Fidelity Quality Factor ETF ETF.com segment: Equity: U.S. - Large Cap Competing ETFs: PRF, FNDX, SPHQ, FTCS, RWL Related ETF Channels: North America, U.S., Smart-Beta ETFs, Large Cap, Broad-based, Fundamental, Equity, Size and Style Find more ETFs with our ETF Screener and Database *Unless otherwise stated, data provided by FactSet. N/A 89 FUND DESCRIPTION The Fidelity Quality Factor ETF tracks an index of fundamentally- selected large and mid- cap US companies that are weighted according to a tiered scheme. FACTSET ANALYTICS INSIGHT The Fidelity Quality Factor ETF tracks an index of large and mid- cap US companies with an emphasis upon balance sheet measures of quality. The top 1,000 stocks by market cap are scored based upon free cash flow margin, cash flow stability and return on invested capital; the highest scores per sector are included in the index. Sectors are cap-weighted to provide more market- like exposure. Within each sector, chosen stocks start with a combination of their cap weight and factor score. Any additional market cap from the deselected stocks is equally allocated among the remaining stocks in the sector. s expense ratio is unremarkable for the segment, however may appear more expensive given the ultra- low fee competitors in this space SUMMARY DATA Issuer Inception Date Legal Structure Expense Ratio Assets Under Management Average Daily $ Average Spread (%) PORTFOLIO DATA Weighted Average Market Cap Fidelity 09/12/16 Open-Ended Fund 0.29% $119.12M $1.02M 0.11% $207.20B MSCI ESG ANALYTICS INSIGHT The MSCI ESG Fund Quality Score measures the ability of ETF underlying holdings to manage key medium to long-term risks and opportunities arising from environmental, social, and governance factors, as determined by MSCI ESG Research LLC. As of November 18, 2018 the Fidelity Quality Factor ETF MSCI ESG Fund Quality Score is 5.60 out of 10. The fund s Peer Rank reflects the ranking of a fund s MSCI ESG Fund Quality Score against the scores of other funds within the same peer group, as defined by the Thomson Reuters Lipper Global Classification. ranks in the 80th percentile within its peer group and in the 53th percentile within the global universe of all funds in MSCI ESG Fund Metrics coverage. Price / Earnings Ratio 21.75 Price / Book Ratio 5.30 Distribution Yield 1.56% Next Ex-Dividend Date 12/21/18 Number of Holdings 123 INDEX DATA Index Tracked Fidelity U.S. Quality Factor Index Index Weighting Methodology Index Selection Methodology Tiered Fundamental MSCI USA Large Cap Index
1 Year Daily Price ($) 36.00 35.00 34.00 33.00 32.00 31.00 Dec `18 Feb Mar Apr May Jun Jul Aug Sep Oct Nov 800k PERFORMANCE [as of 11/16/18] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS -1.98% -3.46% 4.04% 8.20% (NAV) -2.08% -3.47% 4.29% 8.42% Fidelity U.S. Quality Factor Index MSCI USA Large Cap Index All returns over 1 year are annualized. All returns are total returns unless otherwise stated. TOP 10 COUNTRIES United States 100.00% TOP 10 SECTORS Technology 26.32% Consumer Non-Cyclicals 6.28% Healthcare 14.43% Energy 5.55% Financials 14.16% Utilities 2.89% Industrials 13.49% Basic Materials 2.75% Consumer Cyclicals 12.00% Telecommunications Serv 1.86% TOP 10 HOLDINGS Apple Inc. 4.17% Facebook, Inc. Class A 1.83% Microsoft Corporation 3.77% Visa Inc. Class A 1.61% Alphabet Inc. Class A 2.99% Exxon Mobil Corporation 1.57% Johnson & Johnson 2.41% Comcast Corporation Clas 1.45% Pfizer Inc. 1.89% Home Depot, Inc. 1.41% Total Top 10 Weighting 23.1%
