Fidelity Covington Trust

10-Year Study

FELG.US · · US · ETF

Executive Summary: Fidelity Covington Trust has compounded at 62.1% annually over the last 10 years, with a maximum drawdown of 89.5% and an annualized volatility of 246.4%.

1Y CAGR
+20.8%
3Y CAGR
+173.2%
5Y CAGR
+40.1%
10Y CAGR
+62.1%

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 →
89.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
3.04
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
67.66
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
835.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +2069.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -70.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
67%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
2026-1.7-3.5-5.210.3————————-0.9%
20251.4-3.7-8.71.78.96.43.21.85.83.6-1.6-0.418.4%
20242.77.22.4-4.16.57.0-2.02.32.7-0.55.81.435.4%
2023-0.8-1.5-7.5-4.7113.4-0.2-13.0-23.0-15.6-0.41921.54.12069.8%
2022-36.3-2.211.2-39.6-32.80.440.8-18.4-22.512.229.4-20.0-70.9%
202168.558.417.3-13.6-7.23.1-18.2-10.0-15.53.0-5.7-16.330.7%

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 246.4%. The dominant macroeconomic risk driver is SHV.US, accounting for 45.2% of variance. Idiosyncratic stock-specific factors contribute 14.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-12-0110000
2021-01-0116845.786616810776
2021-02-0126677.26675423085
2021-03-0131303.657636679804
2021-04-0127042.92580610876
2021-05-0125082.35334073328
2021-06-0125850.55695944974
2021-07-0121144.67451732177
2021-08-0119030.207217207135
2021-09-0116089.030122311386
2021-10-0116565.977964210073
2021-11-0115627.980895583578
2021-12-0113074.72182351021
2022-01-018330.683311442288
2022-02-018146.264075603783
2022-03-019062.002931373505
2022-04-015468.998534313248
2022-05-013672.4959567392707
2022-06-013686.804482966755
2022-07-015189.1891236248475
2022-08-014235.294197915167
2022-09-013281.3988931616395
2022-10-013682.03497422426
2022-11-014763.116167994053
2022-12-013809.2208632405245
2023-01-013777.4243909864585
2023-02-013719.8726473316906
2023-03-013440.3816334758185
2023-04-013277.2654199965036
2023-05-016993.0049732069065
2023-06-016979.332103512933
2023-07-016073.131886184352
2023-08-014674.085969873898
2023-09-013942.766349942681
2023-10-013926.868113815648
2023-11-0179382.19444009385
2023-12-0182652.14676517158
2024-01-0184920.82722408147
2024-02-0191002.54427209405
2024-03-0193193.32329968888
2024-04-0189345.94648780244
2024-05-0195180.28674576149
2024-06-01101885.21524429452
2024-07-0199800.63653530877
2024-08-01102106.20093720866
2024-09-01104908.74467439603
2024-10-01104339.58727825744
2024-11-01110410.17555036786
2024-12-01111949.44424014825
2025-01-01113564.07064103744
2025-02-01109353.57776971509
2025-03-0199853.10076456176
2025-04-01101501.43145818321
2025-05-01110504.29319799748
2025-06-01117530.04840753824
2025-07-01121243.5619435731
2025-08-01123465.1835786682
2025-09-01130623.21223893166
2025-10-01135324.64311005175
2025-11-01133164.70668995712
2025-12-01132591.4157484835
2026-01-01130302.06756289814
2026-02-01125755.16769430507
2026-03-01119205.08816332484
2026-04-01131446.74165569083
Annual Return Matrix
YearAnnual Return
20210.3074721823510209
2022-0.7086575978701892
202320.697914017739297
20240.3544650516848056
20250.18438654741380534
2026-0.008633093525179825
Total Factor Risk
2.4637074709789224
VTI.US Exposure
0.14266668004773148
VEA.US Exposure
0.005273107455364154
VWO.US Exposure
-0.012169224537502903
QQQ.US Exposure
-0.016810364744768228
VTV.US Exposure
-0.012084007409058718
IJR.US Exposure
0.023825043097283723
QUAL.US Exposure
-0.01858231565890598
SHV.US Exposure
0.4520208640401471
TLT.US Exposure
-0.01851597647544106
LQD.US Exposure
0.2511581094319849
HYG.US Exposure
-0.0006748389063414579
GLD.US Exposure
0.004325943501296797
USO.US Exposure
0.00021074411377282795
VNQ.US Exposure
0.0396314965059364
BTC-USD.CC Exposure
-0.0009266698567002711
CPER.US Exposure
0.0023094540142642563
VIX.INDX Exposure
-0.007002728933015156
UUP.US Exposure
-0.0016542389013730115
TIP.US Exposure
0.02156330097014758
Idiosyncratic Exposure
0.14543562224517742
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
246.4%

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
$108
Avg Yield on Cost
1.08%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$108.111.08%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 →
+5.6%
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 →
+3.3%
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 →
4.0% 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 →
1.17
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Fidelity Covington Trust a high-risk investment?

Fidelity Covington Trust (FELG.US) has an annualized volatility of 246.4% and experienced a maximum drawdown of 89.5% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, FELG.US has generated a Compound Annual Growth Rate (CAGR) of 62.1%. It has had a positive return in 67% 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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