FDLO: Low-Volatility ETF Beating Competitors

seekingalpha05-21

Fidelity Low Volatility Factor ETF is invested in 125 stocks with relatively low historical volatility of prices and earnings.Since its inception, the FDLO ETF has lagged the S&P 500 index, but ...

Source Link

Disclaimer: Investing carries risk. This is not financial advice. The above content should not be regarded as an offer, recommendation, or solicitation on acquiring or disposing of any financial products, any associated discussions, comments, or posts by author or other users should not be considered as such either. It is solely for general information purpose only, which does not consider your own investment objectives, financial situations or needs. TTM assumes no responsibility or warranty for the accuracy and completeness of the information, investors should do their own research and may seek professional advice before investing.

Comments

We need your insight to fill this gap

Leave a comment

{"i18n":{"language":"en_US"},"isChannel":false,"data":{"share":"https://ttm.financial/m/news/2437485098?lang=en_US&edition=fundamental","thumbnail":"https://static.seekingalpha.com/cdn/s3/uploads/getty_images/1154062764/image_1154062764.jpg","is_english":true,"pubTime":"2024-05-21 02:06","share_image_url":"https://static.laohu8.com/5a36db9d73b4222bc376d24ccc48c8a4","id":"2437485098","market":"us","top_or_hot":-1,"title":"FDLO: Low-Volatility ETF Beating Competitors","media":"seekingalpha","content":"<div>\n<p>Fidelity Low Volatility Factor ETF is invested in 125 stocks with relatively low historical volatility of prices and earnings.Since its inception, the FDLO ETF has lagged the S&P 500 index, but ...</p>\n\n<a href=\"https://seekingalpha.com/article/4694585-fdlo-low-volatility-etf-beating-competitors\">Source Link</a>\n\n</div>\n","source":"seekingalpha","html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>FDLO: Low-Volatility ETF Beating Competitors</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 11px; color: #7E829C; margin: 0;line-height: 11px;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nFDLO: Low-Volatility ETF Beating Competitors\n</h2>\n\n<h4 class=\"meta\">\n\n\n2024-05-21 02:06 GMT+8&nbsp;&nbsp;&nbsp;<a href=https://seekingalpha.com/article/4694585-fdlo-low-volatility-etf-beating-competitors><strong>seekingalpha</strong></a>\n\n\n</h4>\n\n</header>\n<article>\n<div>\n<p>Fidelity Low Volatility Factor ETF is invested in 125 stocks with relatively low historical volatility of prices and earnings.Since its inception, the FDLO ETF has lagged the S&P 500 index, but ...</p>\n\n<a href=\"https://seekingalpha.com/article/4694585-fdlo-low-volatility-etf-beating-competitors\">Source Link</a>\n\n</div>\n\n\n</article>\n</div>\n</body>\n</html>\n","isBrief":false,"type":0,"news_type":1,"symbol":"BK4585","symbol_name":"ETF&股票定投概念","start_time":0,"source_url":"https://seekingalpha.com/article/4694585-fdlo-low-volatility-etf-beating-competitors","article_id":"2437485098","we_media_id":null,"thumbnails":["https://static.seekingalpha.com/cdn/s3/uploads/getty_images/1154062764/image_1154062764.jpg"],"rights":null,"url":"https://stock-news.laohu8.com/highlight/detail?id=2437485098","pubTimestamp":1716228407,"sourceInfo":{"source_id":"seekingalpha","name":"Seeking Alpha"},"weMediaInfo":null,"summary":"Fidelity Low Volatility Factor ETF is invested in 125 stocks with relatively low historical volatility of prices and earnings.Since its inception, the FDLO ETF has lagged the S&P 500 index, but outper","collect":0,"end_time":0,"defaultTopTitle":"seekingalpha.com","property":[],"viewcount":null,"language":"en","relate_stocks":{"BK4585":"ETF&股票定投概念","BK4534":"瑞士信贷持仓","SSO":"两倍做多标普500ETF","BK4559":"巴菲特持仓","SH":"标普500反向ETF","BK4588":"碎股","BK4550":"红杉资本持仓","SPXU":"三倍做空标普500ETF","SPY":"标普500ETF","OEX":"标普100","SPLV":"Invesco