- Issuer
- Franklin
- Inception Date
- Oct 17, 2017
- Category
- Global Equities
- Leveraged
- 1x (No leverage)
- Index Tracked
- Franklin EM Multi-Factor Equity UCITS ETF
- Distribution Policy
- Accumulating
- Asset Class
- Equity
Share Price Chart
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Performance
FREM.L Performance Chart
Franklin EM Multi-Factor Equity UCITS ETF (FREM.L) is up 13.2% since the beginning of the year. FREM.L is currently trading at $39 per share. Investors who bought $1,000 worth of FREM.L shares 5 years ago would now be looking at an investment worth $1,407.
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Returns By Period
Franklin EM Multi-Factor Equity UCITS ETF (FREM.L) has returned 13.22% so far this year and 23.10% over the past 12 months.
Franklin EM Multi-Factor Equity UCITS ETF
- 1D
- 0.66%
- 1M
- -3.28%
- 6M
- 9.24%
- YTD
- 13.22%
- 1Y
- 23.10%
- 3Y*
- 16.92%
- 5Y*
- 7.07%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 0.38%
- 1M
- 0.24%
- 6M
- 9.32%
- YTD
- 10.62%
- 1Y
- 21.28%
- 3Y*
- 18.90%
- 5Y*
- 11.84%
- 10Y*
- 13.36%
FREM.L Monthly Returns History
Based on dividend-adjusted daily data since Oct 17, 2017, FREM.L's average daily return is +0.03%, while the average monthly return is +0.51%. At this rate, an investment would double in approximately 11.4 years.
Historically, 55% of months were positive and 45% were negative. The best month was Nov 2022 with a return of +11.6%, while the worst month was Mar 2020 at -13.1%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 6 months.
On a daily basis, FREM.L closed higher 51% of trading days. The best single day was Mar 24, 2020 with a return of +7.7%, while the worst single day was Mar 12, 2020 at -12.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 8.14% | 4.90% | -8.82% | 8.31% | 3.79% | -4.34% | 1.78% | 13.22% | |||||
| 2025 | 3.37% | -3.22% | 3.52% | 1.84% | 3.86% | 5.59% | 0.38% | 2.21% | 1.39% | 3.62% | 0.94% | 1.54% | 27.77% |
| 2024 | -1.56% | 3.44% | 0.69% | 0.80% | 2.07% | 1.18% | 0.69% | 1.27% | 4.83% | -4.84% | -1.79% | -0.33% | 6.27% |
| 2023 | 6.13% | -4.87% | 2.99% | 2.36% | -5.06% | 3.94% | 5.63% | -5.05% | -0.04% | -4.58% | 7.85% | 3.84% | 12.53% |
| 2022 | -1.03% | -2.46% | -3.84% | -4.76% | -1.00% | -8.93% | 0.80% | -0.40% | -8.22% | -0.14% | 11.61% | -1.42% | -19.30% |
| 2021 | -0.04% | 1.29% | 3.14% | 0.87% | 3.81% | -2.25% | -2.66% | 1.71% | -0.82% | -0.22% | -2.28% | 4.62% | 7.08% |
Benchmark Metrics
Franklin EM Multi-Factor Equity UCITS ETF has an annualized alpha of -0.20%, beta of 0.47, and R2 of 0.28 versus S&P 500 Index. Calculated based on daily prices since October 17, 2017.
- This ETF participated in 77.81% of S&P 500 Index downside but only 54.72% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.47 may look defensive, but with R2 of 0.28 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 0.28 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
- -0.20%
- Beta
- 0.47
- R²
- 0.28
- Upside Capture
- 54.72%
- Downside Capture
- 77.81%
Expense Ratio
FREM.L has an expense ratio of 0.45%, placing it in the medium range.
Return for Risk
Risk / Return Rank
FREM.L ranks 51 for risk / return — on par with similar ETFs. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Franklin EM Multi-Factor Equity UCITS ETF (FREM.L) 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.
| FREM.L | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.25 | ||
| Sortino ratioReturn per unit of downside risk | -0.28 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.31 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 2.15 | 2.35 | -0.20 |
| Martin ratioReturn relative to average drawdown | 6.68 | 10.19 | -3.51 |
Dividends
Dividend History
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 EM Multi-Factor Equity UCITS 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 EM Multi-Factor Equity UCITS ETF was 39.05%, occurring on Mar 23, 2020. Recovery took 227 trading sessions.
The current Franklin EM Multi-Factor Equity UCITS ETF drawdown is 3.94%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-39.05%Mar 2020 | 2y 1mo | 10mo 29d | 3y 21dJan 2018 - Feb 2021 | COVID crash2020 |
-29.99%Sep 2022 | 7mo 20d | 1y 12mo | 2y 7moFeb 2022 - Sep 2024 | Bear market2022 |
-12.98%Apr 2025 | 6mo 3d | 1mo 4d | 7mo 7dOct 2024 - May 2025 | 2025 selloff2025 |
-10.52%Mar 2026 | 1mo 2d | 1mo 7d | 2mo 9dFeb 2026 - May 2026 | — |
-8.74%Nov 2021 | 5mo 26d | 2mo 16d | 8mo 12dJun 2021 - Feb 2022 | — |
Drawdown Indicators
| FREM.L | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.05% | -56.78% | +17.73% |
Max Drawdown (1Y)Largest decline over 1 year | -10.52% | -9.10% | -1.42% |
Max Drawdown (3Y)Largest decline over 3 years | -12.98% | -18.90% | +5.92% |
Max Drawdown (5Y)Largest decline over 5 years | -29.99% | -25.43% | -4.56% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -3.94% | -0.49% | -3.45% |
Average DrawdownAverage peak-to-trough decline | -10.95% | -10.70% | -0.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.40% | 2.09% | +1.31% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with FREM.L
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