Fidelity® MSCI Real Estate Index ETF

10-Year Study

FREL.US · · US · ETF

Executive Summary: Fidelity® MSCI Real Estate Index ETF has compounded at 5.8% annually over the last 10 years, with a maximum drawdown of 33.3% and an annualized volatility of 15.4%.

1Y CAGR
+10.4%
3Y CAGR
+10.2%
5Y CAGR
+2.4%
10Y CAGR
+5.8%

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 →
33.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.17
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.24
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
17.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +40.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -26.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20262.65.3-7.47.3————————7.4%
20251.73.5-2.4-2.51.10.90.13.50.1-2.62.4-2.23.1%
2024-5.02.12.0-8.04.52.07.95.23.3-3.34.2-8.25.0%
202310.4-6.0-2.00.4-4.15.62.0-3.3-7.2-3.612.09.311.7%
2022-8.2-3.76.4-4.2-4.6-8.28.8-6.1-12.93.56.0-5.0-26.9%
2021-0.23.95.27.90.82.54.42.0-5.67.1-2.29.740.5%
20201.2-7.1-19.48.81.82.33.70.5-2.8-2.99.52.8-5.0%
201911.70.74.20.70.21.71.63.71.91.0-1.30.829.9%
2018-3.0-6.73.50.63.44.10.62.5-2.7-2.74.7-7.9-4.5%
2017-0.04.3-1.60.5-0.22.11.30.5-0.70.32.8-0.48.9%
2016———-1.62.36.14.1-3.4-1.2-5.3-2.14.52.9%

