Franklin Liberty Investment Grade Corporate ETF

10-Year Study

FLCO.US · · US · ETF

Executive Summary: Franklin Liberty Investment Grade Corporate ETF has compounded at 2.2% annually over the last 10 years, with a maximum drawdown of 21.7% and an annualized volatility of 7.2%.

1Y CAGR
+4.8%
3Y CAGR
+4.8%
5Y CAGR
+0.1%
10Y CAGR
+2.2%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
21.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.27
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.33
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
7.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +15.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -16.1%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
60%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.30.7-2.10.8————————-0.4%
20250.41.9-0.1-0.00.31.6-0.00.81.70.10.7-0.47.5%
2024-0.3-1.51.3-2.62.10.62.11.81.7-2.51.4-2.01.9%
20234.4-3.22.30.7-1.30.50.2-0.9-2.8-1.85.84.37.9%
2022-3.1-2.0-2.5-6.01.1-3.13.7-3.5-4.9-1.25.4-0.7-16.1%
2021-1.5-2.0-1.71.00.51.81.2-0.2-1.30.2-0.30.2-2.1%
20202.41.8-9.26.52.02.23.4-1.5-0.60.12.7-0.39.1%
20193.00.02.41.01.32.70.53.0-0.40.40.20.415.4%
2018-0.6-2.20.1-0.70.3-0.21.00.2-0.3-1.7-0.61.3-3.3%
20170.01.3-0.20.71.30.90.40.40.10.30.00.56.0%
2016——————————-2.60.8-1.9%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 7.2%. The dominant macroeconomic risk driver is LQD.US, accounting for 80.2% of variance. Idiosyncratic stock-specific factors contribute 0.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-10-0110000
2016-11-019735.890861538284
2016-12-019814.980841380333
2017-01-019819.035273559963
2017-02-019944.722671128444
2017-03-019924.050777480197
2017-04-019993.204543248228
2017-05-0110125.915816282826
2017-06-0110213.857021305754
2017-07-0110254.629761816384
2017-08-0110296.316177184397
2017-09-0110308.536578401869
2017-10-0110343.427537018106
2017-11-0110347.596178554908
2017-12-0110402.016937247667
2018-01-0110336.460766230575
2018-02-0110114.209357172633
2018-03-0110126.258444354346
2018-04-0110052.479199620826
2018-05-0110086.742006772613
2018-06-0110070.638487411274
2018-07-0110170.400360901567
2018-08-0110195.811942872479
2018-09-0110169.4295813656
2018-10-019992.290868390848
2018-11-019934.101200911391
2018-12-0110062.358309016257
2019-01-0110365.812571023944
2019-02-0110368.096758167398
2019-03-0110614.21792287442
2019-04-0110716.263983508168
2019-05-0110856.627283473335
2019-06-0111148.032458299307
2019-07-0111206.850277243215
2019-08-0111537.600575615159
2019-09-0111491.574204674589
2019-10-0111541.94053118772
2019-11-0111569.864719016427
2019-12-0111616.747660135794
2020-01-0111901.12895949565
2020-02-0112112.644688979368
2020-03-0110997.047688117087
2020-04-0111716.109800875984
2020-05-0111951.55239068737
2020-06-0112212.57787650542
2020-07-0112631.440693936054
2020-08-0112438.541089671475
2020-09-0112366.70340400989
2020-10-0112373.727279476008
2020-11-0112703.335484276226
2020-12-0112670.72871280344
2021-01-0112481.655122004146
2021-02-0112229.19533797404
2021-03-0112023.44718102754
2021-04-0112149.591416024714
2021-05-0112215.490215113325
2021-06-0112434.829285563366
2021-07-0112586.67062592438
2021-08-0112561.658776703573
2021-09-0112400.280955018643
2021-10-0112431.174586133842
2021-11-0112390.458950301798
2021-12-0112409.760331663972
2022-01-0112022.704820205918
2022-02-0111777.211806963343
2022-03-0111484.264805815541
2022-04-0110796.610266279116
2022-05-0110919.842162668385
2022-06-0110584.180861938017
2022-07-0110979.744970505431
2022-08-0110590.690795296858
2022-09-0110068.754033017925
2022-10-019951.1754998087
2022-11-0110490.414979699286
2022-12-0110414.637071215244
2023-01-0110873.758687049229
2023-02-0110520.566249992862
2023-03-0110765.031379020884
2023-04-0110840.40955475482
2023-05-0110695.991822610025
2023-06-0110745.729997658706
2023-07-0110770.970265593858
2023-08-0110674.463358782985
2023-09-0110375.291947669271
2023-10-0110190.900940514057
2023-11-0110778.393873810082
2023-12-0111241.227293752176
2024-01-0111207.478428707664
2024-02-0111037.76332394913
2024-03-0111186.178383594966
2024-04-0110896.029511697894
2024-05-0111120.108270470599
2024-06-0111182.523684165442
2024-07-0111421.221240656245
2024-08-0111631.937504639753
2024-09-0111831.118623548826
2024-10-0111531.033537577732
2024-11-0111694.18160429884
2024-12-0111459.024537880388
2025-01-0111508.991131643414
2025-02-0111733.412518487637
2025-03-0111722.505524877652
2025-04-0111721.192117270168
2025-05-0111761.450915673518
2025-06-0111953.950787187992
2025-07-0111949.66793629402
2025-08-0112050.57190335604
2025-09-0112256.662688374057
2025-10-0112274.821976164507
2025-11-0112366.70340400989
2025-12-0112321.647812605288
2026-01-0112355.796410399904
2026-02-0112441.396323600791
2026-03-0112180.998989247188
2026-04-0112274.650662128748
Annual Return Matrix
YearAnnual Return
20170.059810213117519995
2018-0.032653150853384716
20190.1544756510734413
20200.09072944368796976
2021-0.020596161993095552
2022-0.16077049089804707
20230.079368125541458
20240.019374863476807613
20250.07527894471936092
2026-0.0038141936201471216
Total Factor Risk
0.07236355461795185
VTI.US Exposure
0.08509874253739948
VEA.US Exposure
0.0212439524508368
VWO.US Exposure
-0.004898271007982422
QQQ.US Exposure
-0.0490766835203721
VTV.US Exposure
-0.026436770468652938
IJR.US Exposure
-0.0011454746121350471
QUAL.US Exposure
0.012171463332815338
SHV.US Exposure
0.1112840067480941
TLT.US Exposure
0.04534955773438661
LQD.US Exposure
0.8017713820667496
HYG.US Exposure
0.013729066148933124
GLD.US Exposure
-0.004463569229064689
USO.US Exposure
-0.00130672972396558
VNQ.US Exposure
0.0019409674578771084
BTC-USD.CC Exposure
-0.0031359690206082635
CPER.US Exposure
0.001028957850865774
VIX.INDX Exposure
-0.008186279849249205
UUP.US Exposure
0.0031511539597621424
TIP.US Exposure
-0.0025524646058668553
Idiosyncratic Exposure
0.004432961750177077
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
54.1
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
7.2%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →4.51%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$92
Avg Yield on Cost
0.92%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$92.30.92%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-0.3%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+0.3%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.8% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.07
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Franklin Liberty Investment Grade Corporate ETF a high-risk investment?

Franklin Liberty Investment Grade Corporate ETF (FLCO.US) has an annualized volatility of 7.2% and experienced a maximum drawdown of 21.7% over the last 10 years. Its primary macro risk driver is LQD.US.

What is the 10-year return of FLCO.US?

Over the past 10 years, FLCO.US has generated a Compound Annual Growth Rate (CAGR) of 2.2%. It has had a positive return in 60% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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