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

Performance

FLHY vs. FDHY - Performance Comparison

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

-1.00%0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.39%
5.35%
FLHY
FDHY

Returns By Period

In the year-to-date period, FLHY achieves a 8.61% return, which is significantly higher than FDHY's 7.63% return.


FLHY

YTD

8.61%

1M

0.21%

6M

5.39%

1Y

12.87%

5Y (annualized)

4.84%

10Y (annualized)

N/A

FDHY

YTD

7.63%

1M

0.66%

6M

5.34%

1Y

12.05%

5Y (annualized)

4.54%

10Y (annualized)

N/A

Key characteristics


FLHYFDHY
Sharpe Ratio3.032.68
Sortino Ratio4.834.28
Omega Ratio1.611.52
Calmar Ratio5.062.19
Martin Ratio25.5421.38
Ulcer Index0.51%0.57%
Daily Std Dev4.31%4.58%
Max Drawdown-22.57%-20.01%
Current Drawdown-0.45%-0.38%

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FLHY vs. FDHY - Expense Ratio Comparison

FLHY has a 0.40% expense ratio, which is lower than FDHY's 0.45% expense ratio.


FDHY
Fidelity High Yield Factor ETF
Expense ratio chart for FDHY: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
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%

Correlation

-0.50.00.51.00.8

The correlation between FLHY and FDHY is 0.79, 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.

Risk-Adjusted Performance

FLHY vs. FDHY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin Liberty High Yield Corporate ETF (FLHY) and Fidelity High Yield Factor ETF (FDHY). 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 3.03, compared to the broader market0.002.004.003.032.68
The chart of Sortino ratio for FLHY, currently valued at 4.83, compared to the broader market-2.000.002.004.006.008.0010.0012.004.834.28
The chart of Omega ratio for FLHY, currently valued at 1.61, compared to the broader market0.501.001.502.002.503.001.611.52
The chart of Calmar ratio for FLHY, currently valued at 5.06, compared to the broader market0.005.0010.0015.005.062.19
The chart of Martin ratio for FLHY, currently valued at 25.54, compared to the broader market0.0020.0040.0060.0080.00100.0025.5421.38
FLHY
FDHY

The current FLHY Sharpe Ratio is 3.03, which is comparable to the FDHY Sharpe Ratio of 2.68. The chart below compares the historical Sharpe Ratios of FLHY and FDHY, 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 Ratio2.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.03
2.68
FLHY
FDHY

Dividends

FLHY vs. FDHY - Dividend Comparison

FLHY's dividend yield for the trailing twelve months is around 6.39%, which matches FDHY's 6.42% yield.


TTM202320222021202020192018
FLHY
Franklin Liberty High Yield Corporate ETF
6.39%6.25%6.54%5.50%5.48%5.45%4.28%
FDHY
Fidelity High Yield Factor ETF
6.42%6.26%5.34%6.09%5.78%4.94%3.07%

Drawdowns

FLHY vs. FDHY - Drawdown Comparison

The maximum FLHY drawdown since its inception was -22.57%, which is greater than FDHY's maximum drawdown of -20.01%. Use the drawdown chart below to compare losses from any high point for FLHY and FDHY. For additional features, visit the drawdowns tool.


-1.40%-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.45%
-0.38%
FLHY
FDHY

Volatility

FLHY vs. FDHY - Volatility Comparison

Franklin Liberty High Yield Corporate ETF (FLHY) and Fidelity High Yield Factor ETF (FDHY) have volatilities of 1.03% and 0.99%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


0.60%0.80%1.00%1.20%1.40%1.60%JuneJulyAugustSeptemberOctoberNovember
1.03%
0.99%
FLHY
FDHY