Fidelity® New Millennium ETF

10-Year Study

FMIL.US · · US · ETF

Executive Summary: Fidelity® New Millennium 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
+23.6%
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 →
1.93
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.
20262.4-0.5-5.78.6————————4.3%
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 105.6% of variance. Idiosyncratic stock-specific factors contribute 7.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-06-0110000
2020-07-0110314.956349680913
2020-08-0110648.231700025004
2020-09-0110342.951261673608
2020-10-0110273.534751742209
2020-11-0111874.789358671898
2020-12-0112379.567519379003
2021-01-0112415.335775866755
2021-02-0113420.162859721027
2021-03-0114158.086996227481
2021-04-0114727.49807025364
2021-05-0115214.82697513617
2021-06-0115023.428751590001
2021-07-0114987.388699840185
2021-08-0115177.754101390503
2021-09-0114704.069318663638
2021-10-0115421.445733357974
2021-11-0114564.692708276709
2021-12-0115416.499059588392
2022-01-0115300.279405529402
2022-02-0115547.72181211337
2022-03-0115898.935649753754
2022-04-0114991.411269718745
2022-05-0115630.293212728715
2022-06-0114041.215033539536
2022-07-0115122.634022243725
2022-08-0114947.924027788345
2022-09-0113689.077092008132
2022-10-0115368.60873441254
2022-11-0116168.882704036701
2022-12-0115410.737000032617
2023-01-0116313.042911035973
2023-02-0116088.1595112034
2023-03-0116349.626553309923
2023-04-0116482.262641197638
2023-05-0116593.698698644283
2023-06-0117797.96914580185
2023-07-0118327.969906828584
2023-08-0118156.684532675226
2023-09-0117260.3581174373
2023-10-0116881.36680401387
2023-11-0118465.878822800358
2023-12-0119274.741522705775
2024-01-0119711.462149791805
2024-02-0121245.36589078179
2024-03-0122269.870951609573
2024-04-0121501.777541013904
2024-05-0122605.918613626727
2024-06-0123248.49697220078
2024-07-0123360.74841543362
2024-08-0123980.985203465934
2024-09-0124474.89155369044
2024-10-0124351.605222817754
2024-11-0125493.308400647962
2024-12-0124650.906165403725
2025-01-0125378.77387721377
2025-02-0124833.5525815114
2025-03-0123429.29518052641
2025-04-0123203.107163435925
2025-05-0124921.233733053563
2025-06-0126389.63481588589
2025-07-0127172.78568399996
2025-08-0127469.857905436995
2025-09-0128166.143007795086
2025-10-0128750.665898392064
2025-11-0128756.10180363336
2025-12-0129005.990367575912
2026-01-0129712.658048944886
2026-02-0129565.888607429795
2026-03-0127878.040030006192
2026-04-0130267.120383557474
Annual Return Matrix
YearAnnual Return
20210.24531806425833302
2022-0.00037375927786875707
20230.25073457049231207
20240.27892278795877967
20250.17667034927439396
20260.04347826086956519
Total Factor Risk
0.13442341247754702
VTI.US Exposure
1.0558122876818496
VEA.US Exposure
0.10051675631164644
VWO.US Exposure
0.011770139158009573
QQQ.US Exposure
-0.20594817307064883
VTV.US Exposure
0.09663092223171608
IJR.US Exposure
-0.029893601869712065
QUAL.US Exposure
-0.05280875612575006
SHV.US Exposure
0.008657645097464825
TLT.US Exposure
-0.0017100408118415475
LQD.US Exposure
-0.026511203913515594
HYG.US Exposure
-0.031788859115363576
GLD.US Exposure
0.0001624950263047962
USO.US Exposure
0.00004071918355595208
VNQ.US Exposure
-0.08909018408690186
BTC-USD.CC Exposure
0.008772162432112852
CPER.US Exposure
0.006110579611840593
VIX.INDX Exposure
0.04841894854039875
UUP.US Exposure
-0.009517024674899253
TIP.US Exposure
0.03780453993065672
Idiosyncratic Exposure
0.07257064846307644
Value Score
42.2
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
12.8
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 →19.4x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.07%
Market Cap$307.4B
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 →
+4.4%
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 →
1.02
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Fidelity® New Millennium ETF a high-risk investment?

Fidelity® New Millennium ETF (FMIL.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 FMIL.US?

Over the past 10 years, FMIL.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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