PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FLAU vs. FLHK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FLAUFLHK
YTD Return9.04%3.95%
1Y Return26.21%9.00%
3Y Return (Ann)4.49%-6.75%
5Y Return (Ann)7.58%-2.60%
Sharpe Ratio1.470.35
Sortino Ratio2.120.66
Omega Ratio1.261.08
Calmar Ratio1.660.20
Martin Ratio8.420.93
Ulcer Index3.00%8.78%
Daily Std Dev17.20%23.48%
Max Drawdown-45.73%-41.81%
Current Drawdown-4.56%-29.00%

Correlation

-0.50.00.51.00.5

The correlation between FLAU and FLHK is 0.51, 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

FLAU vs. FLHK - Performance Comparison

In the year-to-date period, FLAU achieves a 9.04% return, which is significantly higher than FLHK's 3.95% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%0.00%20.00%40.00%60.00%JuneJulyAugustSeptemberOctoberNovember
59.68%
-8.68%
FLAU
FLHK

Compare stocks, funds, or ETFs

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


FLAU vs. FLHK - Expense Ratio Comparison

Both FLAU and FLHK have an expense ratio of 0.09%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


FLAU
Franklin FTSE Australia ETF
Expense ratio chart for FLAU: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for FLHK: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

FLAU vs. FLHK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Australia ETF (FLAU) and Franklin FTSE Hong Kong ETF (FLHK). 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.


FLAU
Sharpe ratio
The chart of Sharpe ratio for FLAU, currently valued at 1.47, compared to the broader market-2.000.002.004.006.001.47
Sortino ratio
The chart of Sortino ratio for FLAU, currently valued at 2.12, compared to the broader market0.005.0010.002.12
Omega ratio
The chart of Omega ratio for FLAU, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for FLAU, currently valued at 1.66, compared to the broader market0.005.0010.0015.001.66
Martin ratio
The chart of Martin ratio for FLAU, currently valued at 8.42, compared to the broader market0.0020.0040.0060.0080.00100.008.42
FLHK
Sharpe ratio
The chart of Sharpe ratio for FLHK, currently valued at 0.35, compared to the broader market-2.000.002.004.006.000.35
Sortino ratio
The chart of Sortino ratio for FLHK, currently valued at 0.66, compared to the broader market0.005.0010.000.66
Omega ratio
The chart of Omega ratio for FLHK, currently valued at 1.08, compared to the broader market1.001.502.002.503.001.08
Calmar ratio
The chart of Calmar ratio for FLHK, currently valued at 0.20, compared to the broader market0.005.0010.0015.000.20
Martin ratio
The chart of Martin ratio for FLHK, currently valued at 0.93, compared to the broader market0.0020.0040.0060.0080.00100.000.93

FLAU vs. FLHK - Sharpe Ratio Comparison

The current FLAU Sharpe Ratio is 1.47, which is higher than the FLHK Sharpe Ratio of 0.35. The chart below compares the historical Sharpe Ratios of FLAU and FLHK, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.47
0.35
FLAU
FLHK

Dividends

FLAU vs. FLHK - Dividend Comparison

FLAU's dividend yield for the trailing twelve months is around 2.92%, less than FLHK's 5.22% yield.


TTM2023202220212020201920182017
FLAU
Franklin FTSE Australia ETF
2.92%3.62%5.91%5.14%2.18%4.37%4.35%0.18%
FLHK
Franklin FTSE Hong Kong ETF
5.22%5.40%3.85%2.81%3.11%3.00%2.59%0.25%

Drawdowns

FLAU vs. FLHK - Drawdown Comparison

The maximum FLAU drawdown since its inception was -45.73%, which is greater than FLHK's maximum drawdown of -41.81%. Use the drawdown chart below to compare losses from any high point for FLAU and FLHK. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.56%
-29.00%
FLAU
FLHK

Volatility

FLAU vs. FLHK - Volatility Comparison

The current volatility for Franklin FTSE Australia ETF (FLAU) is 4.95%, while Franklin FTSE Hong Kong ETF (FLHK) has a volatility of 7.90%. This indicates that FLAU experiences smaller price fluctuations and is considered to be less risky than FLHK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
4.95%
7.90%
FLAU
FLHK