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Franklin Liberty Systematic Style Premia ETF (FLSP...
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

IssuerFranklin Templeton
Inception DateDec 18, 2019
RegionDeveloped Markets (Broad)
CategoryLong-Short, Actively Managed
Leveraged1x
Index TrackedNo Index (Active)
Asset ClassAlternatives

Asset Class Size

Multi-Cap

Asset Class Style

Blend

Expense Ratio

FLSP features an expense ratio of 0.65%, falling within the medium range.


Expense ratio chart for FLSP: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%

Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Popular comparisons: FLSP vs. SDCI, FLSP vs. FTLS, FLSP vs. FNGS, FLSP vs. BTAL, FLSP vs. QQQ, FLSP vs. DBMF, FLSP vs. IGHG, FLSP vs. SPY, FLSP vs. blv, FLSP vs. bnd

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Franklin Liberty Systematic Style Premia ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
1.84%
16.01%
FLSP (Franklin Liberty Systematic Style Premia ETF)
Benchmark (^GSPC)

Returns By Period

Franklin Liberty Systematic Style Premia ETF had a return of 11.92% year-to-date (YTD) and 8.55% in the last 12 months.


PeriodReturnBenchmark
Year-To-Date11.92%22.85%
1 month0.79%4.16%
6 months2.11%15.77%
1 year8.55%35.40%
5 years (annualized)N/A14.46%
10 years (annualized)N/A12.04%

Monthly Returns

The table below presents the monthly returns of FLSP, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.90%3.48%1.94%-1.61%4.03%-3.49%0.27%0.72%0.77%11.92%
2023-0.87%-0.50%1.48%1.18%-0.35%1.94%0.61%3.04%-0.63%0.20%-0.47%-2.42%3.14%
2022-1.25%-5.20%4.61%3.06%2.22%-3.43%-1.21%0.46%0.15%0.47%-4.55%5.77%0.44%
20210.77%-3.17%2.54%0.86%1.92%-0.14%2.73%0.22%-0.73%1.61%1.44%3.00%11.44%
20201.16%-3.18%-5.28%-4.60%2.96%0.09%0.15%-0.39%-0.95%-2.86%-3.29%0.19%-15.19%
20190.92%0.92%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of FLSP is 20, indicating that it is in the bottom 20% of ETFs on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of FLSP is 2020
Combined Rank
The Sharpe Ratio Rank of FLSP is 1212Sharpe Ratio Rank
The Sortino Ratio Rank of FLSP is 1212Sortino Ratio Rank
The Omega Ratio Rank of FLSP is 1313Omega Ratio Rank
The Calmar Ratio Rank of FLSP is 4747Calmar Ratio Rank
The Martin Ratio Rank of FLSP is 1818Martin 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.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Franklin Liberty Systematic Style Premia ETF (FLSP) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


FLSP
Sharpe ratio
The chart of Sharpe ratio for FLSP, currently valued at 0.51, compared to the broader market0.002.004.000.51
Sortino ratio
The chart of Sortino ratio for FLSP, currently valued at 0.86, compared to the broader market0.005.0010.000.86
Omega ratio
The chart of Omega ratio for FLSP, currently valued at 1.12, compared to the broader market1.001.502.002.503.001.12
Calmar ratio
The chart of Calmar ratio for FLSP, currently valued at 1.24, compared to the broader market0.005.0010.0015.001.24
Martin ratio
The chart of Martin ratio for FLSP, currently valued at 2.93, compared to the broader market0.0020.0040.0060.0080.00100.002.93
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.002.78
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.70, compared to the broader market0.005.0010.003.70
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market1.001.502.002.503.001.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.45, compared to the broader market0.005.0010.0015.002.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.98, compared to the broader market0.0020.0040.0060.0080.00100.0016.98

Sharpe Ratio

The current Franklin Liberty Systematic Style Premia ETF Sharpe ratio is 0.51. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Franklin Liberty Systematic Style Premia ETF with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50MayJuneJulyAugustSeptemberOctober
0.51
2.78
FLSP (Franklin Liberty Systematic Style Premia ETF)
Benchmark (^GSPC)

Dividends

Dividend History

Franklin Liberty Systematic Style Premia ETF granted a 1.06% dividend yield in the last twelve months. The annual payout for that period amounted to $0.26 per share.


PeriodTTM20232022202120202019
Dividend$0.26$0.26$0.46$0.26$1.59$0.01

Dividend yield

1.06%1.19%2.18%1.19%8.08%0.02%

Monthly Dividends

The table displays the monthly dividend distributions for Franklin Liberty Systematic Style Premia ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2023$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.26$0.26
2022$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.46$0.46
2021$0.00$0.00$0.00$0.00$0.00$0.24$0.00$0.00$0.00$0.00$0.00$0.02$0.26
2020$0.00$0.00$0.00$0.00$0.00$0.05$0.00$0.00$0.00$0.00$0.00$1.54$1.59
2019$0.01$0.01

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.18%
0
FLSP (Franklin Liberty Systematic Style Premia ETF)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Franklin Liberty Systematic Style Premia ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Franklin Liberty Systematic Style Premia ETF was 22.75%, occurring on Mar 24, 2021. Recovery took 650 trading sessions.

The current Franklin Liberty Systematic Style Premia ETF drawdown is 1.18%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.75%Feb 19, 2020277Mar 24, 2021650Oct 23, 2023927
-6.69%Oct 24, 20233Oct 26, 20232Oct 30, 20235
-6.08%Oct 31, 202334Dec 18, 202331Feb 2, 202465
-4.65%Jun 3, 202444Aug 5, 2024
-4.19%Mar 26, 202426May 1, 202421May 31, 202447

Volatility

Volatility Chart

The current Franklin Liberty Systematic Style Premia ETF volatility is 2.95%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%MayJuneJulyAugustSeptemberOctober
2.95%
2.86%
FLSP (Franklin Liberty Systematic Style Premia ETF)
Benchmark (^GSPC)