Franklin Liberty High Yield Corporate ETF

10-Year Study

FLHY.US · · US · ETF

Executive Summary: Franklin Liberty High Yield Corporate ETF has compounded at 5.8% annually over the last 10 years, with a maximum drawdown of 14.9% and an annualized volatility of 7.1%.

1Y CAGR
+7.2%
3Y CAGR
+9.3%
5Y CAGR
+4.5%
10Y CAGR
+5.8%

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 →
14.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.20
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.21
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
8.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +16.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -10.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
88%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.8-0.5-1.51.5————————0.4%
20251.30.7-1.00.31.71.90.21.11.10.20.70.89.3%
20240.50.51.3-1.02.00.72.11.61.0-1.01.4-0.68.7%
20233.9-1.82.50.3-0.61.81.40.2-1.2-1.34.53.213.4%
2022-2.1-1.6-1.4-3.71.3-7.25.7-2.9-3.63.03.5-1.3-10.4%
2021-0.60.20.50.90.21.20.40.40.1-0.4-1.32.54.0%
2020-0.2-1.1-11.65.26.0-0.25.20.6-1.30.73.02.47.8%
20195.31.21.51.3-1.63.10.30.70.80.8-0.12.016.2%
2018——————1.10.70.7-1.7-0.5-1.8-1.4%

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 7.1%. The dominant macroeconomic risk driver is HYG.US, accounting for 79.1% of variance. Idiosyncratic stock-specific factors contribute 1.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2018-06-0110000
2018-07-0110112.26345853145
2018-08-0110186.361170501323
2018-09-0110260.905638701854
2018-10-0110088.776845262788
2018-11-0110041.037750901489
2018-12-019864.951973705203
2019-01-0110388.805565306187
2019-02-0110517.790471327824
2019-03-0110673.772218144686
2019-04-0110808.820244439481
2019-05-0110635.351182308455
2019-06-0110960.206784312473
2019-07-0110994.98994798481
2019-08-0111068.832370680026
2019-09-0111154.226633053579
2019-10-0111246.44988352427
2019-11-0111237.514758911193
2019-12-0111463.445766984714
2020-01-0111445.447873121231
2020-02-0111316.335322462266
2020-03-0110007.65867823978
2020-04-0110527.810575358202
2020-05-0111161.75766665603
2020-06-0111141.71745859527
2020-07-0111719.7561987427
2020-08-0111784.663496824842
2020-09-0111626.256501898713
2020-10-0111706.098222548424
2020-11-0112061.652359830232
2020-12-0112354.341513227173
2021-01-0112285.221942113156
2021-02-0112306.283307272553
2021-03-0112364.425439576222
2021-04-0112474.774228547723
2021-05-0112499.345821233685
2021-06-0112651.689695886653
2021-07-0112698.535277786643
2021-08-0112744.29588026933
2021-09-0112755.464786035678
2021-10-0112698.535277786643
2021-11-0112529.342311006158
2021-12-0112848.773015923669
2022-01-0112574.273223346207
2022-02-0112375.275233749244
2022-03-0112207.741647254044
2022-04-0111751.02913488847
2022-05-0111904.266522002745
2022-06-0111052.110923189839
2022-07-0111680.696939719819
2022-08-0111340.65162587357
2022-09-0110936.720171043813
2022-10-0111263.23515333312
2022-11-0111658.231483549796
2022-12-0111506.589654402143
2023-01-0111959.345183010497
2023-02-0111742.221654912724
2023-03-0112030.698535277787
2023-04-0112063.056450840859
2023-05-0111986.980246992374
2023-06-0112198.232121772984
2023-07-0112368.829179564094
2023-08-0112395.82602035932
2023-09-0112251.715224814117
2023-10-0112091.58502728404
2023-11-0112639.180521428343
2023-12-0113048.855984937933
2024-01-0113110.125410856175
2024-02-0113178.287647190222
2024-03-0113352.777866419887
2024-04-0113220.538022146344
2024-05-0113481.698950122858
2024-06-0113571.369307846955
2024-07-0113855.250981268151
2024-08-0114070.268372849985
2024-09-0114215.719437087151
2024-10-0114071.736286179277
2024-11-0114265.373201008393
2024-12-0114184.9570794907
2025-01-0114363.212815521587
2025-02-0114459.520694386827
2025-03-0114308.963844656477
2025-04-0114356.256182787121
2025-05-0114597.823658933528
2025-06-0114879.024794970801
2025-07-0114906.213102722022
2025-08-0115077.448383699779
2025-09-0115236.302134856562
2025-10-0115267.638893320995
2025-11-0115373.647764623289
2025-12-0115499.250087755689
2026-01-0115616.68315409899
2026-02-0115543.925710821073
2026-03-0115318.24999202221
2026-04-0115553.4990586208
Annual Return Matrix
YearAnnual Return
20190.1620376660261762
20200.07771622637307551
20210.04002087057146109
2022-0.10446004142637888
20230.13403331281095565
20240.08706518761983029
20250.09265399964905496
20260.0035001029442043308
Total Factor Risk
0.07142967978928376
VTI.US Exposure
0.02134659054152236
VEA.US Exposure
0.029999958176393712
VWO.US Exposure
-0.008577513770205906
QQQ.US Exposure
0.031984409859601846
VTV.US Exposure
-0.005923253922788602
IJR.US Exposure
0.0011842619281935906
QUAL.US Exposure
-0.022786041796091568
SHV.US Exposure
0.143414620340356
TLT.US Exposure
-0.019641742762378636
LQD.US Exposure
0.013402280751720206
HYG.US Exposure
0.790696087305316
GLD.US Exposure
-0.005095995279707742
USO.US Exposure
-0.00048162218160020397
VNQ.US Exposure
0.014201472478152557
BTC-USD.CC Exposure
-0.004639621829757328
CPER.US Exposure
0.012502742212118721
VIX.INDX Exposure
-0.012029186466841684
UUP.US Exposure
-0.0014159518539880265
TIP.US Exposure
0.010424195685589948
Idiosyncratic Exposure
0.011434310584394924
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
78.1
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
7.1%

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 →6.51%
Market Cap$1.8B
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
$162
Avg Yield on Cost
1.62%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$161.71.62%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 →
+1.7%
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 →
0.8% 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 →
0.58
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Franklin Liberty High Yield Corporate ETF a high-risk investment?

Franklin Liberty High Yield Corporate ETF (FLHY.US) has an annualized volatility of 7.1% and experienced a maximum drawdown of 14.9% over the last 10 years. Its primary macro risk driver is HYG.US.

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

Over the past 10 years, FLHY.US has generated a Compound Annual Growth Rate (CAGR) of 5.8%. It has had a positive return in 88% 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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