Fidelity Small-Mid Factor

10-Year Study

FSMD.US · · US · ETF

Executive Summary: Fidelity Small-Mid Factor has compounded at 11.0% annually over the last 10 years, with a maximum drawdown of 29.3% and an annualized volatility of 13.6%.

1Y CAGR
+21.1%
3Y CAGR
+17.3%
5Y CAGR
+8.6%
10Y CAGR
+11.0%

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 →
29.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.45
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.63
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
19.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +26.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -11.1%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
86%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20263.63.0-5.06.7————————8.1%
20253.3-3.7-4.0-1.85.22.91.04.60.8-2.02.8-0.28.7%
2024-1.35.13.8-5.84.7-1.38.40.21.5-1.39.3-7.615.2%
20237.5-1.2-2.6-1.2-2.47.93.8-2.1-4.7-4.58.09.117.4%
2022-5.91.01.0-6.41.6-8.410.1-3.6-8.611.04.1-5.2-11.1%
20212.65.94.73.80.9-0.40.22.1-3.04.5-3.05.826.4%
2020-0.4-10.4-20.713.75.81.24.53.2-3.50.914.05.68.9%
2019——-1.03.3-6.66.21.6-3.31.62.13.81.38.8%

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 13.6%. The dominant macroeconomic risk driver is IJR.US, accounting for 62.0% of variance. Idiosyncratic stock-specific factors contribute 1.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-02-0110000
2019-03-019897.075380537406
2019-04-0110225.086657033184
2019-05-019550.181292719039
2019-06-0110144.679568443544
2019-07-0110304.07531848122
2019-08-019967.065894805899
2019-09-0110129.032544037731
2019-10-0110340.910098314733
2019-11-0110735.897731403093
2019-12-0110880.532973998457
2020-01-0110837.84718220583
2020-02-019707.53805374066
2020-03-017695.676456769001
2020-04-018751.739789540874
2020-05-019260.600526591077
2020-06-019367.115539755854
2020-07-019791.358232639783
2020-08-0110102.614338525369
2020-09-019749.73626120336
2020-10-019841.357789381302
2020-11-0111219.80301593071
2020-12-0111852.909105415734
2021-01-0112166.869088039999
2021-02-0112881.623389863566
2021-03-0113484.676554285868
2021-04-0113994.113527362348
2021-05-0114126.603487557737
2021-06-0114077.04718929797
2021-07-0114102.800507087702
2021-08-0114404.792510704694
2021-09-0113974.87610925435
2021-10-0114598.3191638372
2021-11-0114164.014503417524
2021-12-0114981.826402248209
2022-01-0114095.353764594285
2022-02-0114231.700073580909
2022-03-0114367.071213907679
2022-04-0113451.210538913663
2022-05-0113666.013599170221
2022-06-0112520.279075540111
2022-07-0113787.599400714535
2022-08-0113292.524002446788
2022-09-0112152.906445864844
2022-10-0113489.596723433304
2022-11-0114047.969432895099
2022-12-0113311.406813769381
2023-01-0114307.763229049388
2023-02-0114131.435005008823
2023-03-0113765.17052153793
2023-04-0113603.026568913398
2023-05-0113274.439056391346
2023-06-0114321.14963519827
2023-07-0114859.442735436745
2023-08-0114550.668877048962
2023-09-0113870.666040194681
2023-10-0113251.699896277516
2023-11-0114317.692219040615
2023-12-0115623.664683823728
2024-01-0115416.70729869416
2024-02-0116201.540766482569
2024-03-0116814.478595047916
2024-04-0115832.26212533577
2024-05-0116572.14918307462
2024-06-0116362.753876295426
2024-07-0117739.33741722148
2024-08-0117769.744949069605
2024-09-0118037.78335298446
2024-10-0117806.845683992164
2024-11-0119466.848698149843
2024-12-0117995.58514552176
2025-01-0118590.039095398093
2025-02-0117899.442380829958
2025-03-0117181.585269634135
2025-04-0116865.674949690165
2025-05-0117747.58202498205
2025-06-0118259.678548949036
2025-07-0118448.99424650491
2025-08-0119294.376822900507
2025-09-0119452.44279749293
2025-10-0119067.9160645739
2025-11-0119593.88657901969
2025-12-0119560.996799673765
2026-01-0120256.91261602291
2026-02-0120873.041905656868
2026-03-0119822.51930390688
2026-04-0121147.862164342514
Annual Return Matrix
YearAnnual Return
20200.08936842834271008
20210.26397884848394204
2022-0.11149639193711125
20230.17370499620389745
20240.15181588376982047
20250.08698864979900689
20260.08112395196011768
Total Factor Risk
0.1355570073366979
VTI.US Exposure
0.49316154583464106
VEA.US Exposure
0.03584319911851916
VWO.US Exposure
-0.0027100946855289033
QQQ.US Exposure
-0.1508141207340015
VTV.US Exposure
0.02384997003290789
IJR.US Exposure
0.620294623070841
QUAL.US Exposure
-0.047745178178611826
SHV.US Exposure
0.021159267096176625
TLT.US Exposure
-0.005094490820628239
LQD.US Exposure
0.009360621625243254
HYG.US Exposure
-0.020980356755932596
GLD.US Exposure
0.010749924772370571
USO.US Exposure
0.00042208111582474437
VNQ.US Exposure
-0.008437540899538548
BTC-USD.CC Exposure
0.011167169189304348
CPER.US Exposure
-0.012871203725292796
VIX.INDX Exposure
0.003811530207293914
UUP.US Exposure
-0.004035005179066903
TIP.US Exposure
0.005267449676688485
Idiosyncratic Exposure
0.017600609238790386
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
13.6%

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
$75
Avg Yield on Cost
0.75%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$75.350.75%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 →
+3.6%
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 →
+7.9%
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 →
0.5% 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 →
1.03
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Fidelity Small-Mid Factor a high-risk investment?

Fidelity Small-Mid Factor (FSMD.US) has an annualized volatility of 13.6% and experienced a maximum drawdown of 29.3% over the last 10 years. Its primary macro risk driver is IJR.US.

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

Over the past 10 years, FSMD.US has generated a Compound Annual Growth Rate (CAGR) of 11.0%. It has had a positive return in 86% 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.

Run a Full Backtest on Fidelity Small-Mid Factor

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest