Franklin Liberty Short Duration U.S. Government ETF

10-Year Study

FTSD.US · · US · ETF

Executive Summary: Franklin Liberty Short Duration U.S. Government ETF has compounded at 2.0% annually over the last 10 years, with a maximum drawdown of 5.0% and an annualized volatility of 6.7%.

1Y CAGR
+3.9%
3Y CAGR
+4.8%
5Y CAGR
+2.3%
10Y CAGR
+2.0%

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 →
5.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-1.80
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-2.88
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
1.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +5.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -3.1%
% 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.
20260.2-0.0-0.50.3————————0.0%
20250.50.60.30.7-0.00.60.30.70.30.50.40.75.7%
20240.5-0.10.6-0.10.70.50.90.80.8-0.30.50.25.2%
20230.7-0.31.10.3-0.2-0.20.40.30.10.31.30.84.8%
2022-0.5-0.3-1.0-0.80.6-0.40.1-0.7-0.9-0.40.70.3-3.1%
20210.0-0.30.10.10.0-0.20.1-0.10.0-0.4-0.1-0.1-0.9%
20200.60.7-0.20.80.30.30.10.20.0-0.20.10.43.1%
2019-0.00.10.30.30.20.60.10.4-0.00.4-0.00.02.4%
2018-0.1-0.00.2-0.10.30.00.10.4-0.2-0.10.30.71.6%
2017-0.00.4-0.1-0.10.1-0.10.10.20.00.1-0.10.10.6%
2016———0.20.10.2-0.10.20.5-0.2-0.60.81.0%

