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

Performance

FLHY vs. HYDB - Performance Comparison

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

0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.30%
5.79%
FLHY
HYDB

Returns By Period

In the year-to-date period, FLHY achieves a 8.65% return, which is significantly lower than HYDB's 9.29% return.


FLHY

YTD

8.65%

1M

-0.04%

6M

5.30%

1Y

13.11%

5Y (annualized)

4.86%

10Y (annualized)

N/A

HYDB

YTD

9.29%

1M

0.36%

6M

5.79%

1Y

13.77%

5Y (annualized)

5.39%

10Y (annualized)

N/A

Key characteristics


FLHYHYDB
Sharpe Ratio3.052.96
Sortino Ratio4.864.62
Omega Ratio1.621.58
Calmar Ratio4.857.16
Martin Ratio25.7725.37
Ulcer Index0.51%0.55%
Daily Std Dev4.31%4.68%
Max Drawdown-22.57%-21.58%
Current Drawdown-0.41%-0.41%

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FLHY vs. HYDB - Expense Ratio Comparison

FLHY has a 0.40% expense ratio, which is higher than HYDB's 0.35% expense ratio.


FLHY
Franklin Liberty High Yield Corporate ETF
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%
Expense ratio chart for HYDB: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Correlation

-0.50.00.51.00.8

The correlation between FLHY and HYDB is 0.83, 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. HYDB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin Liberty High Yield Corporate ETF (FLHY) and iShares High Yield Bond Factor ETF (HYDB). 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 3.05, compared to the broader market0.002.004.006.003.052.96
The chart of Sortino ratio for FLHY, currently valued at 4.86, compared to the broader market-2.000.002.004.006.008.0010.0012.004.864.62
The chart of Omega ratio for FLHY, currently valued at 1.62, compared to the broader market0.501.001.502.002.503.001.621.58
The chart of Calmar ratio for FLHY, currently valued at 4.85, compared to the broader market0.005.0010.0015.004.857.16
The chart of Martin ratio for FLHY, currently valued at 25.77, compared to the broader market0.0020.0040.0060.0080.00100.00120.0025.7725.37
FLHY
HYDB

The current FLHY Sharpe Ratio is 3.05, which is comparable to the HYDB Sharpe Ratio of 2.96. The chart below compares the historical Sharpe Ratios of FLHY and HYDB, 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
3.05
2.96
FLHY
HYDB

Dividends

FLHY vs. HYDB - Dividend Comparison

FLHY's dividend yield for the trailing twelve months is around 6.39%, less than HYDB's 6.97% yield.


TTM2023202220212020201920182017
FLHY
Franklin Liberty High Yield Corporate ETF
6.39%6.25%6.54%5.50%5.48%5.45%4.28%0.00%
HYDB
iShares High Yield Bond Factor ETF
6.97%7.00%6.30%4.70%5.81%5.68%6.17%2.70%

Drawdowns

FLHY vs. HYDB - Drawdown Comparison

The maximum FLHY drawdown since its inception was -22.57%, roughly equal to the maximum HYDB drawdown of -21.58%. Use the drawdown chart below to compare losses from any high point for FLHY and HYDB. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.41%
-0.41%
FLHY
HYDB

Volatility

FLHY vs. HYDB - Volatility Comparison

The current volatility for Franklin Liberty High Yield Corporate ETF (FLHY) is 1.05%, while iShares High Yield Bond Factor ETF (HYDB) has a volatility of 1.22%. This indicates that FLHY experiences smaller price fluctuations and is considered to be less risky than HYDB based on this measure. 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
1.05%
1.22%
FLHY
HYDB