Fidelity® High Yield Factor ETF

10-Year Study

FDHY.US · · US · ETF

Executive Summary: Fidelity® High Yield Factor ETF has compounded at 5.8% annually over the last 10 years, with a maximum drawdown of 16.0% and an annualized volatility of 7.3%.

1Y CAGR
+7.6%
3Y CAGR
+9.0%
5Y CAGR
+3.9%
10Y CAGR
+5.8%

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 →
16.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.21
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.22
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
8.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +16.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -11.3%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
88%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.90.0-1.51.7————————1.1%
20251.50.8-1.1-0.42.51.40.21.21.10.10.80.89.2%
20240.6-0.21.3-0.91.30.82.01.51.2-1.41.5-0.67.5%
20233.3-1.92.80.2-1.61.61.10.2-1.5-1.04.63.011.1%
2022-3.0-1.3-1.4-4.21.5-7.46.0-3.5-3.63.13.1-0.7-11.3%
2021-0.60.20.50.80.11.60.50.5-0.1-0.2-1.42.44.3%
2020-0.00.3-10.35.44.7-0.45.90.8-1.30.63.12.310.7%
20194.61.01.71.3-1.03.10.11.50.50.60.81.516.9%
2018——————0.70.90.3-1.2-0.1-1.9-1.3%

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 7.3%. The dominant macroeconomic risk driver is HYG.US, accounting for 85.0% of variance. Idiosyncratic stock-specific factors contribute 1.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2018-06-0110000
2018-07-0110070.828778851195
2018-08-0110163.613847310591
2018-09-0110198.270033929575
2018-10-0110076.957584871327
2018-11-0110062.362180844004
2018-12-019867.662018462237
2019-01-0110320.467052928874
2019-02-0110427.436832228674
2019-03-0110607.099305612595
2019-04-0110749.262331852731
2019-05-0110646.904952959834
2019-06-0110973.658770826882
2019-07-0110987.906665234506
2019-08-0111154.33218128629
2019-09-0111215.114772949852
2019-10-0111281.931395282714
2019-11-0111366.786926056271
2019-12-0111531.980362547309
2020-01-0111529.073918455286
2020-02-0111565.025368202238
2020-03-0110377.806140179062
2020-04-0110941.529926896612
2020-05-0111451.86359931509
2020-06-0111407.887836531476
2020-07-0112081.898539827762
2020-08-0112180.243762202328
2020-09-0112027.307937751548
2020-10-0112096.5571274223
2020-11-0112474.521226519408
2020-12-0112767.282285223258
2021-01-0112690.10355786667
2021-02-0112721.3794236395
2021-03-0112782.76225919163
2021-04-0112889.732038491427
2021-05-0112901.136672374249
2021-06-0113102.818618933587
2021-07-0113171.751890768252
2021-08-0113231.586728923541
2021-09-0113217.02291667983
2021-10-0113193.423854323966
2021-11-0113004.473396559022
2021-12-0113320.328049080994
2022-01-0112916.458687424574
2022-02-0112754.803530697736
2022-03-0112581.712148304467
2022-04-0112049.674920546664
2022-05-0112235.02391498019
2022-06-0111335.542652067052
2022-07-0112017.893586236092
2022-08-0111603.061875667376
2022-09-0111190.188855682414
2022-10-0111535.10794912459
2022-11-0111894.464487676047
2022-12-0111815.516620437356
2023-01-0112204.06396704345
2023-02-0111969.589749098055
2023-03-0112308.822321490627
2023-04-0112330.30473434469
2023-05-0112129.665316644448
2023-06-0112325.250048967264
2023-07-0112459.072844334645
2023-08-0112489.306181248381
2023-09-0112304.90494032312
2023-10-0112183.529307697654
2023-11-0112745.483954533103
2023-12-0113132.072610555446
2024-01-0113213.358269781194
2024-02-0113191.465163740215
2024-03-0113369.516456160081
2024-04-0113254.901465226925
2024-05-0113426.665992708617
2024-06-0113532.150958178798
2024-07-0113802.481850520317
2024-08-0114015.12614599195
2024-09-0114187.459325578604
2024-10-0113992.190511091876
2024-11-0114205.782560071779
2024-12-0114120.516336111305
2025-01-0114336.35140172744
2025-02-0114447.270153978354
2025-03-0114294.713430930884
2025-04-0114233.299003595146
2025-05-0114585.231472998503
2025-06-0114782.996038390334
2025-07-0114819.832058078335
2025-08-0114994.092336465132
2025-09-0115163.32952125811
2025-10-0115182.94801887925
2025-11-0115302.680878757054
2025-12-0115425.667692346575
2026-01-0115568.525737826105
2026-02-0115571.590140836171
2026-03-0115334.651763769278
2026-04-0115596.863567723305
Annual Return Matrix
YearAnnual Return
20190.16866389839570495
20200.10711966928836159
20210.043317422729646005
2022-0.11297104869331354
20230.11142601990342405
20240.07526943802925334
20250.09242943566429807
20260.01109811768223623
Total Factor Risk
0.07257385647097714
VTI.US Exposure
0.03697273881060994
VEA.US Exposure
0.0618159949750292
VWO.US Exposure
-0.025565682779921467
QQQ.US Exposure
-0.020399881926435555
VTV.US Exposure
-0.006630134279215592
IJR.US Exposure
-0.03368673916417397
QUAL.US Exposure
0.026518263039572155
SHV.US Exposure
0.07913757610532428
TLT.US Exposure
0.0125403703443004
LQD.US Exposure
0.0013920359324294512
HYG.US Exposure
0.8501919513908557
GLD.US Exposure
-0.0014622326497104967
USO.US Exposure
-0.0017763166545335608
VNQ.US Exposure
-0.0021054017228684077
BTC-USD.CC Exposure
-0.0031239405746128096
CPER.US Exposure
0.008848747315008764
VIX.INDX Exposure
0.006352319041704331
UUP.US Exposure
-0.009088140257146361
TIP.US Exposure
0.0047982530949216735
Idiosyncratic Exposure
0.015270219958862638
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
78.7
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
7.3%

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 →6.56%
Market Cap$745.8M
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
$170
Avg Yield on Cost
1.70%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$170.281.70%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 →
+0.7%
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 →
+2.4%
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 →
0.1% 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 →
0.63
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Fidelity® High Yield Factor ETF a high-risk investment?

Fidelity® High Yield Factor ETF (FDHY.US) has an annualized volatility of 7.3% and experienced a maximum drawdown of 16.0% over the last 10 years. Its primary macro risk driver is HYG.US.

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

Over the past 10 years, FDHY.US has generated a Compound Annual Growth Rate (CAGR) of 5.8%. It has had a positive return in 88% 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.

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