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FLTW vs. SPDW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FLTWSPDW
YTD Return20.24%7.19%
1Y Return36.72%17.67%
3Y Return (Ann)6.53%1.25%
5Y Return (Ann)14.86%6.12%
Sharpe Ratio1.931.51
Sortino Ratio2.532.13
Omega Ratio1.331.27
Calmar Ratio2.081.43
Martin Ratio8.148.59
Ulcer Index4.75%2.23%
Daily Std Dev20.07%12.72%
Max Drawdown-38.00%-60.02%
Current Drawdown-3.49%-5.64%

Correlation

-0.50.00.51.00.7

The correlation between FLTW and SPDW is 0.67, 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

FLTW vs. SPDW - Performance Comparison

In the year-to-date period, FLTW achieves a 20.24% return, which is significantly higher than SPDW's 7.19% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.14%
2.12%
FLTW
SPDW

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FLTW vs. SPDW - Expense Ratio Comparison

FLTW has a 0.19% expense ratio, which is higher than SPDW's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


FLTW
Franklin FTSE Taiwan ETF
Expense ratio chart for FLTW: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for SPDW: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

FLTW vs. SPDW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin FTSE Taiwan ETF (FLTW) and SPDR Portfolio World ex-US ETF (SPDW). 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.


FLTW
Sharpe ratio
The chart of Sharpe ratio for FLTW, currently valued at 1.93, compared to the broader market0.002.004.006.001.93
Sortino ratio
The chart of Sortino ratio for FLTW, currently valued at 2.53, compared to the broader market0.005.0010.002.53
Omega ratio
The chart of Omega ratio for FLTW, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for FLTW, currently valued at 2.08, compared to the broader market0.005.0010.0015.0020.002.08
Martin ratio
The chart of Martin ratio for FLTW, currently valued at 8.14, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.14
SPDW
Sharpe ratio
The chart of Sharpe ratio for SPDW, currently valued at 1.51, compared to the broader market0.002.004.006.001.51
Sortino ratio
The chart of Sortino ratio for SPDW, currently valued at 2.13, compared to the broader market0.005.0010.002.13
Omega ratio
The chart of Omega ratio for SPDW, currently valued at 1.27, compared to the broader market1.001.502.002.503.001.27
Calmar ratio
The chart of Calmar ratio for SPDW, currently valued at 1.43, compared to the broader market0.005.0010.0015.0020.001.43
Martin ratio
The chart of Martin ratio for SPDW, currently valued at 8.59, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.59

FLTW vs. SPDW - Sharpe Ratio Comparison

The current FLTW Sharpe Ratio is 1.93, which is comparable to the SPDW Sharpe Ratio of 1.51. The chart below compares the historical Sharpe Ratios of FLTW and SPDW, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.93
1.51
FLTW
SPDW

Dividends

FLTW vs. SPDW - Dividend Comparison

FLTW's dividend yield for the trailing twelve months is around 2.45%, less than SPDW's 2.70% yield.


TTM20232022202120202019201820172016201520142013
FLTW
Franklin FTSE Taiwan ETF
2.45%2.85%3.16%2.31%2.14%3.00%1.06%0.00%0.00%0.00%0.00%0.00%
SPDW
SPDR Portfolio World ex-US ETF
2.70%2.75%3.12%3.04%1.87%3.13%3.07%1.86%3.11%2.79%3.51%2.36%

Drawdowns

FLTW vs. SPDW - Drawdown Comparison

The maximum FLTW drawdown since its inception was -38.00%, smaller than the maximum SPDW drawdown of -60.02%. Use the drawdown chart below to compare losses from any high point for FLTW and SPDW. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.49%
-5.64%
FLTW
SPDW

Volatility

FLTW vs. SPDW - Volatility Comparison

Franklin FTSE Taiwan ETF (FLTW) has a higher volatility of 5.02% compared to SPDR Portfolio World ex-US ETF (SPDW) at 2.70%. This indicates that FLTW's price experiences larger fluctuations and is considered to be riskier than SPDW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.02%
2.70%
FLTW
SPDW