Franklin Liberty Systematic Style Premia ETF

10-Year Study

FLSP.US · · US · ETF

Executive Summary: Franklin Liberty Systematic Style Premia ETF has compounded at 4.0% annually over the last 10 years, with a maximum drawdown of 18.2% and an annualized volatility of 13.0%.

1Y CAGR
+14.7%
3Y CAGR
+10.5%
5Y CAGR
+8.1%
10Y CAGR
+4.0%

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 →
18.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.02
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.03
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
8.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +15.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · -15.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
86%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.42.4-1.60.3————————1.4%
2025-0.32.10.8-1.72.3-2.42.22.45.10.91.51.715.6%
20244.93.51.9-1.64.0-3.50.30.70.8-1.01.20.311.7%
2023-0.9-0.51.51.2-0.31.90.63.0-0.60.2-0.5-2.43.1%
2022-1.3-5.24.63.12.2-3.4-1.20.50.10.5-4.65.80.4%
20210.8-3.22.50.91.9-0.12.70.2-0.71.61.43.011.4%
20201.2-3.2-5.3-4.63.00.10.2-0.4-0.9-2.9-3.30.2-15.2%

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 13.0%. The dominant macroeconomic risk driver is VTI.US, accounting for 28.8% of variance. Idiosyncratic stock-specific factors contribute 10.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-12-0110000
2020-01-0110115.7092112149
2020-02-019793.719935767387
2020-03-019276.623199730453
2020-04-018849.700343386407
2020-05-019111.438387589342
2020-06-019119.43699683855
2020-07-019133.434114973512
2020-08-019097.444853863635
2020-09-019011.068655774841
2020-10-018753.14083860839
2020-11-018464.82171148373
2020-12-018480.61730696164
2021-01-018545.757672428008
2021-02-018274.846228843026
2021-03-018485.362168710975
2021-04-018558.699182037808
2021-05-018722.624970428624
2021-06-018710.96667933158
2021-07-018948.875570817174
2021-08-018968.51992573104
2021-09-018902.602639558974
2021-10-019045.786347702035
2021-11-019175.871728330454
2021-12-019451.36315083911
2022-01-019332.953983354004
2022-02-018847.953839977634
2022-03-019255.61587319794
2022-04-019538.750152337392
2022-05-019750.226713885286
2022-06-019415.96979776763
2022-07-019302.368219193795
2022-08-019345.62397396285
2022-09-019359.16945653187
2022-10-019402.863405332168
2022-11-018974.666291498497
2022-12-019492.589233868366
2023-01-019410.355716774318
2023-02-019362.983267977605
2023-03-019501.081595492247
2023-04-019613.257475285498
2023-05-019579.738768253605
2023-06-019765.211336769587
2023-07-019824.650699318247
2023-08-0110123.640612790605
2023-09-0110060.177750854882
2023-10-0110080.289871176332
2023-11-0110033.362785229367
2023-12-019790.352383273712
2024-01-0110269.694536643417
2024-02-0110626.940957610776
2024-03-0110833.148437556007
2024-04-0110658.595771830845
2024-05-0111088.19528578495
2024-06-0110701.555812836488
2024-07-0110730.948864817588
2024-08-0110807.824586179953
2024-09-0110891.483802054583
2024-10-0110780.692400335502
2024-11-0110911.380857820823
2024-12-0110940.66100091044
2025-01-0110913.206218233174
2025-02-0111141.99458037321
2025-03-0111233.509925229224
2025-04-0111045.902841002775
2025-05-0111302.14688192239
2025-06-0111027.600847354348
2025-07-0111274.691203142811
2025-08-0111549.238133813167
2025-09-0112134.935982450732
2025-10-0112244.297204877663
2025-11-0112425.498053665775
2025-12-0112642.740137497938
2026-01-0112689.72188568602
2026-02-0112990.403819546498
2026-03-0112778.986759192218
2026-04-0112816.572014366311
Annual Return Matrix
YearAnnual Return
2020-0.15193826930383603
20210.11446641308535366
20220.004361919267232395
20230.031367958948751884
20240.11749409751603701
20250.1555737022146888
20260.013749541236934393
Total Factor Risk
0.13002770240077632
VTI.US Exposure
0.28832802013629205
VEA.US Exposure
0.03974031394777128
VWO.US Exposure
0.011757908010363268
QQQ.US Exposure
0.17608684117645934
VTV.US Exposure
0.020476646105316545
IJR.US Exposure
0.01007151293427143
QUAL.US Exposure
0.014053581970038021
SHV.US Exposure
0.224491719417872
TLT.US Exposure
-0.003211506853984427
LQD.US Exposure
-0.00021939934926023586
HYG.US Exposure
0.028389996892160672
GLD.US Exposure
0.001637403670197902
USO.US Exposure
0.004664948349827897
VNQ.US Exposure
0.004672508227583764
BTC-USD.CC Exposure
-0.00011020459254154987
CPER.US Exposure
0.0011316544321904164
VIX.INDX Exposure
0.000033851910100986894
UUP.US Exposure
0.07380166165253779
TIP.US Exposure
-0.0001241111604100134
Idiosyncratic Exposure
0.10432665312321274
Value Score
43.7
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
31.1
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
13.0%

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 →15.7x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.59%
Market Cap$92.4B
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 →
+0.1%
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 →
+5.0%
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 →
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 →
0.03
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Franklin Liberty Systematic Style Premia ETF a high-risk investment?

Franklin Liberty Systematic Style Premia ETF (FLSP.US) has an annualized volatility of 13.0% and experienced a maximum drawdown of 18.2% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, FLSP.US has generated a Compound Annual Growth Rate (CAGR) of 4.0%. It has had a positive return in 86% 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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