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

Key characteristics


FLHYFLBL
YTD Return8.90%7.23%
1Y Return14.58%10.14%
3Y Return (Ann)3.75%6.35%
5Y Return (Ann)4.83%5.30%
Sharpe Ratio3.475.16
Sortino Ratio5.628.02
Omega Ratio1.722.32
Calmar Ratio4.0611.50
Martin Ratio30.1370.73
Ulcer Index0.50%0.14%
Daily Std Dev4.35%1.91%
Max Drawdown-22.57%-19.52%
Current Drawdown-0.18%0.00%

Correlation

-0.50.00.51.00.4

The correlation between FLHY and FLBL is 0.40, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

FLHY vs. FLBL - Performance Comparison

In the year-to-date period, FLHY achieves a 8.90% return, which is significantly higher than FLBL's 7.23% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.94%
3.79%
FLHY
FLBL

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FLHY vs. FLBL - Expense Ratio Comparison

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


FLBL
Franklin Liberty Senior Loan ETF
Expense ratio chart for FLBL: 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%

Risk-Adjusted Performance

FLHY vs. FLBL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin Liberty High Yield Corporate ETF (FLHY) and Franklin Liberty Senior Loan ETF (FLBL). 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.


FLHY
Sharpe ratio
The chart of Sharpe ratio for FLHY, currently valued at 3.47, compared to the broader market-2.000.002.004.006.003.47
Sortino ratio
The chart of Sortino ratio for FLHY, currently valued at 5.62, compared to the broader market0.005.0010.005.62
Omega ratio
The chart of Omega ratio for FLHY, currently valued at 1.72, compared to the broader market1.001.502.002.503.001.72
Calmar ratio
The chart of Calmar ratio for FLHY, currently valued at 4.06, compared to the broader market0.005.0010.0015.004.06
Martin ratio
The chart of Martin ratio for FLHY, currently valued at 30.13, compared to the broader market0.0020.0040.0060.0080.00100.00120.0030.13
FLBL
Sharpe ratio
The chart of Sharpe ratio for FLBL, currently valued at 5.16, compared to the broader market-2.000.002.004.006.005.16
Sortino ratio
The chart of Sortino ratio for FLBL, currently valued at 8.02, compared to the broader market0.005.0010.008.02
Omega ratio
The chart of Omega ratio for FLBL, currently valued at 2.32, compared to the broader market1.001.502.002.503.002.32
Calmar ratio
The chart of Calmar ratio for FLBL, currently valued at 11.50, compared to the broader market0.005.0010.0015.0011.50
Martin ratio
The chart of Martin ratio for FLBL, currently valued at 70.73, compared to the broader market0.0020.0040.0060.0080.00100.00120.0070.73

FLHY vs. FLBL - Sharpe Ratio Comparison

The current FLHY Sharpe Ratio is 3.47, which is lower than the FLBL Sharpe Ratio of 5.16. The chart below compares the historical Sharpe Ratios of FLHY and FLBL, 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 Ratio2.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
3.47
5.16
FLHY
FLBL

Dividends

FLHY vs. FLBL - Dividend Comparison

FLHY's dividend yield for the trailing twelve months is around 6.38%, less than FLBL's 8.14% yield.


TTM202320222021202020192018
FLHY
Franklin Liberty High Yield Corporate ETF
6.38%6.25%6.54%5.50%5.48%5.45%4.28%
FLBL
Franklin Liberty Senior Loan ETF
8.14%8.37%5.53%3.57%3.22%3.97%2.20%

Drawdowns

FLHY vs. FLBL - Drawdown Comparison

The maximum FLHY drawdown since its inception was -22.57%, which is greater than FLBL's maximum drawdown of -19.52%. Use the drawdown chart below to compare losses from any high point for FLHY and FLBL. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.18%
0
FLHY
FLBL

Volatility

FLHY vs. FLBL - Volatility Comparison

Franklin Liberty High Yield Corporate ETF (FLHY) has a higher volatility of 1.03% compared to Franklin Liberty Senior Loan ETF (FLBL) at 0.42%. This indicates that FLHY's price experiences larger fluctuations and is considered to be riskier than FLBL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.60%0.80%1.00%1.20%1.40%1.60%JuneJulyAugustSeptemberOctoberNovember
1.03%
0.42%
FLHY
FLBL