Fidelity Covington Trust

10-Year Study

FMDE.US · · US · ETF

Executive Summary: Fidelity Covington Trust has compounded at 57.7% annually over the last 10 years, with a maximum drawdown of 63.5% and an annualized volatility of 249.0%.

1Y CAGR
+16.8%
3Y CAGR
+258.3%
5Y CAGR
+86.5%
10Y CAGR
+57.7%

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 →
63.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
3.63
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
178.61
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
1164.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +2510.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -23.6%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
86%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.23.4-5.55.5————————4.2%
20254.9-3.4-5.50.45.54.01.22.91.2-1.21.90.212.2%
20240.06.95.0-5.42.6-0.54.02.82.50.49.3-6.621.8%
202319.1-8.6-14.96.3-9.0-1.6-1.7-15.30.04.03080.07.42510.9%
20221.10.08.9-13.3-3.53.75.9-11.1-21.39.51.4-2.9-23.6%
202117.241.3-3.85.99.3-11.0-4.8-1.0-7.12.2-3.2-2.239.1%
202026.2-5.7-24.036.81.97.512.33.17.6-11.37.9-5.952.4%
2019————-1.9-19.62.4-6.0-7.6-5.5-15.9-27.6-59.6%

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 249.0%. The dominant macroeconomic risk driver is LQD.US, accounting for 35.6% of variance. Idiosyncratic stock-specific factors contribute 18.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-04-0110000
2019-05-019807.692484037418
2019-06-017884.615796087306
2019-07-018076.923312049889
2019-08-017596.153757981291
2019-09-017019.231210093542
2019-10-016634.615414006236
2019-11-015576.923312049889
2019-12-014038.4616560249447
2020-01-015096.154140062362
2020-02-014807.692484037417
2020-03-013653.8462420187084
2020-04-015000
2020-05-015096.154140062362
2020-06-015480.769554068597
2020-07-016153.846242018709
2020-08-016346.154140062362
2020-09-016826.92369413096
2020-10-016057.692484037417
2020-11-016538.461656024944
2020-12-016153.846242018709
2021-01-017211.538726056126
2021-02-0110192.308280124724
2021-03-019807.692484037418
2021-04-0110384.615796087306
2021-05-0111346.154140062361
2021-06-0110096.154522143432
2021-07-019615.384968074834
2021-08-019519.231210093543
2021-09-018846.154140062363
2021-10-019038.461656024945
2021-11-018750.00038208107
2021-12-018557.692866118487
2022-01-018653.846624099779
2022-02-018653.846624099779
2022-03-019423.077452112251
2022-04-018173.0770700311805
2022-05-017884.615796087306
2022-06-018173.0770700311805
2022-07-018653.846624099779
2022-08-017692.308280124724
2022-09-016057.692484037417
2022-10-016634.615414006236
2022-11-016730.769171987527
2022-12-016538.461656024944
2023-01-017788.462038106016
2023-02-017115.3849680748335
2023-03-016057.692484037417
2023-04-016442.307898043653
2023-05-015865.3849680748335
2023-06-015769.230828012473
2023-07-015673.0770700311805
2023-08-014807.692484037417
2023-09-014807.692484037417
2023-10-015000
2023-11-01159000.00583208544
2023-12-01170712.18574886516
2024-01-01170775.0062639899
2024-02-01182499.3656683958
2024-03-01191576.28907825844
2024-04-01181319.8784456453
2024-05-01186118.5965703792
2024-06-01185222.4426913546
2024-07-01192581.41732025455
2024-08-01198021.16110952676
2024-09-01202889.7510316953
2024-10-01203602.57157066194
2024-11-01222446.803031095
2024-12-01207863.46916284814
2025-01-01217987.82850856642
2025-02-01210648.08464960262
2025-03-01199001.28935060586
2025-04-01199699.36629928806
2025-05-01210748.0846532706
2025-06-01219237.18752875162
2025-07-01221817.31582851833
2025-08-01228251.29042348947
2025-09-01231055.13668018012
2025-10-01228371.16222275817
2025-11-01232717.31622832795
2025-12-01233205.13675904166
2026-01-01235961.54711655644
2026-02-01243974.3679232855
2026-03-01230512.82896798072
2026-04-01243076.93199293184
Annual Return Matrix
YearAnnual Return
20200.5238095012832029
20210.3906250708193224
2022-0.23595509229924083
202325.108922056851146
20240.21762525768744045
20250.12191496513675482
20260.042330951072017564
Total Factor Risk
2.4904885237470413
VTI.US Exposure
0.25933255962201035
VEA.US Exposure
0.007442120720096501
VWO.US Exposure
-0.008129517168539812
QQQ.US Exposure
-0.0016203216290908906
VTV.US Exposure
-0.011555829671166327
IJR.US Exposure
0.012509117710570002
QUAL.US Exposure
0.0047217964535020696
SHV.US Exposure
0.16141917935767386
TLT.US Exposure
-0.014988183478530424
LQD.US Exposure
0.3559165363058069
HYG.US Exposure
0.0219937211361243
GLD.US Exposure
0.00395910627533992
USO.US Exposure
0.0003443767991633715
VNQ.US Exposure
0.02367564295489296
BTC-USD.CC Exposure
0.00024546896868763406
CPER.US Exposure
0.006864691230578121
VIX.INDX Exposure
-0.00496981590476453
UUP.US Exposure
-0.00289922926523738
TIP.US Exposure
-0.002339906703862311
Idiosyncratic Exposure
0.1880784862867459
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
249.0%

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
$686
Avg Yield on Cost
6.86%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$685.96.86%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 →
+2.7%
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 →
+6.2%
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 →
0.9% 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 →
1.12
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Fidelity Covington Trust a high-risk investment?

Fidelity Covington Trust (FMDE.US) has an annualized volatility of 249.0% and experienced a maximum drawdown of 63.5% over the last 10 years. Its primary macro risk driver is LQD.US.

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

Over the past 10 years, FMDE.US has generated a Compound Annual Growth Rate (CAGR) of 57.7%. It has had a positive return in 86% 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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