- Fidelity Canadian Low Volatility Index ETF (FCCL) - 0.35%
- Fidelity Canadian High Quality Index ETF (FCCQ) - 0.35%
- Fidelity International High Quality Index ETF (FCIQ)
- Fidelity International Low Volatility Index ETF (FCIL) - 0.45%
- Fidelity U.S. Low Volatility Currency Neutral Index ETF (FCLH) - 0.38%
- Fidelity US High Quality Currency Neutral Index ETF (FCQH) - 0.38%
- Fidelity US High Quality Index ETF (FCUQ) - 0.35%
The low volatility ETFs all use roughly the same methodology. They pick out sufficiently sizeable and liquid mid and large caps, based on low volatility. Where volatility is measured as 5-year beta and standard deviation of price return, and standard deviation of earnings. The latter under the belief from the active side of the business that stock prices ultimately follow earnings.
The high quality ETFs likely use a very similar methodology. They pick out quality large and mid caps, where quality is measured by free cash flow and return on invested capital. The standard modulates slightly for banks, however. For banks, the funds use ROE and debt-to-assets as the quality measures.
To avoid size bias and overconcentration in one sector, all of the above ETFs build in a size factor into its calculations and provides adjustments for each sector. The funds hold 60 - 100 securities at any given time and weights them by volatility and quality scores.
The currency neutral funds use derivatives to neutralise currency risk.