| Semi-Annual Report | September 30, 2022 |
Franklin Low Volatility High Dividend Index ETFs
Franklin International Low Volatility High Dividend Index ETF
Franklin U.S. Low Volatility High Dividend Index ETF
| INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE |
| II | Franklin Low Volatility High Dividend Index ETFs |
Dear Shareholder,
We are pleased to provide the semi-annual reports of Franklin International Low Volatility High Dividend Index ETF and Franklin U.S. Low Volatility High Dividend Index ETF for the six-month reporting period ended September 30, 2022. Please read on for each Fund’s performance information during the Funds’ reporting period.
Special shareholder notice
Effective June 29, 2022, Vaneet Chadha, CFA, Christopher W. Floyd, CFA, and Jose Maldonado, CFA, joined the management team. Effective June 29, 2022, Russell Shtern is no longer a portfolio manager for the Funds.
As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.franklintempleton.com. Here you can gain immediate access to market and investment information, including:
| • |
Fund net asset value and market price, |
| • |
Market insights and commentaries from our portfolio managers, and |
| • |
A host of educational resources. |
We look forward to helping you meet your financial goals.
Sincerely,
| Patrick O’Connor |
| President and Chief Executive Officer - Investment Management President |
| October 31, 2022 |
| Franklin Low Volatility High Dividend Index ETFs | III |
Franklin International Low Volatility High Dividend Index ETF
Franklin International Low Volatility High Dividend Index ETF seeks to track the investment results of an index composed of public traded equity securities of developed markets outside of the United States with relatively high yield and low price and earnings volatility while mitigating exposure to fluctuations between the values of the U.S. dollar and other international currencies.
Performance review
For the six months ended September 30, 2022, Franklin International Low Volatility High Dividend Index ETF generated a -8.10% return on a net asset value (“NAV”)i basis and -7.64% based on its market priceii per share.
The performance table shows the Fund’s total return for the six months ended September 30, 2022 based on its NAV and market price as of September 30, 2022. The Fund seeks to track the investment results of an index composed of publicly traded equity securities of developed markets outside of the United States with relatively high yield and low price and earnings volatility, QS International Low Volatility High Dividend Hedged Index (NR)iii, which returned -8.00% for the same period. The Fund’s broad-based market index, the MSCI World ex-US IMI Local Index (NR)iv returned -11.97% over the same time frame. The Lipper International Large-Cap Value Funds Category Averagev returned -21.44% for the period. Please note that Lipper performance returns are based on each fund’s NAV.
| Performance Snapshot as of September 30, 2022 (unaudited) | ||||
| 6 months | ||||
| Franklin International Low Volatility High Dividend Index ETF: | ||||
|
$24.09 (NAV) |
-8.10 | %*† | ||
|
$24.12 (Market Price) |
-7.64 | %*‡ | ||
| QS International Low Volatility High Dividend Hedged Index (NR) | -8.00 | % | ||
| MSCI World ex-US IMI Local Index (NR) | -11.97 | % | ||
| Lipper International Large-Cap Value Funds Category Average | -21.44 | % | ||
The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value and investment returns will fluctuate so shares, when sold, may be worth more or less than their original cost. Performance data current to the most recent month-end is available at www.franklintempleton.com.
Investors buy and sell shares of an exchange-traded fund (“ETF”) at market price (not NAV) in the secondary market throughout the trading day. These shares are not individually available for direct purchase from or direct redemption to the ETF. Market price returns shown are typically based upon the official closing price of the Fund’s shares. These returns do not represent investors’ returns had they traded shares at other times. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.
Information showing the Fund’s net asset value, market price, premiums and discounts, and bid-ask spreads for various time periods is available by visiting the Fund’s website at www.franklintempleton.com.
As of the Fund’s current prospectus dated July 29, 2022, the gross total annual fund operating expense ratio for the Fund was 0.40%.
* Total returns are based on changes in NAV or market price, respectively. Returns reflect the deduction of all Fund expenses. Returns do not reflect the deduction of brokerage commissions or taxes that investors pay on distributions or the sale of shares.
† Total return assumes the reinvestment of all distributions, including returns of capital, if any, at NAV.
‡ Total return assumes the reinvestment of all distributions, including returns of capital, if any, at market price, which typically is based upon the official closing price of the Fund’s shares.
Looking for additional information?
The Fund’s daily NAV is available online at www.franklintempleton.com. The Fund is traded under the symbol “LVHI” and its closing market price is available on most financial websites. In a continuing effort to provide information concerning the Fund, shareholders may call 1-877-721-1926 (toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern time, for the Fund’s current NAV, market price and other information.
