FLSP vs. SPY
FLSP (Franklin Liberty Systematic Style Premia ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - FLSP is a Long-Short fund actively managed by Franklin Templeton, while SPY is a S&P 500 fund tracking the S&P 500 Index. FLSP is actively managed, while SPY is passively managed. Over the past 5 years, FLSP returned 8.49%/yr vs 13.51%/yr for SPY. At a 0.16 correlation, their price movements are largely independent. FLSP charges 0.65%/yr vs 0.09%/yr for SPY.
Performance
FLSP vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, FLSP achieves a 2.34% return, which is significantly lower than SPY's 9.74% return.
FLSP
- 1D
- -0.58%
- 1M
- 0.95%
- YTD
- 2.34%
- 6M
- 3.30%
- 1Y
- 15.79%
- 3Y*
- 10.46%
- 5Y*
- 8.49%
- 10Y*
- —
SPY
- 1D
- -0.31%
- 1M
- 0.09%
- YTD
- 9.74%
- 6M
- 9.27%
- 1Y
- 26.65%
- 3Y*
- 21.27%
- 5Y*
- 13.51%
- 10Y*
- 15.70%
FLSP vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
FLSP Franklin Liberty Systematic Style Premia ETF | 2.34% | 15.56% | 11.75% | 3.14% | 0.44% | 11.44% | -15.19% | 0.90% |
SPY State Street SPDR S&P 500 ETF | 9.74% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 0.35% |
Correlation
The correlation between FLSP and SPY is 0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.02 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.08 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since Dec 23, 2019 | 0.16 |
The correlation between FLSP and SPY shifts across timeframes, from 0.02 (1 year) to 0.16 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
FLSP vs. SPY — Risk / Return Rank
FLSP
SPY
FLSP vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Franklin Liberty Systematic Style Premia ETF (FLSP) and State Street 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FLSP | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.41 | ||
| Sortino ratioReturn per unit of downside risk | -0.42 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 1.39 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 3.94 | 3.01 | +0.92 |
| Martin ratioReturn relative to average drawdown | 11.39 | 13.54 | -2.15 |
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Drawdowns
FLSP vs. SPY - Drawdown Comparison
The maximum FLSP drawdown since its inception was -22.75%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FLSP and SPY.
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Drawdown Indicators
| FLSP | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.75% | -55.19% | +32.44% |
Max Drawdown (1Y)Largest decline over 1 year | -4.03% | -8.88% | +4.85% |
Max Drawdown (3Y)Largest decline over 3 years | -6.69% | -18.76% | +12.07% |
Max Drawdown (5Y)Largest decline over 5 years | -9.52% | -24.50% | +14.98% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.72% | — |
Current DrawdownCurrent decline from peak | -0.90% | -1.75% | +0.85% |
Average DrawdownAverage peak-to-trough decline | -6.26% | -9.04% | +2.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.39% | 1.97% | -0.58% |
Volatility
FLSP vs. SPY - Volatility Comparison
The current volatility for Franklin Liberty Systematic Style Premia ETF (FLSP) is 1.74%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.64%. This indicates that FLSP experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FLSP | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.74% | 4.64% | -2.90% |
Volatility (6M)Calculated over the trailing 6-month period | 6.77% | 9.75% | -2.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.08% | 12.43% | -3.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.35% | 17.14% | -3.79% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.48% | 17.99% | -4.51% |
FLSP vs. SPY - Expense Ratio Comparison
FLSP has a 0.65% expense ratio, which is higher than SPY's 0.09% expense ratio.
Dividends
FLSP vs. SPY - Dividend Comparison
FLSP's dividend yield for the trailing twelve months is around 2.59%, more than SPY's 1.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FLSP Franklin Liberty Systematic Style Premia ETF | 2.59% | 2.65% | 1.18% | 1.19% | 2.18% | 1.19% | 8.08% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY State Street SPDR S&P 500 ETF | 1.01% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Frequently Asked Questions
FLSP and SPY have a correlation of 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (4.64%) compared to FLSP (1.74%). In terms of maximum drawdown, FLSP dropped -22.75% vs SPY's -55.19%.
On 5-year performance, SPY leads with 13.51% vs 8.49% for FLSP. On fees, SPY is cheaper at 0.09% per year. On volatility, FLSP has been the lower-risk option at 1.74%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, SPY has performed better with a 13.51% return vs 8.49%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPY is cheaper with a 0.09% expense ratio, compared with 0.65% for FLSP.
FLSP has the higher dividend yield at 2.59%, compared with 1.01% for SPY.
FLSP is categorized as Long-Short, while SPY is S&P 500. They also come from different issuers: Franklin Templeton and State Street. Their fees differ too: 0.65% for FLSP and 0.09% for SPY.
SPY currently has the higher Sharpe Ratio (2.16 vs 1.75), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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