Franklin Liberty U.S. Low Volatility ETF

10-Year Study

FLLV.US · · US · ETF

Executive Summary: Franklin Liberty U.S. Low Volatility ETF has compounded at 12.0% annually over the last 10 years, with a maximum drawdown of 19.7% and an annualized volatility of 11.9%.

1Y CAGR
+20.4%
3Y CAGR
+13.3%
5Y CAGR
+8.6%
10Y CAGR
+12.0%

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 →
19.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.62
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.90
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +32.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -8.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20265.63.8-3.51.7————————7.6%
20253.40.9-2.7-4.53.33.7-0.74.2-0.3-0.11.91.310.3%
20241.12.12.8-4.62.30.94.22.21.5-1.32.8-6.27.5%
20233.1-2.82.11.3-2.55.52.6-0.9-4.2-1.87.63.913.9%
2022-5.0-3.44.5-5.71.2-5.87.0-3.3-8.39.95.6-3.6-8.5%
2021-2.91.25.64.70.71.83.31.6-4.65.1-1.36.623.3%
20201.0-8.1-12.611.75.6-0.34.84.9-1.9-3.19.72.912.3%
20197.74.52.73.5-3.66.12.00.21.0-0.02.82.232.7%
20184.5-2.5-2.4-0.32.5-0.44.33.11.3-5.03.1-8.3-1.0%
20171.33.80.00.9-0.33.01.2-0.31.32.82.42.119.7%
2016—————————-2.63.61.72.6%

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 11.9%. The dominant macroeconomic risk driver is VTV.US, accounting for 55.3% of variance. Idiosyncratic stock-specific factors contribute 5.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-09-0110000
2016-10-019738.627636987847
2016-11-0110092.153408320912
2016-12-0110258.752315128519
2017-01-0110390.703347337036
2017-02-0110789.673397479333
2017-03-0110793.603469304782
2017-04-0110885.350318471339
2017-05-0110855.85219316077
2017-06-0111181.370556082575
2017-07-0111311.650178434296
2017-08-0111275.69227989339
2017-09-0111420.788724759452
2017-10-0111744.861544021322
2017-11-0112027.239463341917
2017-12-0112275.601933414644
2018-01-0112826.760627004564
2018-02-0112502.552288024573
2018-03-0112206.035144780231
2018-04-0112172.742467362334
2018-05-0112475.403171161402
2018-06-0112427.24849798979
2018-07-0112958.756832452456
2018-08-0113359.08207977594
2018-09-0113529.746578127117
2018-10-0112849.889325563536
2018-11-0113246.194154582825
2018-12-0112150.155847675836
2019-01-0113083.344626643177
2019-02-0113672.719880742647
2019-03-0114040.88178163256
2019-04-0114537.968107693
2019-05-0114019.334146451643
2019-06-0114875.773591724264
2019-07-0115177.395311017752
2019-08-0115209.332791254461
2019-09-0115363.554230473868
2019-10-0115358.720693860956
2019-11-0115785.381939738898
2019-12-0116125.671951935674
2020-01-0116280.932375660659
2020-02-0114961.783439490446
2020-03-0113074.084112571712
2020-04-0114601.12029633645
2020-05-0115416.181054343408
2020-06-0115364.548041740074
2020-07-0116108.235081537696
2020-08-0116894.023580430952
2020-09-0116565.61413018928
2020-10-0116057.234494285585
2020-11-0117608.61905407237
2020-12-0118114.559335049915
2021-01-0117589.013868184487
2021-02-0117801.599132673804
2021-03-0118791.61584677237
2021-04-0119676.96616524371
2021-05-0119811.085512942132
2021-06-0120175.22699552785
2021-07-0120840.76433121019
2021-08-0121177.756696932738
2021-09-0120200.614356055474
2021-10-0121225.369291231877
2021-11-0120958.75683245246
2021-12-0122341.82590233546
2022-01-0121215.340832091068
2022-02-0120494.01454578308
2022-03-0121421.647016307543
2022-04-0120206.03514478023
2022-05-0120451.325834575597
2022-06-0119259.429913719112
2022-07-0120605.00519492253
2022-08-0119920.359578985408
2022-09-0118267.96765596061
2022-10-0120073.858246374846
2022-11-0121195.14839409134
2022-12-0120438.451461354292
2023-01-0121072.774088629896
2023-02-0120477.7521796088
2023-03-0120901.11577901251
2023-04-0121173.916971586033
2023-05-0120637.168541356103
2023-06-0121774.946921443738
2023-07-0122336.450286850068
2023-08-0122131.860685729775
2023-09-0121201.924379997286
2023-10-0120817.590459411844
2023-11-0122389.709536070834
2023-12-0123272.575326376653
2024-01-0123528.301034467182
2024-02-0124025.20666757013
2024-03-0124691.692641279307
2024-04-0123561.006459773227
2024-05-0124106.83471111713
2024-06-0124323.485567150023
2024-07-0125344.716989655328
2024-08-0125902.967881826804
2024-09-0126290.32840945024
2024-10-0125957.49198175001
2024-11-0126674.16542440258
2024-12-0125023.53525771333
2025-01-0125879.748836789087
2025-02-0126102.36256041921
2025-03-0125386.908795229705
2025-04-0124248.994895423948
2025-05-0125042.23697881375
2025-06-0125960.925147942362
2025-07-0125776.48281158242
2025-08-0126853.774224149613
2025-09-0126777.16041017301
2025-10-0126738.085558115374
2025-11-0127239.282648958753
2025-12-0127599.76509915526
2026-01-0129154.808691331255
2026-02-0130262.72756019334
2026-03-0129194.29010254325
2026-04-0129687.852915932603
Annual Return Matrix
YearAnnual Return
20170.19659794449973123
2018-0.010219139266591792
20190.32719877457541435
20200.1233367135981891
20210.23336292587069396
2022-0.08519332525915879
20230.13866627177607938
20240.07523705076817055
20250.10295227332628087
20260.07565599958099822
Total Factor Risk
0.11871621740985576
VTI.US Exposure
-0.34176151536475086
VEA.US Exposure
-0.09633109997800099
VWO.US Exposure
0.01768425333873032
QQQ.US Exposure
0.20177459205808712
VTV.US Exposure
0.5529209869107613
IJR.US Exposure
-0.008649000055250388
QUAL.US Exposure
0.30309617005600253
SHV.US Exposure
0.11013406280555786
TLT.US Exposure
-0.0065503572122444075
LQD.US Exposure
-0.016566725030192454
HYG.US Exposure
0.12232368673259227
GLD.US Exposure
-0.006589970147241765
USO.US Exposure
0.0027360184954690367
VNQ.US Exposure
0.0955377017403791
BTC-USD.CC Exposure
-0.013000083231003504
CPER.US Exposure
0.020786077883034822
VIX.INDX Exposure
-0.004253291894340746
UUP.US Exposure
0.014236269473543844
TIP.US Exposure
0.002340225245348909
Idiosyncratic Exposure
0.05013199817351816
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
11.9%

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 →0.00%
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
$136
Avg Yield on Cost
1.36%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$135.521.36%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 →
+0.6%
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 →
+8.1%
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 →
1.9% 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 →
0.83
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Franklin Liberty U.S. Low Volatility ETF a high-risk investment?

Franklin Liberty U.S. Low Volatility ETF (FLLV.US) has an annualized volatility of 11.9% and experienced a maximum drawdown of 19.7% over the last 10 years. Its primary macro risk driver is VTV.US.

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

Over the past 10 years, FLLV.US has generated a Compound Annual Growth Rate (CAGR) of 12.0%. It has had a positive return in 80% 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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