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BND vs. FLSP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between BND and FLSP is -0.05. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.0

Performance

BND vs. FLSP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Total Bond Market ETF (BND) and Franklin Liberty Systematic Style Premia ETF (FLSP). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
1.41%
0.47%
BND
FLSP

Key characteristics

Sharpe Ratio

BND:

0.40

FLSP:

0.85

Sortino Ratio

BND:

0.58

FLSP:

1.33

Omega Ratio

BND:

1.07

FLSP:

1.18

Calmar Ratio

BND:

0.16

FLSP:

1.96

Martin Ratio

BND:

1.15

FLSP:

4.95

Ulcer Index

BND:

1.88%

FLSP:

2.31%

Daily Std Dev

BND:

5.43%

FLSP:

13.51%

Max Drawdown

BND:

-18.84%

FLSP:

-22.75%

Current Drawdown

BND:

-9.29%

FLSP:

-1.89%

Returns By Period

In the year-to-date period, BND achieves a 1.45% return, which is significantly lower than FLSP's 11.11% return.


BND

YTD

1.45%

1M

-0.19%

6M

1.21%

1Y

1.96%

5Y*

-0.35%

10Y*

1.31%

FLSP

YTD

11.11%

1M

-0.49%

6M

0.15%

1Y

10.70%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

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BND vs. FLSP - Expense Ratio Comparison

BND has a 0.03% expense ratio, which is lower than FLSP's 0.65% expense ratio.


FLSP
Franklin Liberty Systematic Style Premia ETF
Expense ratio chart for FLSP: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

BND vs. FLSP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Total Bond Market ETF (BND) and Franklin Liberty Systematic Style Premia ETF (FLSP). 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 BND, currently valued at 0.40, compared to the broader market0.002.004.000.400.85
The chart of Sortino ratio for BND, currently valued at 0.58, compared to the broader market-2.000.002.004.006.008.0010.000.581.33
The chart of Omega ratio for BND, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.18
The chart of Calmar ratio for BND, currently valued at 0.16, compared to the broader market0.005.0010.0015.000.161.96
The chart of Martin ratio for BND, currently valued at 1.15, compared to the broader market0.0020.0040.0060.0080.00100.001.154.95
BND
FLSP

The current BND Sharpe Ratio is 0.40, which is lower than the FLSP Sharpe Ratio of 0.85. The chart below compares the historical Sharpe Ratios of BND and FLSP, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.40
0.85
BND
FLSP

Dividends

BND vs. FLSP - Dividend Comparison

BND's dividend yield for the trailing twelve months is around 3.62%, while FLSP has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
BND
Vanguard Total Bond Market ETF
3.62%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
FLSP
Franklin Liberty Systematic Style Premia ETF
0.00%1.19%2.18%1.20%8.08%0.02%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

BND vs. FLSP - Drawdown Comparison

The maximum BND drawdown since its inception was -18.84%, smaller than the maximum FLSP drawdown of -22.75%. Use the drawdown chart below to compare losses from any high point for BND and FLSP. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.29%
-1.89%
BND
FLSP

Volatility

BND vs. FLSP - Volatility Comparison

The current volatility for Vanguard Total Bond Market ETF (BND) is 1.61%, while Franklin Liberty Systematic Style Premia ETF (FLSP) has a volatility of 2.54%. This indicates that BND experiences smaller price fluctuations and is considered to be less risky than FLSP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
1.61%
2.54%
BND
FLSP
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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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