Fidelity Covington Trust - Fidelity Fundamental Large Cap Growth ETF

10-Year Study

FFLG.US · · US · ETF

Executive Summary: Fidelity Covington Trust - Fidelity Fundamental Large Cap Growth ETF has compounded at 10.2% annually over the last 10 years, with a maximum drawdown of 41.9% and an annualized volatility of 24.9%.

1Y CAGR
+30.5%
3Y CAGR
+26.5%
5Y CAGR
+10.5%
10Y CAGR
+10.2%

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 →
41.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.38
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.56
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
22.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +49.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -37.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.4-2.3-5.313.0————————4.9%
20253.2-4.9-10.01.010.27.84.70.85.33.3-1.6-0.119.6%
20242.79.12.8-3.96.45.8-2.91.72.6-0.36.3-1.232.3%
202311.1-1.15.8-1.18.96.06.3-3.4-5.2-3.312.86.149.7%
2022-13.8-1.72.3-16.7-2.1-11.311.5-1.5-10.65.03.5-7.3-37.9%
2021——-2.65.9-2.37.8-0.24.0-5.36.0-5.3-0.56.6%

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 24.9%. The dominant macroeconomic risk driver is VTI.US, accounting for 93.7% of variance. Idiosyncratic stock-specific factors contribute 2.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-02-0110000
2021-03-019743.876037260114
2021-04-0110317.612584985873
2021-05-0110081.984829661315
2021-06-0110865.768188418335
2021-07-0110840.187244125033
2021-08-0111275.639916757093
2021-09-0110674.697405735793
2021-10-0111316.108131909608
2021-11-0110713.645441821698
2021-12-0110662.011773524771
2022-01-019194.042994857602
2022-02-019034.371772895733
2022-03-019240.382246405303
2022-04-017700.336011993689
2022-05-017540.664790031819
2022-06-016690.779851861172
2022-07-017458.260600627992
2022-08-017350.065787059606
2022-09-016572.310724601216
2022-10-016901.979902184341
2022-11-017144.055313550039
2022-12-016625.4121519969385
2023-01-017362.698999302815
2023-02-017283.75452777472
2023-03-017702.642490577511
2023-04-017618.9278019783305
2023-05-018298.762364559909
2023-06-018800.735976348113
2023-07-019359.218313439955
2023-08-019042.863807681624
2023-09-018575.906734393266
2023-10-018290.375169709647
2023-11-019349.835139201226
2023-12-019919.273249566226
2024-01-0110191.69982229631
2024-02-0111117.279193990576
2024-03-0111431.065121326015
2024-04-0110983.922795871404
2024-05-0111687.293924001531
2024-06-0112367.076066615296
2024-07-0112006.269428150572
2024-08-0112215.42509972899
2024-09-0112527.638428030006
2024-10-0112496.238867309336
2024-11-0113280.86094555138
2024-12-0113121.818763203279
2025-01-0113535.307469321217
2025-02-0112875.811854251522
2025-03-0111588.74438451095
2025-04-0111703.8586338308
2025-05-0112902.546037836735
2025-06-0113911.368318419853
2025-07-0114565.831616579388
2025-08-0114675.808709053455
2025-09-0115451.309712895838
2025-10-0115967.541555929485
2025-11-0115713.357131998722
2025-12-0115694.538363553447
2026-01-0115757.442324930413
2026-02-0115400.98654379426
2026-03-0114577.993049112269
2026-04-0116470.353887202717
Annual Return Matrix
YearAnnual Return
2022-0.3785964325748786
20230.49715565190559463
20240.322860902513912
20250.19606425349850798
20260.049432197728790817
Total Factor Risk
0.24880959184900733
VTI.US Exposure
0.9373061877710643
VEA.US Exposure
0.05495715393065286
VWO.US Exposure
-0.004356999545642457
QQQ.US Exposure
-0.05040390731065894
VTV.US Exposure
-0.14277310110639643
IJR.US Exposure
-0.0046001306529522765
QUAL.US Exposure
0.03260071962277944
SHV.US Exposure
0.20457240753925338
TLT.US Exposure
-0.001659648073780386
LQD.US Exposure
-0.0018153129172673358
HYG.US Exposure
-0.015508286156429945
GLD.US Exposure
0.0017476461797294237
USO.US Exposure
-0.0037708697519774244
VNQ.US Exposure
-0.021152093375973315
BTC-USD.CC Exposure
-0.003280317336439436
CPER.US Exposure
0.0023460364059277885
VIX.INDX Exposure
-0.000510600182965849
UUP.US Exposure
-0.0028274360360832137
TIP.US Exposure
-0.0016349097800118333
Idiosyncratic Exposure
0.020763460777171724
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
24.9%

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
$1
Avg Yield on Cost
0.01%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$1.050.01%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 →
+8.0%
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 →
+8.1%
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 →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Fidelity Covington Trust - Fidelity Fundamental Large Cap Growth ETF a high-risk investment?

Fidelity Covington Trust - Fidelity Fundamental Large Cap Growth ETF (FFLG.US) has an annualized volatility of 24.9% and experienced a maximum drawdown of 41.9% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FFLG.US has generated a Compound Annual Growth Rate (CAGR) of 10.2%. It has had a positive return in 80% 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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