S&P 500 Low Volatility ETF",".SPX":"S&P 500 Index","FDLO":"Fidelity Low Volatility Factor ETF","BK4581":"高盛持仓","BK4504":"桥水持仓","OEF":"标普100指数ETF-iShares","VOO":"Vanguard标普500ETF","IVV":"标普500指数ETF","LGLV":"SPDR SSGA US Large Cap Low Volatility Index ETF","FDN":"First Trust Dow Jones Internet I","SDS":"两倍做空标普500ETF","UPRO":"三倍做多标普500ETF","USMV":"美国最小波动率ETF-iShares"},"translate_title":"FDLO：击败竞争对手的低波动性ETF","themeId":null,"isJumpTheme":false,"ttsUrl":null,"symbols_score_info":{"USMV":1,"SPY":1,"SPLV":1,"LGLV":1,"FDN":1,"FDLO":1,"VOO":0.9,"SDS":0.6,".SPX":0.6,"UPRO":0.6,"SSO":0.6,"SPXU":0.6,"SH":0.6,"OEX":0.6,"OEF":0.6,"IVV":0.6,"ESmain":0.6},"content_text":"Fidelity Low Volatility Factor ETF is invested in 125 stocks with relatively low historical volatility of prices and earnings.Since its inception, the FDLO ETF has lagged the S&P 500 index, but outperformed other low-volatility ETFs.FDLO risk-adjusted returns compared to the benchmark are unconvincing, but its track record is too short to assess its long-term potential.   JimVallee FDLO strategy Fidelity Low Volatility Factor ETF (NYSEARCA:FDLO) started investing operations on 09/12/2016 and tracks the Fidelity U.S. Low Volatility Factor Index. It has a portfolio of 125 stocks, a 30-day SEC yield of 1.46% and a total expense ratio of 0.15%. Distributions are paid Quarterly. The rationale of the strategy is that “low volatility stocks have demonstrated the potential to generate similar returns as the broader market over time with less volatility.” In other words, the purpose is to increase the risk-adjusted performance thanks to a lower risk, not excess return. As described by Fidelity, the largest 1000 U.S. stocks based on market cap are screened for low historical volatility of prices and earnings using three metrics in equal weight:  5-year standard deviation of price returns 5-year Beta 5-year standard deviation of EPS.  Constituents are selected and weighted by an iterative process considering the factor score, sectors (in particular the number of stocks by sector) and market capitalization. The index is rebalanced semi-annually, and the portfolio turnover rate was 46% in the most recent fiscal year. The main competitor of FDLO, iShares MSCI USA Min Vol Factor ETF (USMV), reviewed in January, adopts an entirely different approach to volatility. It starts from a larger universe, the MSCI USA Index, and constructs an optimized portfolio with “the lowest absolute volatility for a given set of constraints,” based on a stock covariance matrix. FDLO picks in the least volatile stocks based on individual prices and earnings, whereas USMV builds a mathematically optimized portfolio based on aggregate price volatility. FDLO portfolio FDLO is heavier than USMV in large and mega-caps (77% vs. 63% of asset value, respectively). The heaviest sector in FDLO portfolio is technology (27.4%), followed by financials (13.2%) and healthcare (12.2%). Compared to USMV, FDLO mostly overweights consumer discretionary, communication, energy and real estate. It massively underweights consumer staples and utilities. The sector breakdown is closer to the S&P 500, represented on the next chart by SPDR S&P 500 ETF Trust (SPY).   Sector breakdown (Chart: author; data: Fidelity, iShares, SSGA) The next table lists the top 10 holdings of FDLO, which represent 31.9% of asset value. The four heaviest positions weigh between 4% and 7.4%. Risks related to other individual companies are low.   