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

Correlation

The correlation between FLSW and QQQ is 0.53, 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.


-0.50.00.51.00.5

Performance

FLSW vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin FTSE Switzerland ETF (FLSW) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-4.72%
10.65%
FLSW
QQQ

Key characteristics

Sharpe Ratio

FLSW:

0.07

QQQ:

1.63

Sortino Ratio

FLSW:

0.18

QQQ:

2.18

Omega Ratio

FLSW:

1.02

QQQ:

1.29

Calmar Ratio

FLSW:

0.06

QQQ:

2.14

Martin Ratio

FLSW:

0.19

QQQ:

7.71

Ulcer Index

FLSW:

4.45%

QQQ:

3.77%

Daily Std Dev

FLSW:

12.36%

QQQ:

17.87%

Max Drawdown

FLSW:

-28.16%

QQQ:

-82.98%

Current Drawdown

FLSW:

-11.88%

QQQ:

-2.69%

Returns By Period

In the year-to-date period, FLSW achieves a -0.94% return, which is significantly lower than QQQ's 28.44% return.


FLSW

YTD

-0.94%

1M

-2.06%

6M

-4.72%

1Y

0.67%

5Y*

5.41%

10Y*

N/A

QQQ

YTD

28.44%

1M

3.54%

6M

10.65%

1Y

28.86%

5Y*

20.62%

10Y*

18.39%

Compare stocks, funds, or ETFs

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


FLSW vs. QQQ - Expense Ratio Comparison

FLSW has a 0.09% expense ratio, which is lower than QQQ's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for FLSW: 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

FLSW vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Switzerland ETF (FLSW) and Invesco QQQ (QQQ). 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 FLSW, currently valued at 0.07, compared to the broader market0.002.004.000.071.63
The chart of Sortino ratio for FLSW, currently valued at 0.18, compared to the broader market-2.000.002.004.006.008.0010.000.182.18
The chart of Omega ratio for FLSW, currently valued at 1.02, compared to the broader market0.501.001.502.002.503.001.021.29
The chart of Calmar ratio for FLSW, currently valued at 0.06, compared to the broader market0.005.0010.0015.000.062.14
The chart of Martin ratio for FLSW, currently valued at 0.19, compared to the broader market0.0020.0040.0060.0080.00100.000.197.71
FLSW
QQQ

The current FLSW Sharpe Ratio is 0.07, which is lower than the QQQ Sharpe Ratio of 1.63. The chart below compares the historical Sharpe Ratios of FLSW and QQQ, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.07
1.63
FLSW
QQQ

Dividends

FLSW vs. QQQ - Dividend Comparison

FLSW's dividend yield for the trailing twelve months is around 2.02%, more than QQQ's 0.59% yield.


TTM20232022202120202019201820172016201520142013
FLSW
Franklin FTSE Switzerland ETF
2.02%2.36%2.02%1.86%2.28%1.15%2.85%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.59%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

FLSW vs. QQQ - Drawdown Comparison

The maximum FLSW drawdown since its inception was -28.16%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for FLSW and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.88%
-2.69%
FLSW
QQQ

Volatility

FLSW vs. QQQ - Volatility Comparison

The current volatility for Franklin FTSE Switzerland ETF (FLSW) is 3.98%, while Invesco QQQ (QQQ) has a volatility of 5.35%. This indicates that FLSW experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
3.98%
5.35%
FLSW
QQQ
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab