Fidelity® Value Factor ETF

10-Year Study

FVAL.US · · US · ETF

Executive Summary: Fidelity® Value Factor ETF has compounded at 13.7% annually over the last 10 years, with a maximum drawdown of 25.4% and an annualized volatility of 11.6%.

1Y CAGR
+24.9%
3Y CAGR
+19.5%
5Y CAGR
+11.1%
10Y CAGR
+13.7%

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 →
25.4%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.66
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.87
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +30.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -14.4%
% 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.
20262.2-0.9-5.26.8————————2.6%
20253.2-1.1-4.7-2.55.44.71.14.22.82.90.62.019.6%
20240.23.74.0-4.23.32.52.31.22.1-0.26.1-3.718.0%
20236.6-3.21.61.6-0.56.63.8-2.1-3.7-2.68.55.323.1%
2022-2.1-3.03.1-7.22.0-10.27.5-4.1-9.310.45.8-5.8-14.4%
2021-0.03.86.75.11.60.82.02.5-4.84.7-0.95.830.3%
2020-2.0-8.9-16.413.83.62.03.66.7-3.8-2.111.84.59.1%
20199.22.40.34.6-8.27.02.0-3.93.83.64.42.730.3%
20184.7-4.1-2.40.01.81.13.12.80.7-6.32.1-10.6-7.9%
20171.93.8-0.50.10.12.22.10.22.12.33.62.722.5%
2016—————————-0.76.42.07.7%

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 11.6%. The dominant macroeconomic risk driver is VTV.US, accounting for 39.8% of variance. Idiosyncratic stock-specific factors contribute 2.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-09-0110000
2016-10-019930.865753526217
2016-11-0110562.155950549552
2016-12-0110768.214927807538
2017-01-0110972.04974700202
2017-02-0111390.09878968732
2017-03-0111334.40216484718
2017-04-0111343.252460474858
2017-05-0111349.64691490742
2017-06-0111600.513409819658
2017-07-0111839.147035382648
2017-08-0111866.485644913168
2017-09-0112117.213129946436
2017-10-0112397.086352936816
2017-11-0112844.281133579227
2017-12-0113190.137712453434
2018-01-0113812.299594091153
2018-02-0113246.344040183123
2018-03-0112930.235575408227
2018-04-0112934.266861898319
2018-05-0113172.112764813819
2018-06-0113319.741256278612
2018-07-0113736.77089318481
2018-08-0114121.364891664969
2018-09-0114217.420718032363
2018-10-0113323.3555131318
2018-11-0113599.197449632087
2018-12-0112152.382629325524
2019-01-0113269.048987081349
2019-02-0113592.200619057328
2019-03-0113630.335662521085
2019-04-0114263.340314718367
2019-05-0113096.352380775861
2019-06-0114013.261542453616
2019-07-0114294.200507849426
2019-08-0113736.446536800548
2019-09-0114261.208829907513
2019-10-0114776.008748355052
2019-11-0115419.531814727634
2019-12-0115837.858877170871
2020-01-0115518.414175300726
2020-02-0114140.640928215298
2020-03-0111816.3957518581
2020-04-0113449.900839619668
2020-05-0113932.682149278076
2020-06-0114206.994977109705
2020-07-0114713.45430281912
2020-08-0115701.119492891963
2020-09-0115102.125924415695
2020-10-0114784.163994587881
2020-11-0116526.699164087266
2020-12-0117276.194094860344
2021-01-0117271.931125238636
2021-02-0117922.821715196562
2021-03-0119127.110633329008
2021-04-0120097.677608288694
2021-05-0120429.262506255443
2021-06-0120582.961095768536
2021-07-0121002.77093025411
2021-08-0121521.09243230219
2021-09-0120494.550812744426
2021-10-0121462.291253498417
2021-11-0121277.361777843682
2021-12-0122515.70811632347
2022-01-0122049.237299130727
2022-02-0121388.384334513376
2022-03-0122041.63809241377
2022-04-0120463.22725335014
2022-05-0120866.494912238435
2022-06-0118740.709506422256
2022-07-0120139.056215595054
2022-08-0119311.391396215226
2022-09-0117516.912868607862
2022-10-0119342.575945730543
2022-11-0120463.412599855434
2022-12-0119273.58070913573
2023-01-0120548.254962652678
2023-02-0119897.735065705336
2023-03-0120222.971845865846
2023-04-0120554.417733953625
2023-05-0120448.353196300486
2023-06-0121791.188627138432
2023-07-0122625.57225733509
2023-08-0122141.817878523903
2023-09-0121321.520582729416
2023-10-0120760.059681574705
2023-11-0122529.053064704465
2023-12-0123726.252479009505
2024-01-0123780.929698070544
2024-02-0124665.078864938005
2024-03-0125654.643856690083
2024-04-0124584.406798509815
2024-05-0125384.825681611772
2024-06-0126006.941226623174
2024-07-0126596.71380646118
2024-08-0126926.398902748686
2024-09-0127481.743369228778
2024-10-0127413.721201786742
2024-11-0129096.20410357163
2024-12-0128008.729820399236
2025-01-0128908.726113469133
2025-02-0128588.215669193563
2025-03-0127254.415880488577
2025-04-0126563.814801771914
2025-05-0128009.100513409823
2025-06-0129321.67812725891
2025-07-0129648.90738235131
2025-08-0130887.161047578444
2025-09-0131744.991010694495
2025-10-0132658.70294515597
2025-11-0132842.05697551573
2025-12-0133487.479843567555
2026-01-0134210.33121420496
2026-02-0133918.410468370625
2026-03-0132157.618668100018
2026-04-0134353.97475580598
Annual Return Matrix
YearAnnual Return
20170.22491404572466234
2018-0.07867659199252452
20190.3032719064450571
20200.0908162668227035
20210.3032794140129438
2022-0.14399402365841008
20230.23102462573356686
20240.18049531189885193
20250.19560865695444862
20260.025875190258751957
Total Factor Risk
0.11619066395023309
VTI.US Exposure
0.33574807137651347
VEA.US Exposure
0.014972160640477026
VWO.US Exposure
0.02572301968899361
QQQ.US Exposure
0.15092670854020426
VTV.US Exposure
0.3978210568265536
IJR.US Exposure
0.02683498386522962
QUAL.US Exposure
-0.039336547890452433
SHV.US Exposure
0.053486469234629894
TLT.US Exposure
-0.008553642023747343
LQD.US Exposure
-0.004364051054268629
HYG.US Exposure
0.07821321393150911
GLD.US Exposure
-0.0009511512770037321
USO.US Exposure
0.0008496249271381167
VNQ.US Exposure
-0.0416375118981448
BTC-USD.CC Exposure
-0.006114804179457074
CPER.US Exposure
0.01889408353428771
VIX.INDX Exposure
-0.019262751040737745
UUP.US Exposure
-0.011646965040174534
TIP.US Exposure
0.0017032775734276537
Idiosyncratic Exposure
0.026694754265022116
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
11.6%

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
$139
Avg Yield on Cost
1.39%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$139.471.39%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 →
+3.2%
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 →
+6.6%
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 →
0.3% 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® Value Factor ETF a high-risk investment?

Fidelity® Value Factor ETF (FVAL.US) has an annualized volatility of 11.6% and experienced a maximum drawdown of 25.4% over the last 10 years. Its primary macro risk driver is VTV.US.

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

Over the past 10 years, FVAL.US has generated a Compound Annual Growth Rate (CAGR) of 13.7%. 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.

Run a Full Backtest on Fidelity® Value Factor ETF

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

Start a Free Backtest