FLEE vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about Franklin FTSE Europe ETF (FLEE) and S&P 500 Index (^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.

Performance

FLEE vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin FTSE Europe ETF (FLEE) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

FLEE vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FLEE Franklin FTSE Europe ETF	0.66%	35.76%	2.03%	20.46%	-15.22%	16.84%	5.33%	24.41%	-14.97%	1.47%
^GSPC S&P 500 Index	-3.95%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	3.18%

Returns By Period

In the year-to-date period, FLEE achieves a 0.66% return, which is significantly higher than ^GSPC's -3.95% return.

FLEE

• 1D: 1.16%
• 1M: -4.88%
• YTD: 0.66%
• 6M: 5.51%
• 1Y: 22.67%
• 3Y*: 14.95%
• 5Y*: 9.41%
• 10Y*: —

^GSPC

• 1D: 0.72%
• 1M: -4.45%
• YTD: -3.95%
• 6M: -2.02%
• 1Y: 16.73%
• 3Y*: 16.96%
• 5Y*: 10.34%
• 10Y*: 12.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

FLEE vs. ^GSPC — Risk / Return Rank

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

FLEE

FLEE Risk / Return Rank: 68
FLEE Sharpe Ratio Rank: 70
FLEE Sortino Ratio Rank: 70
FLEE Omega Ratio Rank: 66
FLEE Calmar Ratio Rank: 67
FLEE Martin Ratio Rank: 65

^GSPC

^GSPC Risk / Return Rank: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FLEE vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Europe ETF (FLEE) and S&P 500 Index (^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.

	FLEE	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	1.29	0.92	+0.38
Sortino ratio Return per unit of downside risk	1.83	1.41	+0.42
Omega ratio Gain probability vs. loss probability	1.25	1.21	+0.04
Calmar ratio Return relative to maximum drawdown	1.82	1.41	+0.40
Martin ratio Return relative to average drawdown	6.95	6.61	+0.33
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FLEE vs. ^GSPC - Sharpe Ratio Comparison

The current FLEE Sharpe Ratio is 1.29, which is higher than the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of FLEE and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	FLEE	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.29	0.92	+0.38
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.55	0.61	-0.06
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.68	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.41	0.46	-0.04

Correlation

The correlation between FLEE and ^GSPC is 0.72, 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.

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.

Drawdown Indicators

	FLEE	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-37.27%	-56.78%	+19.51%
Max Drawdown (1Y) Largest decline over 1 year	-12.37%	-12.14%	-0.23%
Max Drawdown (5Y) Largest decline over 5 years	-31.62%	-25.43%	-6.19%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.92%	—
Current Drawdown Current decline from peak	-7.54%	-5.78%	-1.76%
Average Drawdown Average peak-to-trough decline	-7.18%	-10.75%	+3.57%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.24%	2.60%	+0.64%

Volatility

FLEE vs. ^GSPC - Volatility Comparison

Franklin FTSE Europe ETF (FLEE) has a higher volatility of 7.19% compared to S&P 500 Index (^GSPC) at 5.37%. 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.

Volatility by Period

	FLEE	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.19%	5.37%	+1.82%
Volatility (6M) Calculated over the trailing 6-month period	11.09%	9.55%	+1.54%
Volatility (1Y) Calculated over the trailing 1-year period	17.61%	18.33%	-0.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.19%	16.90%	+0.29%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.92%	18.05%	+0.87%