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FRXD.L vs. BGX.L
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FRXD.L vs. BGX.L

Last updated Jul 18, 2026
Documentation

FRXD.L (Franklin European Quality Dividend UCITS ETF EUR (Dist)) and BGX.L (Expat Bulgaria SOFIX UCITS ETF) are both Europe Equities funds - FRXD.L tracks the LibertyQ European Dividend Index-NR while BGX.L tracks the SOFIX Index. Both are passively managed. Over the past 5 years, FRXD.L returned 12.56%/yr vs 12.53%/yr for BGX.L. At a 0.05 correlation, their price movements are largely independent.

Performance

FRXD.L vs. BGX.L - Performance Comparison

The chart below illustrates the hypothetical performance of a €10,000 investment in Franklin European Quality Dividend UCITS ETF EUR (Dist) (FRXD.L) and Expat Bulgaria SOFIX UCITS ETF (BGX.L). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, FRXD.L achieves a 12.87% return, which is significantly higher than BGX.L's 6.96% return.

FRXD.L

1D
0.79%
1M
0.30%
6M
11.77%
YTD
12.87%
1Y
20.35%
3Y*
19.35%
5Y*
12.56%
10Y*
—

BGX.L

1D
0.99%
1M
-0.28%
6M
-12.46%
YTD
6.96%
1Y
18.26%
3Y*
19.95%
5Y*
12.53%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

FRXD.L vs. BGX.L - Yearly Performance Comparison

2026 (YTD)20252024202320222021202020192018
FRXD.L
Franklin European Quality Dividend UCITS ETF EUR (Dist)		12.87%24.01%12.76%10.32%-0.01%17.27%-4.30%24.47%-12.05%
BGX.L
Expat Bulgaria SOFIX UCITS ETF		6.96%26.55%14.63%18.28%-9.77%33.45%-18.72%-10.38%-6.25%

Correlation

The correlation between FRXD.L and BGX.L is -0.07, 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

-0.07

Correlation (3Y)
Calculated over the trailing 3-year period

0.01

Correlation (5Y)
Calculated over the trailing 5-year period

0.05

Correlation (All Time)
Calculated using the full available price history since Oct 1, 2018

0.05

The correlation between FRXD.L and BGX.L shifts across timeframes, from -0.07 (1 year) to 0.05 (all time), reflecting how their relationship changes across market environments.

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Franklin European Quality Dividend UCITS ETF EUR (Dist)

Expat Bulgaria SOFIX UCITS ETF

Often compared with FRXD.L:
FRXD.L vs. LDEU.LFRXD.L vs. FLES.LFRXD.L vs. FLXK.LFRXD.L vs. X7PS.LFRXD.L vs. FLQA.LFRXD.L vs. FLUC.LFRXD.L vs. FLXB.L
Often compared with BGX.L:
BGX.L vs. CEUR.LBGX.L vs. CMB1.LBGX.L vs. CS1.LBGX.L vs. FLXD.LBGX.L vs. HDEU.LBGX.L vs. IEVL.LBGX.L vs. JRDE.L

Return for Risk

FRXD.L vs. BGX.L — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FRXD.L
FRXD.L Risk / Return Rank: 9191
Overall Rank
FRXD.L Sharpe Ratio Rank: 9090
Sharpe Ratio Rank
FRXD.L Sortino Ratio Rank: 9191
Sortino Ratio Rank
FRXD.L Omega Ratio Rank: 8989
Omega Ratio Rank
FRXD.L Calmar Ratio Rank: 9696
Calmar Ratio Rank
FRXD.L Martin Ratio Rank: 8989
Martin Ratio Rank
BGX.L
BGX.L Risk / Return Rank: 4545
Overall Rank
BGX.L Sharpe Ratio Rank: 4949
Sharpe Ratio Rank
BGX.L Sortino Ratio Rank: 6565
Sortino Ratio Rank
BGX.L Omega Ratio Rank: 5858
Omega Ratio Rank
BGX.L Calmar Ratio Rank: 3030
Calmar Ratio Rank
BGX.L Martin Ratio Rank: 2323
Martin Ratio Rank
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.

FRXD.L vs. BGX.L - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin European Quality Dividend UCITS ETF EUR (Dist) (FRXD.L) and Expat Bulgaria SOFIX UCITS ETF (BGX.L). 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.

FRXD.LBGX.LDifference
Sharpe ratioReturn per unit of total volatility
2.33
1.30

+1.03

Sortino ratioReturn per unit of downside risk
3.35
2.28

+1.08

Omega ratioGain probability vs. loss probability

1.42

1.27

+0.15

Calmar ratioReturn relative to maximum drawdown

6.15

1.13

+5.02

Martin ratioReturn relative to average drawdown

14.59

2.15

+12.45

FRXD.L vs. BGX.L - Sharpe Ratio Comparison

The current FRXD.L Sharpe Ratio is 2.33, which is higher than the BGX.L Sharpe Ratio of 1.30. The chart below compares the historical Sharpe Ratios of FRXD.L and BGX.L, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

FRXD.L vs. BGX.L - Drawdown Comparison

The maximum FRXD.L drawdown since its inception was -35.42%, roughly equal to the maximum BGX.L drawdown of -36.41%. Use the drawdown chart below to compare losses from any high point for FRXD.L and BGX.L.

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Drawdown Indicators

FRXD.LBGX.LDifference

Max Drawdown

Largest peak-to-trough decline

-35.42%

-36.41%

+0.99%

Max Drawdown (1Y)

Largest decline over 1 year

-3.30%

-16.13%

+12.83%

Max Drawdown (3Y)

Largest decline over 3 years

-10.26%

-16.13%

+5.87%

Max Drawdown (5Y)

Largest decline over 5 years

-14.39%

-17.72%

+3.33%

Current Drawdown

Current decline from peak

-0.72%

-12.52%

+11.80%

Average Drawdown

Average peak-to-trough decline

-3.86%

-12.33%

+8.47%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.39%

8.49%

-7.10%

Volatility

FRXD.L vs. BGX.L - Volatility Comparison

Franklin European Quality Dividend UCITS ETF EUR (Dist) (FRXD.L) and Expat Bulgaria SOFIX UCITS ETF (BGX.L) have volatilities of 2.22% and 2.12%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FRXD.LBGX.LDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.22%

2.12%

+0.10%

Volatility (6M)

Calculated over the trailing 6-month period

6.79%

7.87%

-1.08%

Volatility (1Y)

Calculated over the trailing 1-year period

8.70%

13.97%

-5.27%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

11.24%

13.89%

-2.65%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

13.50%

14.33%

-0.83%

Dividends

FRXD.L vs. BGX.L - Dividend Comparison

FRXD.L's dividend yield for the trailing twelve months is around 3.91%, while BGX.L has not paid dividends to shareholders.

PositionTTM20252024202320222021202020192018
BGX.L
Expat Bulgaria SOFIX UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FRXD.L
Franklin European Quality Dividend UCITS ETF EUR (Dist)		3.91%4.28%4.30%5.00%5.20%4.63%3.53%4.42%5.53%

Frequently Asked Questions

FRXD.L and BGX.L have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

FRXD.L tracks LibertyQ European Dividend Index-NR, while BGX.L tracks SOFIX Index. They also come from different issuers: Franklin and Expat.

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