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FLAX vs. VGT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FLAX vs. VGT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin FTSE Asia ex Japan ETF (FLAX) and Vanguard Information Technology ETF (VGT). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
2.68%
13.73%
FLAX
VGT

Returns By Period

In the year-to-date period, FLAX achieves a 11.44% return, which is significantly lower than VGT's 27.15% return.


FLAX

YTD

11.44%

1M

-5.23%

6M

2.69%

1Y

13.70%

5Y (annualized)

4.16%

10Y (annualized)

N/A

VGT

YTD

27.15%

1M

1.43%

6M

13.73%

1Y

33.30%

5Y (annualized)

22.49%

10Y (annualized)

20.69%

Key characteristics


FLAXVGT
Sharpe Ratio0.911.67
Sortino Ratio1.372.20
Omega Ratio1.171.30
Calmar Ratio0.462.31
Martin Ratio4.158.30
Ulcer Index3.62%4.24%
Daily Std Dev16.50%21.02%
Max Drawdown-42.51%-54.63%
Current Drawdown-19.26%-2.14%

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FLAX vs. VGT - Expense Ratio Comparison

FLAX has a 0.19% expense ratio, which is higher than VGT's 0.10% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


FLAX
Franklin FTSE Asia ex Japan ETF
Expense ratio chart for FLAX: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for VGT: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Correlation

-0.50.00.51.00.6

The correlation between FLAX and VGT is 0.61, 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.

Risk-Adjusted Performance

FLAX vs. VGT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Asia ex Japan ETF (FLAX) and Vanguard Information Technology ETF (VGT). 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.


Sharpe ratio
The chart of Sharpe ratio for FLAX, currently valued at 0.91, compared to the broader market0.002.004.006.000.911.67
The chart of Sortino ratio for FLAX, currently valued at 1.37, compared to the broader market-2.000.002.004.006.008.0010.0012.001.372.20
The chart of Omega ratio for FLAX, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.30
The chart of Calmar ratio for FLAX, currently valued at 0.46, compared to the broader market0.005.0010.0015.000.462.31
The chart of Martin ratio for FLAX, currently valued at 4.15, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.158.30
FLAX
VGT

The current FLAX Sharpe Ratio is 0.91, which is lower than the VGT Sharpe Ratio of 1.67. The chart below compares the historical Sharpe Ratios of FLAX and VGT, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
0.91
1.67
FLAX
VGT

Dividends

FLAX vs. VGT - Dividend Comparison

FLAX's dividend yield for the trailing twelve months is around 2.78%, more than VGT's 0.61% yield.


TTM20232022202120202019201820172016201520142013
FLAX
Franklin FTSE Asia ex Japan ETF
2.78%2.20%2.86%2.39%1.58%2.23%2.35%0.00%0.00%0.00%0.00%0.00%
VGT
Vanguard Information Technology ETF
0.61%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%

Drawdowns

FLAX vs. VGT - Drawdown Comparison

The maximum FLAX drawdown since its inception was -42.51%, smaller than the maximum VGT drawdown of -54.63%. Use the drawdown chart below to compare losses from any high point for FLAX and VGT. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-19.26%
-2.14%
FLAX
VGT

Volatility

FLAX vs. VGT - Volatility Comparison

The current volatility for Franklin FTSE Asia ex Japan ETF (FLAX) is 5.25%, while Vanguard Information Technology ETF (VGT) has a volatility of 6.62%. This indicates that FLAX experiences smaller price fluctuations and is considered to be less risky than VGT 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%JuneJulyAugustSeptemberOctoberNovember
5.25%
6.62%
FLAX
VGT