FLQL vs. USMF
Compare and contrast key facts about Franklin LibertyQ U.S. Equity ETF (FLQL) and WisdomTree US Multifactor Fund (USMF).
FLQL and USMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FLQL is a passively managed fund by Franklin Templeton that tracks the performance of the LibertyQ U.S. Large Cap Equity Index. It was launched on Apr 26, 2017. USMF is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree US Multifactor Index. It was launched on Jun 29, 2017. Both FLQL and USMF are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
FLQL vs. USMF - Performance Comparison
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FLQL vs. USMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FLQL Franklin LibertyQ U.S. Equity ETF | -2.22% | 19.64% | 24.33% | 23.58% | -14.83% | 26.58% | 10.67% | 29.09% | -2.79% | 13.01% |
USMF WisdomTree US Multifactor Fund | -3.32% | 4.60% | 19.65% | 13.47% | -8.82% | 21.26% | 12.01% | 24.06% | -4.72% | 11.27% |
Returns By Period
In the year-to-date period, FLQL achieves a -2.22% return, which is significantly higher than USMF's -3.32% return.
FLQL
- 1D
- 3.25%
- 1M
- -4.91%
- YTD
- -2.22%
- 6M
- -0.56%
- 1Y
- 21.26%
- 3Y*
- 19.32%
- 5Y*
- 12.59%
- 10Y*
- —
USMF
- 1D
- 1.60%
- 1M
- -3.99%
- YTD
- -3.32%
- 6M
- -4.86%
- 1Y
- 0.89%
- 3Y*
- 11.09%
- 5Y*
- 6.81%
- 10Y*
- —
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FLQL vs. USMF - Expense Ratio Comparison
FLQL has a 0.15% expense ratio, which is lower than USMF's 0.28% expense ratio.
Return for Risk
FLQL vs. USMF — Risk / Return Rank
FLQL
USMF
FLQL vs. USMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Franklin LibertyQ U.S. Equity ETF (FLQL) and WisdomTree US Multifactor Fund (USMF). 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.
| FLQL | USMF | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.15 | 0.06 | +1.09 |
Sortino ratioReturn per unit of downside risk | 1.72 | 0.19 | +1.53 |
Omega ratioGain probability vs. loss probability | 1.26 | 1.03 | +0.23 |
Calmar ratioReturn relative to maximum drawdown | 1.82 | 0.13 | +1.69 |
Martin ratioReturn relative to average drawdown | 8.82 | 0.54 | +8.28 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FLQL | USMF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.15 | 0.06 | +1.09 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.79 | 0.48 | +0.31 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.77 | 0.58 | +0.19 |
Correlation
The correlation between FLQL and USMF is 0.82, 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.
Dividends
FLQL vs. USMF - Dividend Comparison
FLQL's dividend yield for the trailing twelve months is around 1.16%, less than USMF's 1.42% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FLQL Franklin LibertyQ U.S. Equity ETF | 1.16% | 1.10% | 1.13% | 1.50% | 2.07% | 1.81% | 1.99% | 1.78% | 1.82% | 1.22% |
USMF WisdomTree US Multifactor Fund | 1.42% | 1.37% | 1.22% | 1.33% | 1.74% | 1.42% | 1.34% | 1.38% | 1.45% | 0.67% |
Drawdowns
FLQL vs. USMF - Drawdown Comparison
The maximum FLQL drawdown since its inception was -33.64%, smaller than the maximum USMF drawdown of -36.24%. Use the drawdown chart below to compare losses from any high point for FLQL and USMF.
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Drawdown Indicators
| FLQL | USMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.64% | -36.24% | +2.60% |
Max Drawdown (1Y)Largest decline over 1 year | -12.12% | -11.36% | -0.76% |
Max Drawdown (5Y)Largest decline over 5 years | -21.41% | -18.10% | -3.31% |
Current DrawdownCurrent decline from peak | -6.09% | -4.96% | -1.13% |
Average DrawdownAverage peak-to-trough decline | -4.11% | -4.22% | +0.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.50% | 2.73% | -0.23% |
Volatility
FLQL vs. USMF - Volatility Comparison
Franklin LibertyQ U.S. Equity ETF (FLQL) has a higher volatility of 5.97% compared to WisdomTree US Multifactor Fund (USMF) at 3.43%. This indicates that FLQL's price experiences larger fluctuations and is considered to be riskier than USMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FLQL | USMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.97% | 3.43% | +2.54% |
Volatility (6M)Calculated over the trailing 6-month period | 10.38% | 7.76% | +2.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.56% | 15.33% | +3.23% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.06% | 14.30% | +1.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.57% | 17.08% | +0.49% |