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 6.7%. The dominant macroeconomic risk driver is SHV.US, accounting for 93.7% of variance. Idiosyncratic stock-specific factors contribute 0.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110024.872943405979
2016-05-0110030.014428460676
2016-06-0110046.11185287277
2016-07-0110040.297398570072
2016-08-0110062.814949608064
2016-09-0110111.484085623224
2016-10-0110089.464531828753
2016-11-0110025.357481264537
2016-12-0110102.43937893014
2017-01-0110099.195667154792
2017-02-0110140.125656817987
2017-03-0110135.011090533208
2017-04-0110127.258484796277
2017-05-0110134.32466190025
2017-06-0110127.527672495475
2017-07-0110136.706973038159
2017-08-0110155.725083986563
2017-09-0110155.819299681281
2017-10-0110161.593375829096
2017-11-0110155.361680592643
2017-12-0110166.371457489879
2018-01-0110154.917520888965
2018-02-0110151.956456197777
2018-03-0110168.484580928589
2018-04-0110162.656667240935
2018-05-0110196.533939185116
2018-06-0110199.387328796623
2018-07-0110209.72413644586
2018-08-0110246.979714014988
2018-09-0110230.168942200018
2018-10-0110221.406882591093
2018-11-0110256.61663364631
2018-12-0110332.864049444397
2019-01-0110332.137242656558
2019-02-0110340.159036092686
2019-03-0110375.516840382461
2019-04-0110402.085666293393
2019-05-0110423.647600999224
2019-06-0110482.868894822981
2019-07-0110494.672775432853
2019-08-0110533.435804117495
2019-09-0110532.68207855974
2019-10-0110576.842320613316
2019-11-0110575.348328882763
2019-12-0110580.449435782584
2020-01-0110640.222564389696
2020-02-0110714.73371952795
2020-03-0110694.611939012835
2020-04-0110781.438431389439
2020-05-0110811.439400465157
2020-06-0110844.132246532863
2020-07-0110859.004866913601
2020-08-0110883.447110000861
2020-09-0110884.079701093979
2020-10-0110863.648354724783
2020-11-0110870.297290894994
2020-12-0110911.981006115944
2021-01-0110915.53428374537
2021-02-0110877.471143078645
2021-03-0110883.258678611423
2021-04-0110895.385584460333
2021-05-0110900.379016280473
2021-06-0110876.744336290809
2021-07-0110885.721746059091
2021-08-0110878.332543716082
2021-09-0110880.203398225514
2021-10-0110840.242484279439
2021-11-0110828.182875355327
2021-12-0110813.565983288829
2022-01-0110757.722995090016
2022-02-0110723.495779136876
2022-03-0110619.360517701782
2022-04-0110531.874515462141
2022-05-0110598.633064863467
2022-06-0110557.178159186837
2022-07-0110572.118076492376
2022-08-0110501.052523903869
2022-09-0110411.103454216556
2022-10-0110371.600159359117
2022-11-0110448.291734860884
2022-12-0110475.425854940133
2023-01-0110553.288396933414
2023-02-0110524.835257128092
2023-03-0110639.603432681539
2023-04-0110676.15912223275
2023-05-0110655.054806615555
2023-06-0110634.017787923161
2023-07-0110679.645102937377
2023-08-0110715.23171677147
2023-09-0110730.642712550607
2023-10-0110762.083835817039
2023-11-0110899.006159014558
2023-12-0110982.777371005255
2024-01-0111035.793888362477
2024-02-0111026.951072443793
2024-03-0111090.169803600653
2024-04-0111076.57582479111
2024-05-0111158.476182272374
2024-06-0111215.988134206218
2024-07-0111317.202709105006
2024-08-0111412.535532776294
2024-09-0111508.850891549659
2024-10-0111470.666616418295
2024-11-0111525.500150745109
2024-12-0111554.101343784994
2025-01-0111607.858127315014
2025-02-0111676.91823154449
2025-03-0111712.504845378586
2025-04-0111796.895189077439
2025-05-0111791.282625549142
2025-06-0111864.178654492203
2025-07-0111897.948251356705
2025-08-0111984.734365578432
2025-09-0112024.479929365147
2025-10-0112080.053729864761
2025-11-0112125.317641485053
2025-12-0112208.698531311913
2026-01-0112238.57836592299
2026-02-0112233.369583943491
2026-03-0112173.206133172538
2026-04-0112211.699974157982
Annual Return Matrix
YearAnnual Return
20170.006328380321001914
20180.0163767960526231
20190.023960964274130747
20200.03133435610137103
2021-0.009018987732104522
2022-0.03126999260662533
20230.048432543277069806
20240.05201999034306626
20250.056654963293967464
20260.00024584461958587767
Total Factor Risk
0.06692154376006165
VTI.US Exposure
-0.0008781584222803441
VEA.US Exposure
-0.0011066640198668424
VWO.US Exposure
0.0005643411839425247
QQQ.US Exposure
0.0023675923657516954
VTV.US Exposure
0.003273155555541787
IJR.US Exposure
-0.0002592227332160487
QUAL.US Exposure
-0.0017536681617428894
SHV.US Exposure
0.9365754584352234
TLT.US Exposure
-0.009123769514363509
LQD.US Exposure
0.04485770593559491
HYG.US Exposure
-0.0014712782924193413
GLD.US Exposure
-0.0003161001372293584
USO.US Exposure
0.0014874342446901483
VNQ.US Exposure
-0.0005337974913898569
BTC-USD.CC Exposure
0.00043288217494989956
CPER.US Exposure
-0.00005764835346903754
VIX.INDX Exposure
-0.00008652495750151674
UUP.US Exposure
0.0014901783225507552
TIP.US Exposure
0.018771603609303713
Idiosyncratic Exposure
0.005766480255930075
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
6.7%

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
$84
Avg Yield on Cost
0.84%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$84.110.84%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 →
-0.1%
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 →
+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 →
0.5% 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 →
0.19
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Franklin Liberty Short Duration U.S. Government ETF a high-risk investment?

Franklin Liberty Short Duration U.S. Government ETF (FTSD.US) has an annualized volatility of 6.7% and experienced a maximum drawdown of 5.0% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, FTSD.US has generated a Compound Annual Growth Rate (CAGR) of 2.0%. 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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