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FLSA vs. KSA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FLSAKSA
YTD Return0.83%0.78%
1Y Return8.42%10.19%
3Y Return (Ann)1.85%1.23%
5Y Return (Ann)10.85%9.85%
Sharpe Ratio0.720.84
Sortino Ratio1.071.23
Omega Ratio1.131.16
Calmar Ratio0.460.50
Martin Ratio1.822.21
Ulcer Index5.30%5.05%
Daily Std Dev13.45%13.36%
Max Drawdown-38.32%-40.56%
Current Drawdown-12.75%-12.71%

Correlation

-0.50.00.51.00.9

The correlation between FLSA and KSA is 0.89, 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.

Performance

FLSA vs. KSA - Performance Comparison

In the year-to-date period, FLSA achieves a 0.83% return, which is significantly higher than KSA's 0.78% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-8.00%-6.00%-4.00%-2.00%0.00%2.00%JuneJulyAugustSeptemberOctoberNovember
-1.74%
-1.62%
FLSA
KSA

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FLSA vs. KSA - Expense Ratio Comparison

FLSA has a 0.39% expense ratio, which is lower than KSA's 0.74% expense ratio.


KSA
iShares MSCI Saudi Arabia ETF
Expense ratio chart for KSA: current value at 0.74% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.74%
Expense ratio chart for FLSA: 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%

Risk-Adjusted Performance

FLSA vs. KSA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Saudi Arabia ETF (FLSA) and iShares MSCI Saudi Arabia ETF (KSA). 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.


FLSA
Sharpe ratio
The chart of Sharpe ratio for FLSA, currently valued at 0.72, compared to the broader market0.002.004.000.72
Sortino ratio
The chart of Sortino ratio for FLSA, currently valued at 1.07, compared to the broader market0.005.0010.001.07
Omega ratio
The chart of Omega ratio for FLSA, currently valued at 1.13, compared to the broader market1.001.502.002.503.003.501.13
Calmar ratio
The chart of Calmar ratio for FLSA, currently valued at 0.46, compared to the broader market0.005.0010.0015.000.46
Martin ratio
The chart of Martin ratio for FLSA, currently valued at 1.82, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.82
KSA
Sharpe ratio
The chart of Sharpe ratio for KSA, currently valued at 0.84, compared to the broader market0.002.004.000.84
Sortino ratio
The chart of Sortino ratio for KSA, currently valued at 1.23, compared to the broader market0.005.0010.001.23
Omega ratio
The chart of Omega ratio for KSA, currently valued at 1.16, compared to the broader market1.001.502.002.503.003.501.16
Calmar ratio
The chart of Calmar ratio for KSA, currently valued at 0.50, compared to the broader market0.005.0010.0015.000.50
Martin ratio
The chart of Martin ratio for KSA, currently valued at 2.21, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.21

FLSA vs. KSA - Sharpe Ratio Comparison

The current FLSA Sharpe Ratio is 0.72, which is comparable to the KSA Sharpe Ratio of 0.84. The chart below compares the historical Sharpe Ratios of FLSA and KSA, 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 Ratio0.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.72
0.84
FLSA
KSA

Dividends

FLSA vs. KSA - Dividend Comparison

FLSA's dividend yield for the trailing twelve months is around 3.27%, more than KSA's 2.75% yield.


TTM202320222021202020192018201720162015
FLSA
Franklin FTSE Saudi Arabia ETF
3.27%3.09%1.90%1.95%2.16%3.18%0.00%0.00%0.00%0.00%
KSA
iShares MSCI Saudi Arabia ETF
2.75%2.44%1.93%1.58%1.76%2.15%2.51%2.30%3.05%0.04%

Drawdowns

FLSA vs. KSA - Drawdown Comparison

The maximum FLSA drawdown since its inception was -38.32%, smaller than the maximum KSA drawdown of -40.56%. Use the drawdown chart below to compare losses from any high point for FLSA and KSA. For additional features, visit the drawdowns tool.


-18.00%-16.00%-14.00%-12.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-12.75%
-12.71%
FLSA
KSA

Volatility

FLSA vs. KSA - Volatility Comparison

Franklin FTSE Saudi Arabia ETF (FLSA) has a higher volatility of 3.15% compared to iShares MSCI Saudi Arabia ETF (KSA) at 2.96%. This indicates that FLSA's price experiences larger fluctuations and is considered to be riskier than KSA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.15%
2.96%
FLSA
KSA