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

Key characteristics


FLHYHYGV
YTD Return8.90%8.44%
1Y Return14.58%14.56%
3Y Return (Ann)3.75%2.62%
5Y Return (Ann)4.83%4.79%
Sharpe Ratio3.473.36
Sortino Ratio5.625.36
Omega Ratio1.721.69
Calmar Ratio4.061.98
Martin Ratio30.1325.65
Ulcer Index0.50%0.59%
Daily Std Dev4.35%4.49%
Max Drawdown-22.57%-23.47%
Current Drawdown-0.18%-0.07%

Correlation

-0.50.00.51.00.8

The correlation between FLHY and HYGV is 0.84, 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.

Performance

FLHY vs. HYGV - Performance Comparison

In the year-to-date period, FLHY achieves a 8.90% return, which is significantly higher than HYGV's 8.44% 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%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.94%
6.28%
FLHY
HYGV

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FLHY vs. HYGV - Expense Ratio Comparison

FLHY has a 0.40% expense ratio, which is higher than HYGV's 0.37% 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 HYGV: current value at 0.37% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.37%

Risk-Adjusted Performance

FLHY vs. HYGV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin Liberty High Yield Corporate ETF (FLHY) and FlexShares High Yield Value-Scored US Bond Index Fund (HYGV). 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
HYGV
Sharpe ratio
The chart of Sharpe ratio for HYGV, currently valued at 3.36, compared to the broader market-2.000.002.004.006.003.36
Sortino ratio
The chart of Sortino ratio for HYGV, currently valued at 5.36, compared to the broader market0.005.0010.005.36
Omega ratio
The chart of Omega ratio for HYGV, currently valued at 1.69, compared to the broader market1.001.502.002.503.001.69
Calmar ratio
The chart of Calmar ratio for HYGV, currently valued at 1.98, compared to the broader market0.005.0010.0015.001.98
Martin ratio
The chart of Martin ratio for HYGV, currently valued at 25.65, compared to the broader market0.0020.0040.0060.0080.00100.00120.0025.65

FLHY vs. HYGV - Sharpe Ratio Comparison

The current FLHY Sharpe Ratio is 3.47, which is comparable to the HYGV Sharpe Ratio of 3.36. The chart below compares the historical Sharpe Ratios of FLHY and HYGV, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.47
3.36
FLHY
HYGV

Dividends

FLHY vs. HYGV - Dividend Comparison

FLHY's dividend yield for the trailing twelve months is around 6.38%, less than HYGV's 8.24% yield.


TTM202320222021202020192018
FLHY
Franklin Liberty High Yield Corporate ETF
6.38%6.25%6.54%5.50%5.48%5.45%4.28%
HYGV
FlexShares High Yield Value-Scored US Bond Index Fund
8.24%8.77%7.64%7.15%6.18%7.95%5.63%

Drawdowns

FLHY vs. HYGV - Drawdown Comparison

The maximum FLHY drawdown since its inception was -22.57%, roughly equal to the maximum HYGV drawdown of -23.47%. Use the drawdown chart below to compare losses from any high point for FLHY and HYGV. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.18%
-0.07%
FLHY
HYGV

Volatility

FLHY vs. HYGV - Volatility Comparison

Franklin Liberty High Yield Corporate ETF (FLHY) and FlexShares High Yield Value-Scored US Bond Index Fund (HYGV) have volatilities of 1.03% and 1.02%, 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%
1.02%
FLHY
HYGV