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FLEE vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.0
Correlation: 0.7

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 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

40.00%60.00%80.00%100.00%120.00%140.00%NovemberDecember2025FebruaryMarchApril
58.38%
113.24%
FLEE
^GSPC

Key characteristics

Sharpe Ratio

FLEE:

0.76

^GSPC:

0.46

Sortino Ratio

FLEE:

1.16

^GSPC:

0.77

Omega Ratio

FLEE:

1.15

^GSPC:

1.11

Calmar Ratio

FLEE:

0.89

^GSPC:

0.47

Martin Ratio

FLEE:

2.58

^GSPC:

1.94

Ulcer Index

FLEE:

5.01%

^GSPC:

4.61%

Daily Std Dev

FLEE:

16.98%

^GSPC:

19.44%

Max Drawdown

FLEE:

-37.27%

^GSPC:

-56.78%

Current Drawdown

FLEE:

-0.99%

^GSPC:

-10.07%

Returns By Period

In the year-to-date period, FLEE achieves a 15.04% return, which is significantly higher than ^GSPC's -6.06% return.


FLEE

YTD

15.04%

1M

1.98%

6M

8.34%

1Y

12.87%

5Y*

13.42%

10Y*

N/A

^GSPC

YTD

-6.06%

1M

-1.00%

6M

-4.87%

1Y

8.34%

5Y*

14.11%

10Y*

10.27%

*Annualized

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Risk-Adjusted Performance

FLEE vs. ^GSPC — Risk-Adjusted Performance Rank

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

FLEE
The Risk-Adjusted Performance Rank of FLEE is 7373
Overall Rank
The Sharpe Ratio Rank of FLEE is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of FLEE is 7373
Sortino Ratio Rank
The Omega Ratio Rank of FLEE is 7171
Omega Ratio Rank
The Calmar Ratio Rank of FLEE is 8080
Calmar Ratio Rank
The Martin Ratio Rank of FLEE is 6969
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6969
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6262
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6868
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 7171
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7474
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.

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.


The chart of Sharpe ratio for FLEE, currently valued at 0.76, compared to the broader market-1.000.001.002.003.004.00
FLEE: 0.76
^GSPC: 0.46
The chart of Sortino ratio for FLEE, currently valued at 1.16, compared to the broader market-2.000.002.004.006.008.00
FLEE: 1.16
^GSPC: 0.77
The chart of Omega ratio for FLEE, currently valued at 1.15, compared to the broader market0.501.001.502.002.50
FLEE: 1.15
^GSPC: 1.11
The chart of Calmar ratio for FLEE, currently valued at 0.89, compared to the broader market0.002.004.006.008.0010.0012.00
FLEE: 0.89
^GSPC: 0.47
The chart of Martin ratio for FLEE, currently valued at 2.58, compared to the broader market0.0020.0040.0060.00
FLEE: 2.58
^GSPC: 1.94

The current FLEE Sharpe Ratio is 0.76, which is higher than the ^GSPC Sharpe Ratio of 0.46. 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.


Rolling 12-month Sharpe Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.76
0.46
FLEE
^GSPC

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.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-0.99%
-10.07%
FLEE
^GSPC

Volatility

FLEE vs. ^GSPC - Volatility Comparison

The current volatility for Franklin FTSE Europe ETF (FLEE) is 11.28%, while S&P 500 (^GSPC) has a volatility of 14.23%. This indicates that FLEE experiences smaller price fluctuations and is considered to be less risky than ^GSPC 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%12.00%14.00%NovemberDecember2025FebruaryMarchApril
11.28%
14.23%
FLEE
^GSPC