FLQL: Multi-Factor Vs. Single Factors

(6min)

Summary

  • Franklin U.S. Large Cap Multifactor Index ETF implements a strategy combining quality, value and momentum factors in the Russell 1000.
  • FLQL is quite close to its benchmark regarding the sector breakdown, top holdings, concentration and performance since inception.
  • Compared to single-factor ETFs, FLQL outperforms value and momentum funds but lags behind a quality fund, suggesting quality is the superior standalone factor.

Risk Reward Scale Concept

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FLQL strategy

Franklin U.S. Large Cap Multifactor Index ETF (BATS:FLQL) started investing operations on 04/26/2017 and tracks the LibertyQ U.S. Large Cap Equity Index. FLQL has a portfolio of 211 stocks, a 30-day SEC yield of 1.34% and an expense ratio

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This article was written by

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Fred Piard, PhD. is a quantitative analyst and IT professional with over 30 years of experience working in technology. He is the author of three books and has been investing in data-driven systematic strategies since 2010.

Fred runs the investing group Quantitative Risk & Value where he shares a portfolio invested in quality dividend stocks, and companies at the forefront of tech innovation. Fred also supplies market risk indicators, a real estate strategy, a bond strategy, and an income strategy in closed-end funds. Learn more.

Analyst’s Disclosure: I/we have a beneficial long position in the shares of AMZN, GOOGL, META either through stock ownership, options, or other derivatives. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it (other than from Seeking Alpha). I have no business relationship with any company whose stock is mentioned in this article.

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About FLQL ETF

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