Ticker Name Weight% EPS growth %TTM PE ttm PE fwd Yield%   MSFT Microsoft Corp. 7.37 25.11 36.41 35.60 0.71   AAPL Apple, Inc. 6.43 9.26 29.53 28.82 0.53   GOOGL Alphabet, Inc. 4.55 45.00 27.00 23.40 0.45   AMZN Amazon.com, Inc. 3.98 763.59 51.87 40.62 0   LLY Eli Lilly & Co. 2.07 7.89 115.31 56.30 0.68   V Visa, Inc. 1.62 19.92 31.81 28.16 0.74   UNH UnitedHealth Group, Inc. 1.55 -25.13 32.05 18.92 1.43   MA Mastercard, Inc. 1.5 25.70 36.58 32.22 0.57   TXN Texas Instruments Incorporated 1.46 -28.02 30.39 38.47 2.67   ORCL Oracle Corp. 1.39 24.34 32.63 22.10 1.30   Click to enlarge As reported in the next table, FDLO is close to the S&P 500 regarding valuation ratios, and more expensive than USMV. The two low-volatility funds are significantly inferior to the benchmark for the aggregate earnings growth rate.     FDLO USMV SPY   P/E TTM 24.29 21.73 24.39   Price/Book 4.87 3.68 4.26   Price/Sales 3.02 1.96 2.79   Price/Cash Flow 16.03 14.05 16.79   Earnings growth 14.89% 15.53% 21.92%   Click to enlarge Data: Fidelity. Performance Since 10/1/2016, FDLO and USMV have lagged the large-cap benchmark in total return, but as expected, they show a lower volatility (measured by standard deviation of monthly returns in the next table). FDLO has outperformed USMV by about 2.4% in annualized return. It is on par with the S&P 500 in risk-adjusted performance, measured by Sharpe ratio.     Total Return Annual Return Drawdown Sharpe ratio Volatility   FDLO 153.00% 12.94% -34.35% 0.77 14.40%   USMV 114.37% 10.51% -33.10% 0.67 13.17%   SPY 179.08% 14.40% -33.72% 0.77 16.48%   Click to enlarge Calculation with Portfolio123. Competitors The next table compares characteristics of FDLO, USMV and two other low-volatility ETFs:  Invesco S&P 500 Low Volatility ETF (SPLV) SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV).      FDLO USMV SPLV LGLV   Inception 9/12/2016 10/18/2011 5/5/2011 2/20/2013   Expense Ratio 0.15% 0.15% 0.25% 0.12%   AUM $1.07B $24.64B $7.15B $709.57M   Avg Daily Volume $6.76M $209.44M $137.01M $3.35M   Holdings 130 170 103 163   Top 10 31.90% 17.00% 12.75% 11.93%   Turnover 46.00% 23.00% 55.00% 27.00%   Click to enlarge FDLO is the most concentrated in its top 10 holdings, and has the second-highest turnover. The next chart plots total returns, starting on 9/19/2016 to match all inception dates. FDLO is the best performer. FDLO vs competitors since 9/19/2016 (Seeking Alpha) FDLO has also been leading the pack over the last 12 months: FDLO vs competitors, 12-month return (Seeking Alpha) Takeaway  Fidelity Low Volatility Factor ETF is invested in 125 stocks with relatively low historical volatility of prices and earnings, mostly in the large cap segment. Its sector breakdown is close to the S&P 500. Since its inception, FDLO has lagged the benchmark, but outperformed other low-volatility ETFs. Its risk-adjusted return is on par with the benchmark, which is still unconvincing. However, FDLO price history is quite short and mostly covers a bullish market environment: it may not represent the potential of the strategy on the long term.","kind":null,"is_publish_news":true,"is_publish_highlight":false,"is_publish_live":false,"is_publish_wemedia":null,"editions":null,"column":"","sentiment":"0","news_tag":"","news_rank":0,"symbols":[],"gpt_button":1},"commentList":[],"isCommentEnd":true,"newsSizeData":{"likeSize":0,"commentSize":0,"repostSize":0,"favoriteSize":0,"likeStatus":false,"favoriteStatus":false},"APP":{"userAgent":"Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)","isDev":false,"isTTM":true,"deviceId":"web-server-community-laohu8-v3","version":"4.29.1","shortVersion":"4.29.1","platform":"web","vendor":"web","appName":"ttm","isIOS":false,"isAndroid":false,"isTiger":false,"isTHS":false,"isWeiXin":false,"isWeiXinMini":false,"isWeiBo":false,"isQQ":false,"isBaiduSwan":false,"isBaiduBox":false,"isDingTalk":false,"isToutiao":false,"isOnePlus":false,"isHuaWei":false,"isXiaomi":false,"isXiaomiWebView":false,"isOppo":false,"isVivo":false,"isSamsung":false,"isMobile":false},"href":"/m/news/2437485098"}