Fidelity® Quality Factor ETF

10-Year Study

FQAL.US · · US · ETF

Executive Summary: Fidelity® Quality Factor ETF has compounded at 13.9% annually over the last 10 years, with a maximum drawdown of 25.1% and an annualized volatility of 12.1%.

1Y CAGR
+17.4%
3Y CAGR
+19.5%
5Y CAGR
+11.6%
10Y CAGR
+13.9%

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 →
25.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.71
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.01
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +32.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -19.7%
% 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.
20261.50.3-5.76.4————————2.2%
20252.80.2-4.6-0.85.73.81.82.43.30.80.8-0.116.9%
20240.74.43.4-4.75.14.11.32.81.9-0.45.1-3.321.9%
20236.0-1.73.01.0-0.66.63.3-1.0-4.3-2.48.54.424.2%
2022-6.3-3.73.6-7.90.5-8.18.8-4.7-9.07.65.9-5.9-19.7%
2021-1.32.44.75.20.63.13.62.6-5.06.90.45.432.1%
20200.1-6.8-12.612.75.60.84.76.7-3.9-3.510.93.416.2%
20198.13.41.63.5-6.36.31.7-1.41.21.93.32.528.1%
20184.9-2.8-2.3-0.43.00.63.43.60.1-6.51.8-8.8-4.4%
20172.24.4-0.00.51.01.51.90.82.11.83.71.323.0%
2016—————————-1.73.31.73.3%

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 12.1%. The dominant macroeconomic risk driver is VTI.US, accounting for 52.6% of variance. Idiosyncratic stock-specific factors contribute 1.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-09-0110000
2016-10-019831.635152566596
2016-11-0110160.544376677019
2016-12-0110329.31373121851
2017-01-0110557.365849712125
2017-02-0111019.40285761799
2017-03-0111014.728553257855
2017-04-0111073.876481507283
2017-05-0111182.28438647508
2017-06-0111346.199655719505
2017-07-0111560.363696835406
2017-08-0111650.029439128422
2017-09-0111892.688758747465
2017-10-0112103.70663346712
2017-11-0112545.653121671243
2017-12-0112708.444760059867
2018-01-0113326.486675985312
2018-02-0112950.789463039286
2018-03-0112648.89232470235
2018-04-0112596.755852993127
2018-05-0112978.835289200108
2018-06-0113059.377148944011
2018-07-0113502.357377535473
2018-08-0113987.900742944721
2018-09-0113998.64265392619
2018-10-0113087.78253697869
2018-11-0113327.430525904185
2018-12-0112150.764293708116
2019-01-0113132.862606913475
2019-02-0113578.3148233877
2019-03-0113791.085562242406
2019-04-0114267.594935571004
2019-05-0113370.263334127365
2019-06-0114207.41326693424
2019-07-0114452.454683967586
2019-08-0114247.639251571958
2019-09-0114414.925413383793
2019-10-0114695.293784523556
2019-11-0115180.747259464342
2019-12-0115567.411109562996
2020-01-0115583.950955760407
2020-02-0114522.704085072337
2020-03-0112687.00588333116
2020-04-0114302.33760163241
2020-05-0115104.0706898644
2020-06-0115229.60272907462
2020-07-0115947.108448355679
2020-08-0117023.277136808796
2020-09-0116356.874148849625
2020-10-0115782.743726768931
2020-11-0117495.921219993437
2020-12-0118084.47906226263
2021-01-0117844.9209638056
2021-02-0118277.788514694843
2021-03-0119138.894257347423
2021-04-0120141.80221400224
2021-05-0120267.648869852084
2021-06-0120903.7138247046
2021-07-0121662.29948807378
2021-08-0122232.60956524475
2021-09-0121129.878243360465
2021-10-0122582.418323273094
2021-11-0122675.8594652416
2021-12-0123894.953998552763
2022-01-0122395.940546444155
2022-02-0121569.757250789913
2022-03-0122339.489332248653
2022-04-0120565.815553747754
2022-05-0120659.84098376129
2022-06-0118978.08020926501
2022-07-0120643.256192329645
2022-08-0119673.33803760118
2022-09-0117895.4843523167
2022-10-0119250.40338347723
2022-11-0120386.079562053637
2022-12-0119187.704781723467
2023-01-0120345.89852265015
2023-02-0120000.1348357027
2023-03-0120592.73774905278
2023-04-0120798.72175753844
2023-05-0120663.886054842173
2023-06-0122018.71519553424
2023-07-0122750.918006409185
2023-08-0122515.270143330352
2023-09-0121547.194743205404
2023-10-0121033.5606064011
2023-11-0122830.066563891894
2023-12-0123830.277806492788
2024-01-0124005.69905570063
2024-02-0125062.58623866818
2024-03-0125919.242403131782
2024-04-0124713.81122102718
2024-05-0125984.682664173703
2024-06-0127044.08678025825
2024-07-0127405.716134889633
2024-08-0128168.706431213563
2024-09-0128712.903327295688
2024-10-0128597.843527661546
2024-11-0130053.394938267716
2024-12-0129055.026450270343
2025-01-0129880.985019753425
2025-02-0129952.04343507436
2025-03-0128579.326091157924
2025-04-0128356.577510303694
2025-05-0129964.628100659345
2025-06-0131113.697959036912
2025-07-0131672.2773300733
2025-08-0132420.121082461017
2025-09-0133485.14335282458
2025-10-0133745.06164238875
2025-11-0134018.46350222254
2025-12-0133974.10255603547
2026-01-0134477.48917943485
2026-02-0134594.346788438284
2026-03-0132630.24005249603
2026-04-0134713.9910019641
Annual Return Matrix
YearAnnual Return
20170.23032808284744588
2018-0.043882668326531205
20190.2811878111753088
20200.1616882816920926
20210.32129622956156956
2022-0.19699762624001693
20230.2419556209344762
20240.21924833131211008
20250.16930206944345638
20260.02177801296467785
Total Factor Risk
0.1210605707949302
VTI.US Exposure
0.5260171335564108
VEA.US Exposure
0.011970290765186117
VWO.US Exposure
0.0017795369724516684
QQQ.US Exposure
0.010322543178783953
VTV.US Exposure
0.06846320033213722
IJR.US Exposure
-0.07428616177422585
QUAL.US Exposure
0.2942475535001516
SHV.US Exposure
0.13786036175256106
TLT.US Exposure
0.004530523440185475
LQD.US Exposure
-0.013214236567707332
HYG.US Exposure
0.03968407784360035
GLD.US Exposure
0.0011374868641141633
USO.US Exposure
0.003264188545620455
VNQ.US Exposure
-0.007045797970308674
BTC-USD.CC Exposure
-0.010282169703069487
CPER.US Exposure
-0.010990434182949876
VIX.INDX Exposure
-0.007827198221453129
UUP.US Exposure
-0.0038596435445265114
TIP.US Exposure
0.016105453243699826
Idiosyncratic Exposure
0.012123291969338175
Value Score
41.7
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
13.2
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.1%

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 →20.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.10%
Market Cap$305.9B
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
$118
Avg Yield on Cost
1.18%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$117.761.18%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 →
+2.8%
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 →
+4.2%
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 →
0.4% 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 →
0.92
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

Fidelity® Quality Factor ETF (FQAL.US) has an annualized volatility of 12.1% and experienced a maximum drawdown of 25.1% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FQAL.US has generated a Compound Annual Growth Rate (CAGR) of 13.9%. 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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