FRDM vs. TSM

Last updated Jun 15, 2026

FRDM (Freedom 100 Emerging Markets ETF) is Emerging Markets Diversified fund tracking the Life + Liberty Freedom 100 Emerging Markets Index, while TSM (Taiwan Semiconductor Manufacturing Company Limited) is a stock. Over the past 5 years, FRDM returned 18.68%/yr vs 31.30%/yr for TSM. A 0.69 correlation means they provide meaningful diversification when combined.

Performance

FRDM vs. TSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Freedom 100 Emerging Markets ETF (FRDM) and Taiwan Semiconductor Manufacturing Company Limited (TSM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with FRDM having a 40.13% return and TSM slightly higher at 40.22%.

FRDM

• 1D: 0.49%
• 1M: 9.04%
• YTD: 40.13%
• 6M: 46.37%
• 1Y: 87.32%
• 3Y*: 34.29%
• 5Y*: 18.68%
• 10Y*: —

TSM

• 1D: 0.68%
• 1M: 5.09%
• YTD: 40.22%
• 6M: 45.91%
• 1Y: 103.01%
• 3Y*: 60.80%
• 5Y*: 31.30%
• 10Y*: 35.80%

*Multi-year figures are annualized to reflect compound growth (CAGR)

FRDM vs. TSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
FRDM Freedom 100 Emerging Markets ETF	40.13%	61.27%	1.70%	22.77%	-14.45%	6.13%	16.90%	12.23%
TSM Taiwan Semiconductor Manufacturing Company Limited	40.22%	55.91%	92.58%	42.33%	-36.75%	12.09%	92.67%	56.42%

Correlation

The correlation between FRDM and TSM is 0.70, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.70
Correlation (3Y) Calculated over the trailing 3-year period	0.67
Correlation (5Y) Calculated over the trailing 5-year period	0.67
Correlation (All Time) Calculated using the full available price history since May 23, 2019	0.69

The correlation between FRDM and TSM has been stable across timeframes, ranging from 0.67 to 0.70 - a consistent structural relationship.

Return for Risk

FRDM vs. TSM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FRDM

FRDM Risk / Return Rank: 92
FRDM Sharpe Ratio Rank: 94
FRDM Sortino Ratio Rank: 90
FRDM Omega Ratio Rank: 92
FRDM Calmar Ratio Rank: 91
FRDM Martin Ratio Rank: 91

TSM

TSM Risk / Return Rank: 93
TSM Sharpe Ratio Rank: 94
TSM Sortino Ratio Rank: 92
TSM Omega Ratio Rank: 90
TSM Calmar Ratio Rank: 94
TSM Martin Ratio Rank: 96

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FRDM vs. TSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Freedom 100 Emerging Markets ETF (FRDM) and Taiwan Semiconductor Manufacturing Company Limited (TSM). 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.

	FRDM	TSM	Difference
Sharpe ratio: Return per unit of total volatility	3.15	2.71	+0.44
Sortino ratio: Return per unit of downside risk	3.68	3.30	+0.37
Omega ratio: Gain probability vs. loss probability	1.54	1.40	+0.14
Calmar ratio: Return relative to maximum drawdown	5.02	5.48	-0.46
Martin ratio: Return relative to average drawdown	19.36	19.42	-0.06

FRDM vs. TSM - Sharpe Ratio Comparison

The current FRDM Sharpe Ratio is 3.15, which is comparable to the TSM Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of FRDM and TSM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FRDM vs. TSM - Drawdown Comparison

The maximum FRDM drawdown since its inception was -40.49%, smaller than the maximum TSM drawdown of -89.08%. Use the drawdown chart below to compare losses from any high point for FRDM and TSM.

Drawdown Indicators

	FRDM	TSM	Difference
Max Drawdown Largest peak-to-trough decline	-40.49%	-89.08%	+48.59%
Max Drawdown (1Y) Largest decline over 1 year	-16.87%	-18.14%	+1.27%
Max Drawdown (3Y) Largest decline over 3 years	-16.87%	-36.82%	+19.95%
Max Drawdown (5Y) Largest decline over 5 years	-29.25%	-56.47%	+27.22%
Max Drawdown (10Y) Largest decline over 10 years	—	-56.47%	—
Current Drawdown Current decline from peak	-4.36%	-4.87%	+0.51%
Average Drawdown Average peak-to-trough decline	-7.09%	-42.85%	+35.76%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.37%	5.11%	-0.74%

Volatility

FRDM vs. TSM - Volatility Comparison

Freedom 100 Emerging Markets ETF (FRDM) has a higher volatility of 14.27% compared to Taiwan Semiconductor Manufacturing Company Limited (TSM) at 13.42%. This indicates that FRDM's price experiences larger fluctuations and is considered to be riskier than TSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FRDM	TSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	14.27%	13.42%	+0.85%
Volatility (6M) Calculated over the trailing 6-month period	24.39%	28.65%	-4.26%
Volatility (1Y) Calculated over the trailing 1-year period	26.86%	36.69%	-9.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.35%	37.46%	-16.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.09%	34.23%	-11.14%

Dividends

FRDM vs. TSM - Dividend Comparison

FRDM's dividend yield for the trailing twelve months is around 1.56%, more than TSM's 0.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FRDM Freedom 100 Emerging Markets ETF	1.56%	2.26%	2.53%	2.66%	2.72%	2.17%	1.11%	1.07%	0.00%	0.00%	0.00%	0.00%
TSM Taiwan Semiconductor Manufacturing Company Limited	0.83%	1.00%	1.18%	1.78%	2.49%	1.57%	1.56%	3.46%	3.64%	2.32%	2.61%	2.54%

Frequently Asked Questions

Can I hold both FRDM and TSM in my portfolio?

FRDM and TSM have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FRDM or TSM?

FRDM has higher volatility (14.27%) compared to TSM (13.42%). In terms of maximum drawdown, FRDM dropped -40.49% vs TSM's -89.08%.

Which has better risk-adjusted returns?

FRDM currently has the higher Sharpe Ratio (3.15 vs 2.71), 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.