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FLQM vs. OMFL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FLQM and OMFL 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.


-0.50.00.51.00.8

Performance

FLQM vs. OMFL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin LibertyQ U.S. Mid Cap Equity ETF (FLQM) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL). The values are adjusted to include any dividend payments, if applicable.

110.00%120.00%130.00%140.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
131.68%
144.50%
FLQM
OMFL

Key characteristics

Sharpe Ratio

FLQM:

1.27

OMFL:

0.70

Sortino Ratio

FLQM:

1.86

OMFL:

1.02

Omega Ratio

FLQM:

1.22

OMFL:

1.13

Calmar Ratio

FLQM:

2.03

OMFL:

0.75

Martin Ratio

FLQM:

6.03

OMFL:

2.20

Ulcer Index

FLQM:

2.67%

OMFL:

4.53%

Daily Std Dev

FLQM:

12.63%

OMFL:

14.13%

Max Drawdown

FLQM:

-37.26%

OMFL:

-33.24%

Current Drawdown

FLQM:

-7.24%

OMFL:

-2.81%

Returns By Period

In the year-to-date period, FLQM achieves a 14.31% return, which is significantly higher than OMFL's 8.16% return.


FLQM

YTD

14.31%

1M

-3.62%

6M

6.17%

1Y

14.84%

5Y*

11.73%

10Y*

N/A

OMFL

YTD

8.16%

1M

1.33%

6M

4.64%

1Y

8.58%

5Y*

12.01%

10Y*

N/A

Compare stocks, funds, or ETFs

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


FLQM vs. OMFL - Expense Ratio Comparison

FLQM has a 0.30% expense ratio, which is higher than OMFL's 0.29% expense ratio.


FLQM
Franklin LibertyQ U.S. Mid Cap Equity ETF
Expense ratio chart for FLQM: 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 OMFL: 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

FLQM vs. OMFL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin LibertyQ U.S. Mid Cap Equity ETF (FLQM) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL). 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 FLQM, currently valued at 1.27, compared to the broader market0.002.004.001.270.70
The chart of Sortino ratio for FLQM, currently valued at 1.86, compared to the broader market-2.000.002.004.006.008.0010.001.861.02
The chart of Omega ratio for FLQM, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.13
The chart of Calmar ratio for FLQM, currently valued at 2.03, compared to the broader market0.005.0010.0015.002.030.75
The chart of Martin ratio for FLQM, currently valued at 6.03, compared to the broader market0.0020.0040.0060.0080.00100.006.032.20
FLQM
OMFL

The current FLQM Sharpe Ratio is 1.27, which is higher than the OMFL Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of FLQM and OMFL, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
1.27
0.70
FLQM
OMFL

Dividends

FLQM vs. OMFL - Dividend Comparison

FLQM's dividend yield for the trailing twelve months is around 0.83%, less than OMFL's 1.07% yield.


TTM2023202220212020201920182017
FLQM
Franklin LibertyQ U.S. Mid Cap Equity ETF
0.83%1.27%1.33%1.05%1.09%1.36%1.45%1.14%
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF
1.07%1.37%1.55%0.95%1.48%1.53%1.39%0.32%

Drawdowns

FLQM vs. OMFL - Drawdown Comparison

The maximum FLQM drawdown since its inception was -37.26%, which is greater than OMFL's maximum drawdown of -33.24%. Use the drawdown chart below to compare losses from any high point for FLQM and OMFL. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.24%
-2.81%
FLQM
OMFL

Volatility

FLQM vs. OMFL - Volatility Comparison

Franklin LibertyQ U.S. Mid Cap Equity ETF (FLQM) and Invesco Russell 1000 Dynamic Multifactor ETF (OMFL) have volatilities of 4.29% and 4.12%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.29%
4.12%
FLQM
OMFL
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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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