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FLCA vs. EPD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FLCA and EPD is 0.49, 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.


-0.50.00.51.00.5

Performance

FLCA vs. EPD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin FTSE Canada ETF (FLCA) and Enterprise Products Partners L.P. (EPD). The values are adjusted to include any dividend payments, if applicable.

60.00%80.00%100.00%120.00%140.00%JulyAugustSeptemberOctoberNovemberDecember
69.78%
107.47%
FLCA
EPD

Key characteristics

Sharpe Ratio

FLCA:

1.03

EPD:

2.13

Sortino Ratio

FLCA:

1.46

EPD:

3.02

Omega Ratio

FLCA:

1.19

EPD:

1.39

Calmar Ratio

FLCA:

1.65

EPD:

2.43

Martin Ratio

FLCA:

6.54

EPD:

10.79

Ulcer Index

FLCA:

2.09%

EPD:

2.60%

Daily Std Dev

FLCA:

13.25%

EPD:

13.15%

Max Drawdown

FLCA:

-41.51%

EPD:

-58.78%

Current Drawdown

FLCA:

-7.70%

EPD:

-9.99%

Returns By Period

In the year-to-date period, FLCA achieves a 10.53% return, which is significantly lower than EPD's 26.49% return.


FLCA

YTD

10.53%

1M

-5.44%

6M

10.20%

1Y

12.19%

5Y*

9.02%

10Y*

N/A

EPD

YTD

26.49%

1M

-2.52%

6M

12.45%

1Y

27.51%

5Y*

10.36%

10Y*

5.82%

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Risk-Adjusted Performance

FLCA vs. EPD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Canada ETF (FLCA) and Enterprise Products Partners L.P. (EPD). 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 FLCA, currently valued at 1.03, compared to the broader market0.002.004.001.032.13
The chart of Sortino ratio for FLCA, currently valued at 1.46, compared to the broader market-2.000.002.004.006.008.0010.001.463.02
The chart of Omega ratio for FLCA, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.39
The chart of Calmar ratio for FLCA, currently valued at 1.65, compared to the broader market0.005.0010.0015.001.652.43
The chart of Martin ratio for FLCA, currently valued at 6.54, compared to the broader market0.0020.0040.0060.0080.00100.006.5410.79
FLCA
EPD

The current FLCA Sharpe Ratio is 1.03, which is lower than the EPD Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of FLCA and EPD, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.03
2.13
FLCA
EPD

Dividends

FLCA vs. EPD - Dividend Comparison

FLCA's dividend yield for the trailing twelve months is around 1.00%, less than EPD's 6.71% yield.


TTM20232022202120202019201820172016201520142013
FLCA
Franklin FTSE Canada ETF
1.00%2.49%2.20%2.03%2.50%2.29%3.02%0.09%0.00%0.00%0.00%0.00%
EPD
Enterprise Products Partners L.P.
6.71%7.51%7.79%8.20%9.09%6.24%6.98%6.29%5.88%5.90%3.96%4.07%

Drawdowns

FLCA vs. EPD - Drawdown Comparison

The maximum FLCA drawdown since its inception was -41.51%, smaller than the maximum EPD drawdown of -58.78%. Use the drawdown chart below to compare losses from any high point for FLCA and EPD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.70%
-9.99%
FLCA
EPD

Volatility

FLCA vs. EPD - Volatility Comparison

The current volatility for Franklin FTSE Canada ETF (FLCA) is 4.16%, while Enterprise Products Partners L.P. (EPD) has a volatility of 6.85%. This indicates that FLCA experiences smaller price fluctuations and is considered to be less risky than EPD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.16%
6.85%
FLCA
EPD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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