PORTFOLIO MANAGEMENT TAX EXPOSURES FUND STRUCTURE Expense Ratio Median Tracking Difference (12 Mo) Max. Upside Deviation (12 Mo) Max. Downside Deviation (12 Mo) 0.29% Max LT/ST Capital Gains Rate Capital Gains Distributions (3 Year) Tax on Distributions Distributes K1 20.00% / 39.60% Qualified dividends No Legal Structure OTC Derivative Use Securities Lending Active Securities Lending Split (Fund/Issuer) ETN Counterparty Open-Ended Fund No No 100% / 0% N/A ETN Counterparty Risk N/A Fund Closure Risk Low Portfolio Disclosure Daily
Daily Spread 0.22% FACTSET ANALYTICS BLOCK LIQUIDITY As of 11/19/18 0.18% 0.14% 0.10% 0.06% 0.02% 5 4 3 2 1 This measurement shows how easy it is to trade a $1 million USD block of. is rated a 5 out of 5. Premium/Discount 1.0% 0.5% TRADABILITY Avg. Daily Share 30,458 0.0% Average Daily $ $1.02M -0.5% Median Daily Share 17,760-1.0% 800k 600k 400k 200k Median Daily ($) Average Spread (%) Average Spread ($) $588.68K 0.11% $0.04 Dec Feb Apr Jun Aug Oct Nov Median Premium / Discount (12 Mo) 0.04% Max. Premium / Discount (12 Mo) 0.72% / -0.49% Impediment to Creations None Market Hours Overlap 100.00% Creation Unit Size (Shares) 50,000 Creation Unit/Day (45 Day Average) 0.36 Creation Unit Cost (%) 0.03% Underlying / Unit 0.01% Open Interest on ETF Options Net Asset Value (Yesterday) $32.71 ETF.com Implied Liquidity 5
SECTOR/INDUSTRY BREAKDOWN TOP 10 HOLDINGS PERFORMANCE STATISTICS Technology 26.32% 27.59% Healthcare 14.43% 14.48% Financials 14.16% 14.73% Industrials 13.49% 9.12% Consumer Cyclicals 12.00% 12.48% Apple Inc. Microsoft Corporation Alphabet Inc. Class A Johnson & Johnson Pfizer Inc. Facebook, Inc. Class A Visa Inc. Class A Exxon Mobil Corporation 4.17% 3.77% 2.99% 2.41% 1.89% 1.83% 1.61% 1.57% Goodness of Fit (R2) Beta Up Beta Down Beta Downside Standard Deviation 0.98 0.94 0.94 0.94 0.12% MSCI USA Large Cap Index Consumer Non- Cyclicals 6.28% 7.67% Energy 5.55% 6.29% Comcast Corporation Class A Home Depot, Inc. Total Top 10 Weighting 1.45% 1.41% 23.1% MSCI ESG RATINGS MSCI ESG Quality Score 5.60 / 10 Utilities 2.89% 2.26% Peer Group Percentile Rank 79.52 Basic Materials 2.75% 1.29% Global Percentile Rank 53.33 Telecommunications Services 1.86% 2.22% SRI Screening Criteria Exposure 6.86% COUNTRIES Exposure to Sustainable Impact Solutions 8.96% United States 100.00% 100.00% Weighted Average Carbon Intensity (t CO2e/$M Sales) 192.97 REGIONS North America 100.00% 100.00% BENCHMARK COMPARISON HOLDINGS Number of Holdings Constituents 123 299 Shared Holdings 82 ECONOMIC DEVELOPMENT Shared Holdings Weight 46.45% Developed Countries 100.00% 100.00% BENCHMARK COMPARISON SUMMARY Number of Holdings 123 299 Weighted Average Market Cap $207.20B $271.04B Price / Earnings Ratio Price / Book Ratio Dividend Yield 21.75 24.17 5.30 3.66 1.87% 1.80% Concentration Low Low
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