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 15.4%. The dominant macroeconomic risk driver is VNQ.US, accounting for 99.2% of variance. Idiosyncratic stock-specific factors contribute 0.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019840.10057795707
2016-05-0110068.292921093907
2016-06-0110686.896181333268
2016-07-0111121.06583339945
2016-08-0110742.799948734537
2016-09-0110618.542229925604
2016-10-0110055.110373322428
2016-11-019842.785911762372
2016-12-0110287.147626225946
2017-01-0110282.753443635453
2017-02-0110721.439338919641
2017-03-0110549.3948844391
2017-04-0110597.97501418955
2017-05-0110571.487858019078
2017-06-0110797.177958291884
2017-07-0110935.350588637375
2017-08-0110988.874173802127
2017-09-0110910.267129683312
2017-10-0110943.95586287709
2017-11-0111245.262521894623
2017-12-0111198.635362184397
2018-01-0110867.667970681036
2018-02-0110137.684387835438
2018-03-0110491.965359193911
2018-04-0110556.169249266111
2018-05-0110918.384161412972
2018-06-0111366.041512819416
2018-07-0111430.916736342942
2018-08-0111718.064362568888
2018-09-0111406.44358052645
2018-10-0111093.663222522626
2018-11-0111614.923132319824
2018-12-0110692.755091453922
2019-01-0111943.99858409672
2019-02-0112029.990296180113
2019-03-0112531.65947526136
2019-04-0112624.756815953648
2019-05-0112644.23038999765
2019-06-0112855.99866886866
2019-07-0113062.243478982493
2019-08-0113548.396034178097
2019-09-0113811.76945887484
2019-10-0113955.331920066355
2019-11-0113777.11769534194
2019-12-0113893.95215524083
2020-01-0114058.521258622439
2020-02-0113066.098848534395
2020-03-0110529.532253319881
2020-04-0111455.92796764907
2020-05-0111658.419845566248
2020-06-0111923.021354465061
2020-07-0112361.594086271663
2020-08-0112417.687850754444
2020-09-0112072.747517884027
2020-10-0111723.409363103261
2020-11-0112838.210654942759
2020-12-0113201.090329650233
2021-01-0113180.28506998806
2021-02-0113690.021498106818
2021-03-0114399.110332016708
2021-04-0115535.745913314235
2021-05-0115656.220391506838
2021-06-0116044.335741490777
2021-07-0116756.128688766927
2021-08-0117098.84100916079
2021-09-0116136.26395533518
2021-10-0117277.47778797559
2021-11-0116905.920039593773
2021-12-0118542.00058699063
2022-01-0117019.978214353385
2022-02-0116389.80688611109
2022-03-0117435.341900832154
2022-04-0116703.26286503518
2022-05-0115933.50434342134
2022-06-0114620.06537915571
2022-07-0115901.203982815627
2022-08-0114937.66075848033
2022-09-0113012.841900355354
2022-10-0113464.375285721995
2022-11-0114274.957421522167
2022-12-0113561.267055052298
2023-01-0114976.976913859384
2023-02-0114080.54063375642
2023-03-0113798.570172839518
2023-04-0113848.428063321833
2023-05-0113283.412713318825
2023-06-0114026.913514225475
2023-07-0114312.033923816121
2023-08-0113836.830525023048
2023-09-0112835.77078339059
2023-10-0112373.117124675728
2023-11-0113862.63193387506
2023-12-0115153.926968495221
2024-01-0114391.965326488456
2024-02-0114687.650752399468
2024-03-0114980.772916307676
2024-04-0113786.44415091254
2024-05-0114400.83314208217
2024-06-0114693.159088365528
2024-07-0115847.041395291364
2024-08-0116664.618372769484
2024-09-0117221.93695239895
2024-10-0116649.42970673289
2024-11-0117344.61616185101
2024-12-0115918.831356343533
2025-01-0116183.948544201132
2025-02-0116743.640643914034
2025-03-0116335.189150792507
2025-04-0115924.876324363768
2025-05-0116097.327283794868
2025-06-0116238.537177998342
2025-07-0116250.546793839812
2025-08-0116821.05883920033
2025-09-0116836.749215465446
2025-10-0116394.79255875324
2025-11-0116788.3161354697
2025-12-0116411.050996715614
2026-01-0116838.263658637858
2026-02-0117735.40917773858
2026-03-0116423.257431966456
2026-04-0117619.45158160058
Annual Return Matrix
YearAnnual Return
20170.08860451595296581
2018-0.04517338536074955
20190.2993800041623913
2020-0.04986787185165653
20210.40458099474893183
2022-0.2686189933265828
20230.11744182213781951
20240.050475654887247146
20250.03092058891470928
20260.0736333453065745
Total Factor Risk
0.1544716858511302
VTI.US Exposure
0.007821090401141666
VEA.US Exposure
0.01017144927689707
VWO.US Exposure
-0.0008511807544084094
QQQ.US Exposure
-0.004949502289470939
VTV.US Exposure
0.0005108353345815308
IJR.US Exposure
-0.007528118940934374
QUAL.US Exposure
-0.0053966266713565605
SHV.US Exposure
0.0024153648561891527
TLT.US Exposure
-0.0006533199261360283
LQD.US Exposure
-0.0029264262482910732
HYG.US Exposure
0.007232261808851068
GLD.US Exposure
-0.0014589206540003975
USO.US Exposure
-0.0005476060336563237
VNQ.US Exposure
0.9921149594846732
BTC-USD.CC Exposure
0.00199722161690381
CPER.US Exposure
0.0029800925257876063
VIX.INDX Exposure
0.00041229074474909486
UUP.US Exposure
-0.0013671862149741646
TIP.US Exposure
-0.00042625803063341155
Idiosyncratic Exposure
0.0004495797140873257
Value Score
36.7
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
39.8
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
15.4%

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 →33.3x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.32%
Market Cap$27.8B
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
$153
Avg Yield on Cost
1.53%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$152.581.53%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 →
+2.9%
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 →
+5.5%
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 →
0.9% 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 →
1.14
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Fidelity® MSCI Real Estate Index ETF a high-risk investment?

Fidelity® MSCI Real Estate Index ETF (FREL.US) has an annualized volatility of 15.4% and experienced a maximum drawdown of 33.3% over the last 10 years. Its primary macro risk driver is VNQ.US.

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

Over the past 10 years, FREL.US has generated a Compound Annual Growth Rate (CAGR) of 5.8%. It has had a positive return in 70% 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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