Franklin FTSE Mexico ETF

10-Year Study

FLMX.US · · US · ETF

Executive Summary: Franklin FTSE Mexico ETF has compounded at 8.3% annually over the last 10 years, with a maximum drawdown of 43.3% and an annualized volatility of 40.9%.

1Y CAGR
+39.2%
3Y CAGR
+13.4%
5Y CAGR
+13.8%
10Y CAGR
+8.3%

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 →
43.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.29
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.38
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
24.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +53.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · -28.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
67%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20269.27.3-7.44.5————————13.3%
20254.23.50.912.74.92.7-1.03.29.3-2.03.13.253.8%
2024-1.6-1.86.2-5.0-1.0-11.3-0.4-6.01.3-4.2-2.9-5.2-28.4%
202316.4-0.33.22.8-2.35.04.5-4.7-5.5-6.115.08.739.3%
2022-3.95.19.3-10.55.4-9.20.5-5.0-0.413.77.0-6.42.4%
2021-5.71.18.13.25.90.31.83.7-5.00.5-6.712.619.6%
20201.3-9.9-31.43.98.00.61.71.40.72.619.17.5-3.5%
20199.2-3.4-0.36.1-6.73.3-5.00.33.13.0-2.05.212.1%
20187.5-3.4-3.12.3-11.75.811.3-2.51.8-17.9-3.83.3-13.3%
2017———————————-2.0-2.0%

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 40.9%. The dominant macroeconomic risk driver is SHV.US, accounting for 73.5% of variance. Idiosyncratic stock-specific factors contribute 5.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2017-11-0110000
2017-12-019798.192909232675
2018-01-0110530.508034062592
2018-02-0110177.651393539116
2018-03-019864.442711757301
2018-04-0110094.380487904315
2018-05-018908.91671380595
2018-06-019428.8247794646
2018-07-0110492.23603275798
2018-08-0110224.89259887783
2018-09-0110410.443007333346
2018-10-018547.039907861814
2018-11-018220.887033894418
2018-12-018492.715069791619
2019-01-019278.284843574023
2019-02-018958.756949859093
2019-03-018931.849337756783
2019-04-019475.709255097414
2019-05-018839.456343928206
2019-06-019135.389115667062
2019-07-018683.055848583528
2019-08-018705.529820055344
2019-09-018975.829014355822
2019-10-019240.930147227446
2019-11-019053.035514990293
2019-12-019523.052383209244
2020-01-019651.57700010702
2020-02-018698.19138039108
2020-03-015966.20240843513
2020-04-016198.076717271324
2020-05-016694.032931247994
2020-06-016733.069353350967
2020-07-016847.426704785785
2020-08-016945.374489749118
2020-09-016994.450305003898
2020-10-017174.8026520305575
2020-11-018547.039907861814
2020-12-019190.17260621627
2021-01-018661.80495038909
2021-02-018753.025832326846
2021-03-019464.395827281669
2021-04-019771.183374357252
2021-05-0110349.136459304786
2021-06-0110376.095032793653
2021-07-0110565.416583854414
2021-08-0110951.347164253646
2021-09-0110408.047822165146
2021-10-0110458.448633470422
2021-11-019759.00360297003
2021-12-0110989.568204171701
2022-01-0110560.116599652445
2022-02-0111094.140969387496
2022-03-0112121.267715452002
2022-04-0110845.7551713067
2022-05-0111436.550525666704
2022-06-0110388.886340819561
2022-07-0110445.912132377298
2022-08-019921.315619155366
2022-09-019877.896517808456
2022-10-0111233.010747756427
2022-11-0112024.644926539164
2022-12-0111253.038572673486
2023-01-0113096.719615547301
2023-02-0113056.714927099738
2023-03-0113473.935798845216
2023-04-0113846.667380126079
2023-05-0113527.852945822951
2023-06-0114209.410529641691
2023-07-0114843.421139802373
2023-08-0114147.696290520675
2023-09-0113366.407273209092
2023-10-0112545.877988248307
2023-11-0114425.079117552632
2023-12-0115680.971527873331
2024-01-0115423.71844853155
2024-02-0115152.756756205823
2024-03-0116091.414535206677
2024-04-0115285.103477095408
2024-05-0115131.2510510786
2024-06-0113415.585011236986
2024-07-0113355.501536485805
2024-08-0112555.611613080771
2024-09-0112717.464976787089
2024-10-0112184.2050278504
2024-11-0111836.648371528896
2024-12-0111220.117516957402
2025-01-0111692.325724798322
2025-02-0112100.628353896254
2025-03-0112211.673215204839
2025-04-0113763.600320037507
2025-05-0114436.647352301165
2025-06-0114822.62889408695
2025-07-0114678.86682260851
2025-08-0115148.170231415656
2025-09-0116564.48908661907
2025-10-0116225.901634331669
2025-11-0116724.253033476536
2025-12-0117251.44857741289
2026-01-0118830.232332961317
2026-02-0120213.833977994873
2026-03-0118712.001916148136
2026-04-0119546.74942795844
Annual Return Matrix
YearAnnual Return
2018-0.1332365928630499
20190.12132013201320158
2020-0.03495515551084194
20210.19579562594268474
20220.023974587864314056
20230.3934877612481036
2024-0.2844756144723971
20250.5375461577242935
20260.1330497459529718
Total Factor Risk
0.4090028013230349
VTI.US Exposure
-0.06241849855981289
VEA.US Exposure
0.06709532121393161
VWO.US Exposure
0.004340329450271869
QQQ.US Exposure
0.07395684460575946
VTV.US Exposure
0.06517979181484024
IJR.US Exposure
0.03545058821236713
QUAL.US Exposure
-0.052295536078824874
SHV.US Exposure
0.7352147147711546
TLT.US Exposure
-0.01194395715325695
LQD.US Exposure
0.035742172839252496
HYG.US Exposure
0.020790173731201164
GLD.US Exposure
0.008204995700143764
USO.US Exposure
0.002219020444029304
VNQ.US Exposure
0.008355628768236137
BTC-USD.CC Exposure
0.0013197213210400717
CPER.US Exposure
0.001436506005500408
VIX.INDX Exposure
0.002876108627879185
UUP.US Exposure
0.008728474846130544
TIP.US Exposure
-0.0035020663767022613
Idiosyncratic Exposure
0.05924966581685897
Value Score
45.2
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
40.8
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
40.9%

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 →12.1x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.40%
Market Cap$18.7B
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
$0
Avg Yield on Cost
0.00%

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 →
+2.1%
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 →
+15.3%
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 →
3.7% 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 →
1.38
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Franklin FTSE Mexico ETF a high-risk investment?

Franklin FTSE Mexico ETF (FLMX.US) has an annualized volatility of 40.9% and experienced a maximum drawdown of 43.3% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, FLMX.US has generated a Compound Annual Growth Rate (CAGR) of 8.3%. It has had a positive return in 67% 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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