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FLLV vs. RWL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FLLV and RWL is 0.78, 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.


-0.50.00.51.00.8

Performance

FLLV vs. RWL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin Liberty U.S. Low Volatility ETF (FLLV) and Invesco S&P 500 Revenue ETF (RWL). The values are adjusted to include any dividend payments, if applicable.

140.00%150.00%160.00%170.00%180.00%190.00%JulyAugustSeptemberOctoberNovemberDecember
148.54%
172.58%
FLLV
RWL

Key characteristics

Sharpe Ratio

FLLV:

1.12

RWL:

1.82

Sortino Ratio

FLLV:

1.58

RWL:

2.56

Omega Ratio

FLLV:

1.20

RWL:

1.33

Calmar Ratio

FLLV:

1.50

RWL:

3.02

Martin Ratio

FLLV:

5.25

RWL:

10.32

Ulcer Index

FLLV:

1.98%

RWL:

1.83%

Daily Std Dev

FLLV:

9.26%

RWL:

10.38%

Max Drawdown

FLLV:

-33.95%

RWL:

-54.83%

Current Drawdown

FLLV:

-6.03%

RWL:

-5.14%

Returns By Period

In the year-to-date period, FLLV achieves a 8.08% return, which is significantly lower than RWL's 17.01% return.


FLLV

YTD

8.08%

1M

-4.01%

6M

1.98%

1Y

9.37%

5Y*

9.17%

10Y*

N/A

RWL

YTD

17.01%

1M

-2.63%

6M

6.90%

1Y

17.71%

5Y*

12.94%

10Y*

11.09%

Compare stocks, funds, or ETFs

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


FLLV vs. RWL - Expense Ratio Comparison

FLLV has a 0.29% expense ratio, which is lower than RWL's 0.39% expense ratio.


RWL
Invesco S&P 500 Revenue ETF
Expense ratio chart for RWL: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for FLLV: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

FLLV vs. RWL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin Liberty U.S. Low Volatility ETF (FLLV) and Invesco S&P 500 Revenue ETF (RWL). 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 FLLV, currently valued at 1.12, compared to the broader market0.002.004.001.121.82
The chart of Sortino ratio for FLLV, currently valued at 1.58, compared to the broader market-2.000.002.004.006.008.0010.001.582.56
The chart of Omega ratio for FLLV, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.33
The chart of Calmar ratio for FLLV, currently valued at 1.50, compared to the broader market0.005.0010.0015.001.503.02
The chart of Martin ratio for FLLV, currently valued at 5.25, compared to the broader market0.0020.0040.0060.0080.00100.005.2510.32
FLLV
RWL

The current FLLV Sharpe Ratio is 1.12, which is lower than the RWL Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of FLLV and RWL, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.12
1.82
FLLV
RWL

Dividends

FLLV vs. RWL - Dividend Comparison

FLLV's dividend yield for the trailing twelve months is around 2.79%, more than RWL's 1.05% yield.


TTM20232022202120202019201820172016201520142013
FLLV
Franklin Liberty U.S. Low Volatility ETF
2.79%1.75%0.00%1.41%0.00%1.31%0.00%1.44%0.50%0.00%0.00%0.00%
RWL
Invesco S&P 500 Revenue ETF
1.05%1.60%1.62%1.35%1.75%1.87%1.99%1.61%1.71%1.97%1.43%1.61%

Drawdowns

FLLV vs. RWL - Drawdown Comparison

The maximum FLLV drawdown since its inception was -33.95%, smaller than the maximum RWL drawdown of -54.83%. Use the drawdown chart below to compare losses from any high point for FLLV and RWL. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.03%
-5.14%
FLLV
RWL

Volatility

FLLV vs. RWL - Volatility Comparison

The current volatility for Franklin Liberty U.S. Low Volatility ETF (FLLV) is 2.97%, while Invesco S&P 500 Revenue ETF (RWL) has a volatility of 3.32%. This indicates that FLLV experiences smaller price fluctuations and is considered to be less risky than RWL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%JulyAugustSeptemberOctoberNovemberDecember
2.97%
3.32%
FLLV
RWL
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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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