PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FLSA vs. VWO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FLSAVWO
YTD Return0.83%14.58%
1Y Return8.42%21.76%
3Y Return (Ann)1.85%0.26%
5Y Return (Ann)10.85%4.67%
Sharpe Ratio0.721.65
Sortino Ratio1.072.37
Omega Ratio1.131.30
Calmar Ratio0.460.96
Martin Ratio1.829.36
Ulcer Index5.30%2.56%
Daily Std Dev13.45%14.43%
Max Drawdown-38.32%-67.68%
Current Drawdown-12.75%-7.77%

Correlation

-0.50.00.51.00.5

The correlation between FLSA and VWO is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

FLSA vs. VWO - Performance Comparison

In the year-to-date period, FLSA achieves a 0.83% return, which is significantly lower than VWO's 14.58% 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%15.00%JuneJulyAugustSeptemberOctoberNovember
-1.74%
8.04%
FLSA
VWO

Compare stocks, funds, or ETFs

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


FLSA vs. VWO - Expense Ratio Comparison

FLSA has a 0.39% expense ratio, which is higher than VWO's 0.08% 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 VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

FLSA vs. VWO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Saudi Arabia ETF (FLSA) and Vanguard FTSE Emerging Markets ETF (VWO). 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
VWO
Sharpe ratio
The chart of Sharpe ratio for VWO, currently valued at 1.65, compared to the broader market0.002.004.006.001.65
Sortino ratio
The chart of Sortino ratio for VWO, currently valued at 2.37, compared to the broader market0.005.0010.002.37
Omega ratio
The chart of Omega ratio for VWO, currently valued at 1.30, compared to the broader market1.001.502.002.503.003.501.30
Calmar ratio
The chart of Calmar ratio for VWO, currently valued at 0.96, compared to the broader market0.005.0010.0015.0020.000.96
Martin ratio
The chart of Martin ratio for VWO, currently valued at 9.36, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.36

FLSA vs. VWO - Sharpe Ratio Comparison

The current FLSA Sharpe Ratio is 0.72, which is lower than the VWO Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of FLSA and VWO, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.72
1.65
FLSA
VWO

Dividends

FLSA vs. VWO - Dividend Comparison

FLSA's dividend yield for the trailing twelve months is around 3.27%, more than VWO's 2.59% 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%
VWO
Vanguard FTSE Emerging Markets ETF
2.59%3.52%4.11%2.63%1.91%3.23%2.88%2.30%2.52%3.26%2.86%2.73%

Drawdowns

FLSA vs. VWO - Drawdown Comparison

The maximum FLSA drawdown since its inception was -38.32%, smaller than the maximum VWO drawdown of -67.68%. Use the drawdown chart below to compare losses from any high point for FLSA and VWO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-12.75%
-7.77%
FLSA
VWO

Volatility

FLSA vs. VWO - Volatility Comparison

The current volatility for Franklin FTSE Saudi Arabia ETF (FLSA) is 3.15%, while Vanguard FTSE Emerging Markets ETF (VWO) has a volatility of 4.37%. This indicates that FLSA experiences smaller price fluctuations and is considered to be less risky than VWO 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%7.00%JuneJulyAugustSeptemberOctoberNovember
3.15%
4.37%
FLSA
VWO