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

Key characteristics


FLHYSPY
YTD Return8.56%26.83%
1Y Return13.31%34.88%
3Y Return (Ann)3.64%10.16%
5Y Return (Ann)4.73%15.71%
Sharpe Ratio3.263.08
Sortino Ratio5.234.10
Omega Ratio1.671.58
Calmar Ratio4.594.46
Martin Ratio28.1320.22
Ulcer Index0.51%1.85%
Daily Std Dev4.37%12.18%
Max Drawdown-22.57%-55.19%
Current Drawdown-0.49%-0.26%

Correlation

-0.50.00.51.00.7

The correlation between FLHY and SPY is 0.66, 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. SPY - Performance Comparison

In the year-to-date period, FLHY achieves a 8.56% return, which is significantly lower than SPY's 26.83% 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%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.99%
13.44%
FLHY
SPY

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FLHY vs. SPY - Expense Ratio Comparison

FLHY has a 0.40% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

FLHY vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin Liberty High Yield Corporate ETF (FLHY) and SPDR S&P 500 ETF (SPY). 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 3.26, compared to the broader market-2.000.002.004.006.003.26
Sortino ratio
The chart of Sortino ratio for FLHY, currently valued at 5.23, compared to the broader market-2.000.002.004.006.008.0010.0012.005.23
Omega ratio
The chart of Omega ratio for FLHY, currently valued at 1.67, compared to the broader market1.001.502.002.503.001.67
Calmar ratio
The chart of Calmar ratio for FLHY, currently valued at 4.59, compared to the broader market0.005.0010.0015.004.59
Martin ratio
The chart of Martin ratio for FLHY, currently valued at 28.13, compared to the broader market0.0020.0040.0060.0080.00100.00120.0028.13
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.08, compared to the broader market-2.000.002.004.006.003.08
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.10, compared to the broader market-2.000.002.004.006.008.0010.0012.004.10
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.46, compared to the broader market0.005.0010.0015.004.46
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.22, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.22

FLHY vs. SPY - Sharpe Ratio Comparison

The current FLHY Sharpe Ratio is 3.26, which is comparable to the SPY Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of FLHY and SPY, 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
3.26
3.08
FLHY
SPY

Dividends

FLHY vs. SPY - Dividend Comparison

FLHY's dividend yield for the trailing twelve months is around 6.40%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
FLHY
Franklin Liberty High Yield Corporate ETF
6.40%6.25%6.54%5.50%5.48%5.45%4.28%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

FLHY vs. SPY - Drawdown Comparison

The maximum FLHY drawdown since its inception was -22.57%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FLHY and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.49%
-0.26%
FLHY
SPY

Volatility

FLHY vs. SPY - Volatility Comparison

The current volatility for Franklin Liberty High Yield Corporate ETF (FLHY) is 1.10%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.77%. This indicates that FLHY experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
1.10%
3.77%
FLHY
SPY