FLQS

FLQS seeks to achieve lower risk and higher risk-adjusted performance than the Russell 2000 Index by screening and re-weighting its components for favorable exposure to four investment style factors. The fund scores small-caps by quality (ROE, gross profit over assets, and gross margin sustainability), value (forward earnings yield, EBITDA to enterprise value, price to book value, and dividend yield), momentum (6- and 12-month risk-adjusted price momentum), and low volatility (beta). Quality accounts for 50% of the factor score, value for 30%, and momentum and low volatility for 10% each. Holdings are weighted by their factor score, scaled by market cap. The index undergoes semi-annual rebalance and reconstitution with issuer weights capped at 1% each. Prior to Aug. 1, 2022, the fund traded under the name Franklin LibertyQ U.S. Small Cap Equity ETF.