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FLHY vs. BSJO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FLHY and BSJO 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.


-0.50.00.51.00.7

Performance

FLHY vs. BSJO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin Liberty High Yield Corporate ETF (FLHY) and Invesco BulletShares 2024 High Yield Corporate Bond ETF (BSJO). The values are adjusted to include any dividend payments, if applicable.

30.00%35.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
40.76%
28.85%
FLHY
BSJO

Key characteristics

Sharpe Ratio

FLHY:

1.88

BSJO:

5.47

Sortino Ratio

FLHY:

2.69

BSJO:

9.96

Omega Ratio

FLHY:

1.35

BSJO:

2.53

Calmar Ratio

FLHY:

3.73

BSJO:

17.21

Martin Ratio

FLHY:

14.09

BSJO:

94.69

Ulcer Index

FLHY:

0.57%

BSJO:

0.06%

Daily Std Dev

FLHY:

4.27%

BSJO:

1.04%

Max Drawdown

FLHY:

-22.57%

BSJO:

-21.99%

Current Drawdown

FLHY:

-1.65%

BSJO:

0.00%

Returns By Period

In the year-to-date period, FLHY achieves a 7.82% return, which is significantly higher than BSJO's 5.37% return.


FLHY

YTD

7.82%

1M

-0.72%

6M

3.54%

1Y

7.57%

5Y*

4.19%

10Y*

N/A

BSJO

YTD

5.37%

1M

0.27%

6M

2.26%

1Y

5.48%

5Y*

2.86%

10Y*

N/A

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FLHY vs. BSJO - Expense Ratio Comparison

FLHY has a 0.40% expense ratio, which is lower than BSJO's 0.42% expense ratio.


BSJO
Invesco BulletShares 2024 High Yield Corporate Bond ETF
Expense ratio chart for BSJO: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for FLHY: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

FLHY vs. BSJO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin Liberty High Yield Corporate ETF (FLHY) and Invesco BulletShares 2024 High Yield Corporate Bond ETF (BSJO). 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 FLHY, currently valued at 1.88, compared to the broader market0.002.004.001.885.54
The chart of Sortino ratio for FLHY, currently valued at 2.69, compared to the broader market-2.000.002.004.006.008.0010.002.6910.15
The chart of Omega ratio for FLHY, currently valued at 1.35, compared to the broader market0.501.001.502.002.503.001.352.58
The chart of Calmar ratio for FLHY, currently valued at 3.73, compared to the broader market0.005.0010.0015.003.7317.34
The chart of Martin ratio for FLHY, currently valued at 14.09, compared to the broader market0.0020.0040.0060.0080.00100.0014.0995.39
FLHY
BSJO

The current FLHY Sharpe Ratio is 1.88, which is lower than the BSJO Sharpe Ratio of 5.47. The chart below compares the historical Sharpe Ratios of FLHY and BSJO, 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 Ratio2.003.004.005.006.00JulyAugustSeptemberOctoberNovemberDecember
1.88
5.54
FLHY
BSJO

Dividends

FLHY vs. BSJO - Dividend Comparison

FLHY's dividend yield for the trailing twelve months is around 5.91%, more than BSJO's 5.38% yield.


TTM20232022202120202019201820172016
FLHY
Franklin Liberty High Yield Corporate ETF
5.91%6.25%6.54%5.50%5.48%5.45%4.28%0.00%0.00%
BSJO
Invesco BulletShares 2024 High Yield Corporate Bond ETF
5.38%6.05%4.89%4.05%4.51%5.11%5.69%4.69%1.39%

Drawdowns

FLHY vs. BSJO - Drawdown Comparison

The maximum FLHY drawdown since its inception was -22.57%, roughly equal to the maximum BSJO drawdown of -21.99%. Use the drawdown chart below to compare losses from any high point for FLHY and BSJO. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.65%
0
FLHY
BSJO

Volatility

FLHY vs. BSJO - Volatility Comparison

Franklin Liberty High Yield Corporate ETF (FLHY) has a higher volatility of 1.72% compared to Invesco BulletShares 2024 High Yield Corporate Bond ETF (BSJO) at 0.19%. This indicates that FLHY's price experiences larger fluctuations and is considered to be riskier than BSJO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%JulyAugustSeptemberOctoberNovemberDecember
1.72%
0.19%
FLHY
BSJO
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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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