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FLJH vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FLJH and VOO is 0.58, 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.


-0.50.00.51.00.6

Performance

FLJH vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin FTSE Japan Hedged ETF (FLJH) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
3.91%
7.93%
FLJH
VOO

Key characteristics

Sharpe Ratio

FLJH:

1.33

VOO:

2.04

Sortino Ratio

FLJH:

1.74

VOO:

2.72

Omega Ratio

FLJH:

1.25

VOO:

1.38

Calmar Ratio

FLJH:

1.27

VOO:

3.02

Martin Ratio

FLJH:

4.44

VOO:

13.60

Ulcer Index

FLJH:

5.85%

VOO:

1.88%

Daily Std Dev

FLJH:

19.56%

VOO:

12.52%

Max Drawdown

FLJH:

-31.36%

VOO:

-33.99%

Current Drawdown

FLJH:

-4.47%

VOO:

-3.52%

Returns By Period

The year-to-date returns for both investments are quite close, with FLJH having a 24.45% return and VOO slightly higher at 24.65%.


FLJH

YTD

24.45%

1M

1.63%

6M

3.91%

1Y

26.59%

5Y*

15.72%

10Y*

N/A

VOO

YTD

24.65%

1M

-0.29%

6M

7.63%

1Y

24.77%

5Y*

14.57%

10Y*

13.02%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FLJH vs. VOO - Expense Ratio Comparison

FLJH has a 0.09% expense ratio, which is higher than VOO's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


FLJH
Franklin FTSE Japan Hedged ETF
Expense ratio chart for FLJH: 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%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

FLJH vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Japan Hedged ETF (FLJH) and Vanguard S&P 500 ETF (VOO). 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 FLJH, currently valued at 1.33, compared to the broader market0.002.004.001.331.98
The chart of Sortino ratio for FLJH, currently valued at 1.74, compared to the broader market-2.000.002.004.006.008.0010.001.742.65
The chart of Omega ratio for FLJH, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.37
The chart of Calmar ratio for FLJH, currently valued at 1.27, compared to the broader market0.005.0010.0015.001.272.93
The chart of Martin ratio for FLJH, currently valued at 4.44, compared to the broader market0.0020.0040.0060.0080.00100.004.4413.12
FLJH
VOO

The current FLJH Sharpe Ratio is 1.33, which is lower than the VOO Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of FLJH and VOO, 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 Ratio0.501.001.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
1.33
1.98
FLJH
VOO

Dividends

FLJH vs. VOO - Dividend Comparison

FLJH's dividend yield for the trailing twelve months is around 2.37%, more than VOO's 1.26% yield.


TTM20232022202120202019201820172016201520142013
FLJH
Franklin FTSE Japan Hedged ETF
2.37%25.59%26.67%1.29%0.00%0.00%5.92%0.05%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
0.92%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

FLJH vs. VOO - Drawdown Comparison

The maximum FLJH drawdown since its inception was -31.36%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FLJH and VOO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.47%
-3.52%
FLJH
VOO

Volatility

FLJH vs. VOO - Volatility Comparison

Franklin FTSE Japan Hedged ETF (FLJH) has a higher volatility of 4.78% compared to Vanguard S&P 500 ETF (VOO) at 3.56%. This indicates that FLJH's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
4.78%
3.56%
FLJH
VOO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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