642867
2024-03-0122269.386734505286
2024-04-0121501.310024678478
2024-05-0122605.42708978833
2024-06-0123247.99147668591
2024-07-0123360.240479218985
2024-08-0123980.463781350903
2024-09-0124474.359392496444
2024-10-0124351.075742256722
2024-11-0125492.75409586554
2024-12-0124650.370177097942
2025-01-0125378.22206277247
2025-02-0124833.012621897524
2025-03-0123428.785753889304
2025-04-0123202.602654838396
2025-05-0124920.691866975416
2025-06-0126389.0610221454
2025-07-0127172.194862094082
2025-08-0127469.260624245788
2025-09-0128165.53058717372
2025-10-0128750.040768402858
2025-11-0128755.476555450463
2025-12-0129005.35968602894
2026-01-0129712.012002217798
2026-02-0129565.245751932423
2026-03-0127877.433873650563
2026-04-0130293.64121631171
Annual Return Matrix
YearAnnual Return
20210.24530050013831728
2022-0.00035966022686795274
20230.25073457049231207
20240.27892278795877967
20250.17667034927439396
20260.04441529235382302
Total Factor Risk
0.1336512461382964
VTI.US Exposure
1.0439136468867911
VEA.US Exposure
0.0954390330946233
VWO.US Exposure
0.011816654622624519
QQQ.US Exposure
-0.20066356933300278
VTV.US Exposure
0.10286814787399928
IJR.US Exposure
-0.025914694001271592
QUAL.US Exposure
-0.05596022603250062
SHV.US Exposure
0.006575914555730476
TLT.US Exposure
-0.0023357138403340247
LQD.US Exposure
-0.024430132717907015
HYG.US Exposure
-0.03269380338691109
GLD.US Exposure
0.0014632446609881859
USO.US Exposure
0.00009613244564262005
VNQ.US Exposure
-0.08814536752162086
BTC-USD.CC Exposure
0.009185456173767427
CPER.US Exposure
0.005845879812045106
VIX.INDX Exposure
0.05171297454708436
UUP.US Exposure
-0.01004036930119603
TIP.US Exposure
0.03725562508813321
Idiosyncratic Exposure
0.07401116637331438
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
13.4%

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 →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
$64
Avg Yield on Cost
0.64%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$64.140.64%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 →
+4.5%
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 →
+6.8%
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 →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Fidelity Fundamental Large Cap Core ETF a high-risk investment?

Fidelity Fundamental Large Cap Core ETF (FFLC.US) has an annualized volatility of 13.4% and experienced a maximum drawdown of 13.9% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FFLC.US has generated a Compound Annual Growth Rate (CAGR) of 20.9%. It has had a positive return in 83% 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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