- Issuer
- Franklin Templeton
- Inception Date
- Dec 18, 2019
- Region
- Developed Markets (Broad)
- Category
- Long-Short
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
- Asset Class Size
- Multi-Cap
- Asset Class Style
- Blend
- Assets Under Management
- $1B
Highlights
- Avg. Volume (1M)
- 89K
- Avg. Volume Value (1M)
- $2.48M
Share Price Chart
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Performance
FLSP Performance Chart
Franklin Liberty Systematic Style Premia ETF (FLSP) is up 5.2% since the beginning of the year. FLSP is currently trading at $28 per share. Investors who bought $1,000 worth of FLSP shares 5 years ago would now be looking at an investment worth $1,486.
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Returns By Period
Franklin Liberty Systematic Style Premia ETF (FLSP) has returned 5.20% so far this year and 17.32% over the past 12 months.
Franklin Liberty Systematic Style Premia ETF
- 1D
- 1.51%
- 1M
- 3.43%
- 6M
- 4.81%
- YTD
- 5.20%
- 1Y
- 17.32%
- 3Y*
- 10.53%
- 5Y*
- 8.25%
- 10Y*
- —
- ALL TIME*
- 4.56%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
FLSP Monthly Returns History
Based on dividend-adjusted daily data since Dec 23, 2019, FLSP's average daily return is +0.02%, while the average monthly return is +0.40%. At this rate, an investment would double in approximately 14.5 years.
Historically, 64% of months were positive and 36% were negative. The best month was Dec 2022 with a return of +5.8%, while the worst month was Mar 2020 at -5.3%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 4 months.
On a daily basis, FLSP closed higher 52% of trading days. The best single day was Mar 25, 2021 with a return of +6.1%, while the worst single day was Feb 5, 2021 at -5.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.37% | 2.37% | -1.63% | -0.36% | 0.52% | 1.63% | 2.24% | 5.20% | |||||
| 2025 | -0.25% | 2.10% | 0.82% | -1.67% | 2.32% | -2.43% | 2.24% | 2.44% | 5.07% | 0.90% | 1.48% | 1.75% | 15.56% |
| 2024 | 4.90% | 3.48% | 1.94% | -1.61% | 4.03% | -3.49% | 0.27% | 0.72% | 0.77% | -1.02% | 1.21% | 0.27% | 11.75% |
| 2023 | -0.86% | -0.50% | 1.47% | 1.18% | -0.35% | 1.94% | 0.61% | 3.05% | -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% | 0.47% | 0.14% | 0.47% | -4.55% | 5.77% | 0.44% |
| 2021 | 0.77% | -3.17% | 2.54% | 0.86% | 1.91% | -0.14% | 2.73% | 0.22% | -0.73% | 1.61% | 1.44% | 3.00% | 11.44% |
Benchmark Metrics
Franklin Liberty Systematic Style Premia ETF has an annualized alpha of 4.09%, beta of 0.09, and R2 of 0.02 versus S&P 500 Index. Calculated based on daily prices since December 23, 2019.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (13.42%) than losses (3.81%) - typical of diversified or defensive assets.
- Beta of 0.09 may look defensive, but with R2 of 0.02 this ETF is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this ETF's risk.
- R2 of 0.02 means this ETF moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 4.09%
- Beta
- 0.09
- R²
- 0.02
- Upside Capture
- 13.42%
- Downside Capture
- 3.81%
Expense Ratio
FLSP has an expense ratio of 0.65%, placing it in the medium range.
Return for Risk
Risk / Return Rank
FLSP ranks 87 for risk / return — above 87% of ETFs peers on PortfoliosLab. Its historical combined result is among the stronger results in the peer group.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for Franklin Liberty Systematic Style Premia ETF (FLSP) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FLSP | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.62 | ||
| Sortino ratioReturn per unit of downside risk | +0.95 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.25 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 4.48 | 2.00 | +2.47 |
| Martin ratioReturn relative to average drawdown | 13.39 | 8.49 | +4.90 |
Dividends
Dividend History
Franklin Liberty Systematic Style Premia ETF provided a 2.52% dividend yield over the last twelve months, with an annual payout of $0.71 per share. The fund has been increasing its distributions for 2 consecutive years.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
| Dividend | $0.71 | $0.71 | $0.28 | $0.26 | $0.46 | $0.26 | $1.59 |
Dividend yield | 2.52% | 2.65% | 1.18% | 1.19% | 2.18% | 1.19% | 8.08% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | |||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.71 | $0.71 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.28 | $0.28 |
| 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 |
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.
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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.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-22.75%Mar 2021 | 1y 1mo | 2y 7mo | 3y 8moFeb 2020 - Oct 2023 | — |
-6.69%Oct 2023 | 2d | 4d | 6dOct 2023 - Oct 2023 | — |
-6.66%Apr 2025 | 5d | 1mo 23d | 1mo 28dApr 2025 - May 2025 | 2025 selloff2025 |
-6.08%Dec 2023 | 1mo 18d | 1mo 16d | 3mo 4dOct 2023 - Feb 2024 | — |
-4.65%Aug 2024 | 2mo 3d | 6mo 26d | 8mo 29dJun 2024 - Feb 2025 | — |
Drawdown Indicators
| FLSP | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.75% | -56.78% | +34.03% |
Max Drawdown (1Y)Largest decline over 1 year | -4.03% | -9.10% | +5.07% |
Max Drawdown (3Y)Largest decline over 3 years | -6.69% | -18.90% | +12.21% |
Max Drawdown (5Y)Largest decline over 5 years | -9.52% | -25.43% | +15.91% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | 0.00% | -1.58% | +1.58% |
Average DrawdownAverage peak-to-trough decline | -6.16% | -10.70% | +4.54% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.35% | 2.14% | -0.79% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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