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FDHY vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDHY and SPY is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

FDHY vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity High Yield Factor ETF (FDHY) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FDHY:

1.34

SPY:

0.57

Sortino Ratio

FDHY:

1.84

SPY:

0.93

Omega Ratio

FDHY:

1.26

SPY:

1.14

Calmar Ratio

FDHY:

1.35

SPY:

0.61

Martin Ratio

FDHY:

6.84

SPY:

2.33

Ulcer Index

FDHY:

1.04%

SPY:

4.90%

Daily Std Dev

FDHY:

5.54%

SPY:

20.34%

Max Drawdown

FDHY:

-20.01%

SPY:

-55.19%

Current Drawdown

FDHY:

-0.39%

SPY:

-4.58%

Returns By Period

In the year-to-date period, FDHY achieves a 2.03% return, which is significantly higher than SPY's -0.21% return.


FDHY

YTD

2.03%

1M

2.51%

6M

1.87%

1Y

7.37%

3Y*

6.87%

5Y*

4.99%

10Y*

N/A

SPY

YTD

-0.21%

1M

10.59%

6M

-1.16%

1Y

11.45%

3Y*

15.35%

5Y*

16.25%

10Y*

12.52%

*Annualized

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Fidelity High Yield Factor ETF

SPDR S&P 500 ETF

FDHY vs. SPY - Expense Ratio Comparison

FDHY has a 0.45% expense ratio, which is higher than SPY's 0.09% expense ratio.


Risk-Adjusted Performance

FDHY vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FDHY
The Risk-Adjusted Performance Rank of FDHY is 8888
Overall Rank
The Sharpe Ratio Rank of FDHY is 8989
Sharpe Ratio Rank
The Sortino Ratio Rank of FDHY is 8888
Sortino Ratio Rank
The Omega Ratio Rank of FDHY is 8888
Omega Ratio Rank
The Calmar Ratio Rank of FDHY is 8888
Calmar Ratio Rank
The Martin Ratio Rank of FDHY is 8989
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6363
Overall Rank
The Sharpe Ratio Rank of SPY is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6060
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6464
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6565
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6464
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FDHY vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity High Yield Factor ETF (FDHY) and SPDR S&P 500 ETF (SPY). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


The current FDHY Sharpe Ratio is 1.34, which is higher than the SPY Sharpe Ratio of 0.57. The chart below compares the historical Sharpe Ratios of FDHY and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

FDHY vs. SPY - Dividend Comparison

FDHY's dividend yield for the trailing twelve months is around 6.66%, more than SPY's 1.23% yield.


TTM20242023202220212020201920182017201620152014
FDHY
Fidelity High Yield Factor ETF
6.66%6.58%6.26%5.34%6.09%5.78%4.94%3.07%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.23%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

FDHY vs. SPY - Drawdown Comparison

The maximum FDHY drawdown since its inception was -20.01%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FDHY and SPY. For additional features, visit the drawdowns tool.


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Volatility

FDHY vs. SPY - Volatility Comparison

The current volatility for Fidelity High Yield Factor ETF (FDHY) is 1.49%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.68%. This indicates that FDHY experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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