PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FLJP vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FLJP and VOO is 0.67, 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.


-0.50.00.51.00.7

Performance

FLJP vs. VOO - Performance Comparison

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

50.00%100.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
28.06%
158.13%
FLJP
VOO

Key characteristics

Sharpe Ratio

FLJP:

0.48

VOO:

2.25

Sortino Ratio

FLJP:

0.76

VOO:

2.98

Omega Ratio

FLJP:

1.09

VOO:

1.42

Calmar Ratio

FLJP:

0.72

VOO:

3.31

Martin Ratio

FLJP:

1.95

VOO:

14.77

Ulcer Index

FLJP:

4.23%

VOO:

1.90%

Daily Std Dev

FLJP:

17.16%

VOO:

12.46%

Max Drawdown

FLJP:

-32.49%

VOO:

-33.99%

Current Drawdown

FLJP:

-8.87%

VOO:

-2.47%

Returns By Period

In the year-to-date period, FLJP achieves a 4.62% return, which is significantly lower than VOO's 26.02% return.


FLJP

YTD

4.62%

1M

-0.98%

6M

1.55%

1Y

6.41%

5Y*

3.96%

10Y*

N/A

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

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


FLJP vs. VOO - Expense Ratio Comparison

FLJP 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%.


FLJP
Franklin FTSE Japan ETF
Expense ratio chart for FLJP: 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

FLJP vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Japan ETF (FLJP) 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 FLJP, currently valued at 0.48, compared to the broader market0.002.004.000.482.25
The chart of Sortino ratio for FLJP, currently valued at 0.76, compared to the broader market-2.000.002.004.006.008.0010.000.762.98
The chart of Omega ratio for FLJP, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.42
The chart of Calmar ratio for FLJP, currently valued at 0.72, compared to the broader market0.005.0010.0015.000.723.31
The chart of Martin ratio for FLJP, currently valued at 1.95, compared to the broader market0.0020.0040.0060.0080.00100.001.9514.77
FLJP
VOO

The current FLJP Sharpe Ratio is 0.48, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of FLJP 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.48
2.25
FLJP
VOO

Dividends

FLJP vs. VOO - Dividend Comparison

FLJP's dividend yield for the trailing twelve months is around 3.64%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
FLJP
Franklin FTSE Japan ETF
3.64%3.00%1.91%2.40%1.51%2.26%1.50%0.10%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

FLJP vs. VOO - Drawdown Comparison

The maximum FLJP drawdown since its inception was -32.49%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FLJP and VOO. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.87%
-2.47%
FLJP
VOO

Volatility

FLJP vs. VOO - Volatility Comparison

Franklin FTSE Japan ETF (FLJP) has a higher volatility of 5.19% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that FLJP'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%JulyAugustSeptemberOctoberNovemberDecember
5.19%
3.75%
FLJP
VOO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab