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FLMI vs. JMST
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FLMI vs. JMST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin Liberty Federal Intermediate Tax-Free Bond Opportunities ETF (FLMI) and JPMorgan Ultra-Short Municipal Income ETF (JMST). The values are adjusted to include any dividend payments, if applicable.

10.00%12.00%14.00%16.00%18.00%20.00%22.00%24.00%JuneJulyAugustSeptemberOctoberNovember
22.04%
12.37%
FLMI
JMST

Returns By Period

In the year-to-date period, FLMI achieves a 5.17% return, which is significantly higher than JMST's 3.01% return.


FLMI

YTD

5.17%

1M

-0.59%

6M

3.25%

1Y

10.69%

5Y (annualized)

2.38%

10Y (annualized)

N/A

JMST

YTD

3.01%

1M

0.28%

6M

1.92%

1Y

3.92%

5Y (annualized)

1.84%

10Y (annualized)

N/A

Key characteristics


FLMIJMST
Sharpe Ratio2.415.22
Sortino Ratio3.669.47
Omega Ratio1.512.32
Calmar Ratio1.2923.91
Martin Ratio18.03104.88
Ulcer Index0.59%0.04%
Daily Std Dev4.44%0.77%
Max Drawdown-14.66%-2.41%
Current Drawdown-0.99%0.00%

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FLMI vs. JMST - Expense Ratio Comparison

FLMI has a 0.30% expense ratio, which is higher than JMST's 0.18% expense ratio.


FLMI
Franklin Liberty Federal Intermediate Tax-Free Bond Opportunities ETF
Expense ratio chart for FLMI: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for JMST: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Correlation

-0.50.00.51.00.3

The correlation between FLMI and JMST is 0.26, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

FLMI vs. JMST - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin Liberty Federal Intermediate Tax-Free Bond Opportunities ETF (FLMI) and JPMorgan Ultra-Short Municipal Income ETF (JMST). 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 FLMI, currently valued at 2.41, compared to the broader market0.002.004.006.002.415.22
The chart of Sortino ratio for FLMI, currently valued at 3.66, compared to the broader market-2.000.002.004.006.008.0010.0012.003.669.47
The chart of Omega ratio for FLMI, currently valued at 1.51, compared to the broader market0.501.001.502.002.503.001.512.32
The chart of Calmar ratio for FLMI, currently valued at 1.29, compared to the broader market0.005.0010.0015.001.2923.91
The chart of Martin ratio for FLMI, currently valued at 18.03, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.03104.88
FLMI
JMST

The current FLMI Sharpe Ratio is 2.41, which is lower than the JMST Sharpe Ratio of 5.22. The chart below compares the historical Sharpe Ratios of FLMI and JMST, 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 Ratio1.002.003.004.005.006.00JuneJulyAugustSeptemberOctoberNovember
2.41
5.22
FLMI
JMST

Dividends

FLMI vs. JMST - Dividend Comparison

FLMI's dividend yield for the trailing twelve months is around 4.04%, more than JMST's 3.35% yield.


TTM2023202220212020201920182017
FLMI
Franklin Liberty Federal Intermediate Tax-Free Bond Opportunities ETF
4.04%3.71%3.09%2.22%2.09%2.71%2.41%0.00%
JMST
JPMorgan Ultra-Short Municipal Income ETF
3.35%3.09%1.11%0.27%0.87%1.63%0.34%0.00%

Drawdowns

FLMI vs. JMST - Drawdown Comparison

The maximum FLMI drawdown since its inception was -14.66%, which is greater than JMST's maximum drawdown of -2.41%. Use the drawdown chart below to compare losses from any high point for FLMI and JMST. For additional features, visit the drawdowns tool.


-2.50%-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.99%
0
FLMI
JMST

Volatility

FLMI vs. JMST - Volatility Comparison

Franklin Liberty Federal Intermediate Tax-Free Bond Opportunities ETF (FLMI) has a higher volatility of 2.03% compared to JPMorgan Ultra-Short Municipal Income ETF (JMST) at 0.30%. This indicates that FLMI's price experiences larger fluctuations and is considered to be riskier than JMST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
2.03%
0.30%
FLMI
JMST