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

Key characteristics


FLSASPY
YTD Return0.83%21.01%
1Y Return8.42%32.86%
3Y Return (Ann)1.85%8.37%
5Y Return (Ann)10.85%14.97%
Sharpe Ratio0.722.83
Sortino Ratio1.073.76
Omega Ratio1.131.53
Calmar Ratio0.464.05
Martin Ratio1.8218.38
Ulcer Index5.30%1.85%
Daily Std Dev13.45%12.02%
Max Drawdown-38.32%-55.19%
Current Drawdown-12.75%-2.53%

Correlation

-0.50.00.51.00.4

The correlation between FLSA and SPY is 0.38, 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.

Performance

FLSA vs. SPY - Performance Comparison

In the year-to-date period, FLSA achieves a 0.83% return, which is significantly lower than SPY's 21.01% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-1.74%
11.00%
FLSA
SPY

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FLSA vs. SPY - Expense Ratio Comparison

FLSA has a 0.39% expense ratio, which is higher than SPY's 0.09% expense ratio.


FLSA
Franklin FTSE Saudi Arabia ETF
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%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

FLSA vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Saudi Arabia ETF (FLSA) and SPDR S&P 500 ETF (SPY). 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 market0.002.004.006.000.72
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 market0.005.0010.0015.0020.000.46
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
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.83, compared to the broader market0.002.004.006.002.83
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.76, compared to the broader market0.005.0010.003.76
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.53, compared to the broader market1.001.502.002.503.003.501.53
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.05, compared to the broader market0.005.0010.0015.0020.004.05
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.38, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.38

FLSA vs. SPY - Sharpe Ratio Comparison

The current FLSA Sharpe Ratio is 0.72, which is lower than the SPY Sharpe Ratio of 2.83. The chart below compares the historical Sharpe Ratios of FLSA and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.72
2.83
FLSA
SPY

Dividends

FLSA vs. SPY - Dividend Comparison

FLSA's dividend yield for the trailing twelve months is around 3.27%, more than SPY's 1.23% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

FLSA vs. SPY - Drawdown Comparison

The maximum FLSA drawdown since its inception was -38.32%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FLSA and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-12.75%
-2.53%
FLSA
SPY

Volatility

FLSA vs. SPY - Volatility Comparison

Franklin FTSE Saudi Arabia ETF (FLSA) and SPDR S&P 500 ETF (SPY) have volatilities of 3.15% and 3.15%, 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.15%
3.15%
FLSA
SPY