Franklin LibertyQ U.S. Mid Cap Equity ETF

10-Year Study

FLQM.US · · US · ETF

Executive Summary: Franklin LibertyQ U.S. Mid Cap Equity ETF has compounded at 10.7% annually over the last 10 years, with a maximum drawdown of 25.1% and an annualized volatility of 12.4%.

1Y CAGR
+8.2%
3Y CAGR
+12.5%
5Y CAGR
+6.9%
10Y CAGR
+10.7%

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 →
25.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.46
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.67
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
17.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +29.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -13.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
78%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.32.5-6.03.1————————0.7%
20252.8-1.2-3.6-2.63.42.10.63.8-0.1-2.83.2-0.15.2%
2024-0.25.75.5-6.23.9-1.25.31.51.9-2.17.5-7.014.3%
20236.7-1.8-0.40.8-4.17.73.4-2.8-4.5-3.79.36.917.5%
2022-8.2-1.53.1-6.80.2-7.59.5-3.3-8.49.47.2-4.9-13.0%
2021-0.73.45.05.21.21.42.72.5-5.35.4-0.86.028.8%
2020-1.7-8.7-16.512.97.41.46.44.1-1.8-0.010.94.015.5%
20199.64.61.43.6-6.25.91.6-2.82.71.42.92.029.3%
20185.1-3.4-1.3-1.02.91.02.4-0.65.0-6.93.1-9.9-4.8%
2017————-0.11.5-0.6-3.14.30.06.51.710.3%

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 12.4%. The dominant macroeconomic risk driver is VTI.US, accounting for 81.6% of variance. Idiosyncratic stock-specific factors contribute 4.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2017-04-0110000
2017-05-019992.144193764785
2017-06-0110142.243053348868
2017-07-0110079.837940896092
2017-08-019768.606786004308
2017-09-0110193.129258906189
2017-10-0110193.129258906189
2017-11-0110851.38403417717
2017-12-0111034.671468417893
2018-01-0111598.877237580764
2018-02-0111206.925466935001
2018-03-0111056.605938636443
2018-04-0110941.37273593899
2018-05-0111255.384316633126
2018-06-0111366.424813755604
2018-07-0111641.157363273664
2018-08-0111567.89535006885
2018-09-0112142.604950040602
2018-10-0111300.88620555732
2018-11-0111656.295237086468
2018-12-0110507.052572114537
2019-01-0111519.745436570985
2019-02-0112046.65819298803
2019-03-0112219.397662676976
2019-04-0112663.912721110053
2019-05-0111879.258906189316
2019-06-0112580.235144582142
2019-07-0112782.720756981958
2019-08-0112427.885464110439
2019-09-0112764.449387423649
2019-10-0112937.365392084172
2019-11-0113318.504395720794
2019-12-0113582.55657945839
2020-01-0113350.368958090598
2020-02-0112182.899057303252
2020-03-0110177.858983864702
2020-04-0111493.883063234827
2020-05-0112339.309042121246
2020-06-0112507.370335063377
2020-07-0113311.442996857677
2020-08-0113858.613141263282
2020-09-0113607.889347879816
2020-10-0113605.108922077465
2020-11-0115081.426755640292
2020-12-0115687.07410938107
2021-01-0115575.018536172016
2021-02-0116111.111111111111
2021-03-0116921.49489813932
2021-04-0117799.977050453694
2021-05-0118021.52843978392
2021-06-0118273.44384422554
2021-07-0118775.37690216432
2021-08-0119248.446492250114
2021-09-0118221.630830067435
2021-10-0119211.197613247183
2021-11-0119048.476503195285
2021-12-0120198.645976767995
2022-01-0118532.861984959218
2022-02-0118248.15520954701
2022-03-0118819.201708858527
2022-04-0117545.016417752355
2022-05-0117588.046817074464
2022-06-0116268.315503301204
2022-07-0117809.59820640469
2022-08-0117219.706598877237
2022-09-0115774.900257741057
2022-10-0117261.898457084346
2022-11-0118496.93711824312
2022-12-0117582.265296755286
2023-01-0118755.91392154786
2023-02-0118423.277901352256
2023-03-0118353.193517635846
2023-04-0118505.8962680507
2023-05-0117738.01327542986
2023-06-0119109.20453341807
2023-07-0119764.634749143803
2023-08-0119211.37414821876
2023-09-0118339.776859795926
2023-10-0117665.28086713978
2023-11-0119313.102425590507
2023-12-0120653.973802210217
2024-01-0120615.35677717756
2024-02-0121782.561875507537
2024-03-0122977.615365603924
2024-04-0121559.245136461534
2024-05-0122397.344914027468
2024-06-0122122.12689333757
2024-07-0123295.334180701197
2024-08-0123653.302969318218
2024-09-0124107.659852416764
2024-10-0123605.5943932493
2024-11-0125375.798820746393
2024-12-0123610.27256999612
2025-01-0124262.348621261874
2025-02-0123962.371570808173
2025-03-0123092.40723087244
2025-04-0122499.955866257103
2025-05-0123262.27800727324
2025-06-0123757.723405006534
2025-07-0123888.977156374676
2025-08-0124798.882533629912
2025-09-0124775.97712106768
2025-10-0124082.50361896692
2025-11-0124846.19390601278
2025-12-0124829.643752427353
2026-01-0125160.646824135863
2026-02-0125787.345973237298
2026-03-0124242.66497193094
2026-04-0125001.765349715777
Annual Return Matrix
YearAnnual Return
2018-0.04781464475978692
20190.29270853897754034
20200.15494266617710628
20210.2875980463870538
2022-0.1295324787127815
20230.17470493441034574
20240.14313462368532393
20250.051645790145633974
20260.006932100959829324
Total Factor Risk
0.12437704014306183
VTI.US Exposure
0.8163623201792697
VEA.US Exposure
0.024294231493137586
VWO.US Exposure
-0.023790301564523577
QQQ.US Exposure
-0.3271750618285005
VTV.US Exposure
-0.029639475184435826
IJR.US Exposure
0.1798727224764858
QUAL.US Exposure
0.2749443901546655
SHV.US Exposure
0.0008273872429630119
TLT.US Exposure
0.014107890442792238
LQD.US Exposure
0.03203297887531637
HYG.US Exposure
-0.04483568871899103
GLD.US Exposure
-0.0029915828673096794
USO.US Exposure
0.003950406243927982
VNQ.US Exposure
0.10382618508997696
BTC-USD.CC Exposure
0.006982943443992367
CPER.US Exposure
-0.00639617931068852
VIX.INDX Exposure
-0.04772380863801978
UUP.US Exposure
-0.0009294424127121706
TIP.US Exposure
-0.016947620858993703
Idiosyncratic Exposure
0.043227705741647346
Value Score
44.2
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
17.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.4%

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 →14.4x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.44%
Market Cap$20.3B
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
$56
Avg Yield on Cost
0.56%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$56.050.56%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 →
+0.2%
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 →
+1.0%
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 →
3.3% 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 →
0.98
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Franklin LibertyQ U.S. Mid Cap Equity ETF a high-risk investment?

Franklin LibertyQ U.S. Mid Cap Equity ETF (FLQM.US) has an annualized volatility of 12.4% and experienced a maximum drawdown of 25.1% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FLQM.US has generated a Compound Annual Growth Rate (CAGR) of 10.7%. It has had a positive return in 78% 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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