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FLAU vs. PEY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FLAU and PEY 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

FLAU vs. PEY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin FTSE Australia ETF (FLAU) and Invesco High Yield Equity Dividend Achievers™ ETF (PEY). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FLAU:

0.33

PEY:

0.30

Sortino Ratio

FLAU:

0.60

PEY:

0.66

Omega Ratio

FLAU:

1.08

PEY:

1.09

Calmar Ratio

FLAU:

0.31

PEY:

0.37

Martin Ratio

FLAU:

0.99

PEY:

1.16

Ulcer Index

FLAU:

6.82%

PEY:

5.76%

Daily Std Dev

FLAU:

21.42%

PEY:

17.57%

Max Drawdown

FLAU:

-45.73%

PEY:

-72.82%

Current Drawdown

FLAU:

-5.52%

PEY:

-8.98%

Returns By Period

In the year-to-date period, FLAU achieves a 6.03% return, which is significantly higher than PEY's -1.57% return.


FLAU

YTD

6.03%

1M

10.27%

6M

-0.96%

1Y

7.07%

5Y*

13.64%

10Y*

N/A

PEY

YTD

-1.57%

1M

7.09%

6M

-5.55%

1Y

5.27%

5Y*

14.83%

10Y*

8.82%

*Annualized

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FLAU vs. PEY - Expense Ratio Comparison

FLAU has a 0.09% expense ratio, which is lower than PEY's 0.53% expense ratio.


Risk-Adjusted Performance

FLAU vs. PEY — Risk-Adjusted Performance Rank

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

FLAU
The Risk-Adjusted Performance Rank of FLAU is 3434
Overall Rank
The Sharpe Ratio Rank of FLAU is 3434
Sharpe Ratio Rank
The Sortino Ratio Rank of FLAU is 3333
Sortino Ratio Rank
The Omega Ratio Rank of FLAU is 3434
Omega Ratio Rank
The Calmar Ratio Rank of FLAU is 3737
Calmar Ratio Rank
The Martin Ratio Rank of FLAU is 3333
Martin Ratio Rank

PEY
The Risk-Adjusted Performance Rank of PEY is 3737
Overall Rank
The Sharpe Ratio Rank of PEY is 3232
Sharpe Ratio Rank
The Sortino Ratio Rank of PEY is 3737
Sortino Ratio Rank
The Omega Ratio Rank of PEY is 3535
Omega Ratio Rank
The Calmar Ratio Rank of PEY is 4343
Calmar Ratio Rank
The Martin Ratio Rank of PEY is 3737
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.

FLAU vs. PEY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Australia ETF (FLAU) and Invesco High Yield Equity Dividend Achievers™ ETF (PEY). 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 FLAU Sharpe Ratio is 0.33, which is comparable to the PEY Sharpe Ratio of 0.30. The chart below compares the historical Sharpe Ratios of FLAU and PEY, 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

FLAU vs. PEY - Dividend Comparison

FLAU's dividend yield for the trailing twelve months is around 3.18%, less than PEY's 4.51% yield.


TTM20242023202220212020201920182017201620152014
FLAU
Franklin FTSE Australia ETF
3.18%3.37%3.62%5.91%5.14%2.18%4.37%4.35%0.18%0.00%0.00%0.00%
PEY
Invesco High Yield Equity Dividend Achievers™ ETF
4.51%4.44%4.58%4.22%3.83%4.30%3.78%4.33%3.21%3.12%3.44%3.24%

Drawdowns

FLAU vs. PEY - Drawdown Comparison

The maximum FLAU drawdown since its inception was -45.73%, smaller than the maximum PEY drawdown of -72.82%. Use the drawdown chart below to compare losses from any high point for FLAU and PEY. For additional features, visit the drawdowns tool.


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Volatility

FLAU vs. PEY - Volatility Comparison

Franklin FTSE Australia ETF (FLAU) and Invesco High Yield Equity Dividend Achievers™ ETF (PEY) have volatilities of 4.61% and 4.85%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


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