FLEE vs. ^GSPC
Compare and contrast key facts about Franklin FTSE Europe ETF (FLEE) and S&P 500 (^GSPC).
FLEE is a passively managed fund by Franklin Templeton that tracks the performance of the FTSE Developed Europe RIC Capped Index. It was launched on Nov 2, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FLEE or ^GSPC.
Key characteristics
| FLEE | ^GSPC | |
|---|---|---|
| YTD Return | 3.19% | 24.72% |
| 1Y Return | 11.04% | 32.12% |
| 3Y Return (Ann) | 1.74% | 8.33% |
| 5Y Return (Ann) | 6.24% | 13.81% |
| Sharpe Ratio | 0.86 | 2.66 |
| Sortino Ratio | 1.25 | 3.56 |
| Omega Ratio | 1.15 | 1.50 |
| Calmar Ratio | 1.14 | 3.81 |
| Martin Ratio | 4.08 | 17.03 |
| Ulcer Index | 2.67% | 1.90% |
| Daily Std Dev | 12.62% | 12.16% |
| Max Drawdown | -37.27% | -56.78% |
| Current Drawdown | -9.42% | -0.87% |
Correlation
The correlation between FLEE and ^GSPC is 0.73, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
FLEE vs. ^GSPC - Performance Comparison
In the year-to-date period, FLEE achieves a 3.19% return, which is significantly lower than ^GSPC's 24.72% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
FLEE vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Europe ETF (FLEE) and S&P 500 (^GSPC). 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.
Drawdowns
FLEE vs. ^GSPC - Drawdown Comparison
The maximum FLEE drawdown since its inception was -37.27%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for FLEE and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
FLEE vs. ^GSPC - Volatility Comparison
Franklin FTSE Europe ETF (FLEE) has a higher volatility of 4.30% compared to S&P 500 (^GSPC) at 3.81%. This indicates that FLEE's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.