RISKS: Equity securities are subject to market and price fluctuations. Dividends are not guaranteed, and a company may reduce or eliminate its dividend at any time. International investments are subject to special risks including currency fluctuations, social, economic, and political uncertainties, which could increase volatility. Currency investing contains heightened risks that include market, political, regulatory, and national conditions, and may not be suitable for all investors. In rising markets, the value of large-cap stocks may not rise as much as smaller-cap stocks. Small- and mid-cap stocks involve greater risks and volatility than large-cap stocks. The Fund may focus its investments in certain industries, increasing its vulnerability to market volatility. There is no guarantee that the Fund will achieve a high degree of correlation to the index it seeks to track. The Fund does not seek to outperform the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. Derivatives, such as options and futures, can be illiquid, may disproportionately increase losses and have a potentially large impact on Fund performance. Distributions are not guaranteed and are subject to change. Please see the Fund’s prospectus for a more complete discussion of these and other risks and the Fund’s investment strategies.
| IV | Franklin Low Volatility High Dividend Index ETFs |
Franklin U.S. Low Volatility High Dividend Index ETF
Franklin U.S. Low Volatility High Dividend Index ETF seeks to track the investment results of an index composed of equity securities of U.S. companies with relatively high yield and low price and earnings volatility.
Performance review
For the six months ended September 30, 2022, Franklin U.S. Low Volatility High Dividend Index ETF generated a -12.68% return on a NAV basis and -12.67% based on its market price per share.
The performance table shows the Fund’s total return for the six months ended September 30, 2022 based on its NAV and market price as of September 30, 2022. The Fund seeks to track the investment results of an index composed of equity securities of U.S. companies with relatively high yield and low price and earnings volatility, the QS Low Volatility High Dividend Index (NR)vi, which returned -12.60% for the same period. The Fund’s broad-based market index, the Russell 3000 Indexvii returned -20.42% over the same time frame. The Lipper Multi-Cap Value Funds Category Averageviii returned -16.83% for the period. Please note that Lipper performance returns are based on each fund’s NAV.
| Performance Snapshot as of September 30, 2022 (unaudited) | ||||
| 6 months | ||||
| Franklin U.S. Low Volatility High Dividend Index ETF: | ||||
|
$34.12 (NAV) |
-12.68 | %*† | ||
|
$34.16 (Market Price) |
-12.67 | %*‡ | ||
| QS Low Volatility High Dividend Index (NR) | -12.60 | % | ||
| Russell 3000 Index | -20.42 | % | ||
| Lipper Multi-Cap Value Funds Category Average | -16.83 | % | ||
The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value and investment returns will fluctuate so shares, when sold, may be worth more or less than their original cost. Performance data current to the most recent month-end is available at www.franklintempleton.com.
Investors buy and sell shares of an ETF at market price (not NAV) in the secondary market throughout the trading day. These shares are not individually available for direct purchase from or direct redemption to the ETF. Market price returns are typically based upon the official closing price of the Fund’s shares. These returns do not represent investors’ returns had they traded shares at other times. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.
Information showing the Fund’s net asset value, market price, premiums and discounts, and bid-ask spreads for various time periods is available by visiting the Fund’s website at www.franklintempleton.com.
As of the Fund’s current prospectus dated July 29, 2022, the gross total annual fund operating expense ratio for the Fund was 0.27%.
* Total returns are based on changes in NAV or market price, respectively. Returns reflect the deduction of all Fund expenses. Returns do not reflect the deduction of brokerage commissions or taxes that investors pay on distributions or the sale of shares.
† Total return assumes the reinvestment of all distributions, including returns of capital, if any, at NAV.
‡ Total return assumes the reinvestment of all distributions, including returns of capital, if any, at market price, which typically is based upon the official closing price of the Fund’s shares.
Looking for additional information?
The Fund’s daily NAV is available online at www.franklintempleton.com. The Fund is traded under the symbol “LVHD” and its closing market price is available on most financial websites. In a continuing effort to provide information concerning the Fund, shareholders may call 1-877-721-1926 (toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern time, for the Fund’s current NAV, market price and other information.
RISKS: Equity securities are subject to market and price fluctuations. Dividends are not guaranteed, and a company may reduce or eliminate its dividend at any time. In rising markets, the value of large-cap stocks may not rise as much as smaller-cap stocks. Small- and mid-cap stocks involve greater risks and volatility than large-cap stocks. The Fund may focus its investments in certain industries, increasing its vulnerability to market volatility. There is no guarantee that the Fund will achieve a high degree of correlation to the index it seeks to track. The Fund does not seek to outperform the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. Derivatives, such as options and futures, can be illiquid, may disproportionately increase losses and have a potentially large impact on Fund performance. Please see the Fund’s prospectus for a more complete discussion of these and other risks and the Fund’s investment strategies.
| Franklin Low Volatility High Dividend Index ETFs | V |
Performance review (cont’d)
As always, thank you for your confidence in our stewardship of your assets.
|
Sincerely,
|
| Patrick O’Connor |
| President and Chief Executive Officer - Investment Management President |
| October 31, 2022 |
All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. An index is a statistical composite that tracks a specified financial market, sector or rules-based investment process. Unlike a fund, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by a fund. These expenses negatively impact fund performance. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.
| i |
Net Asset Value (“NAV”) is calculated by subtracting total liabilities from total assets and dividing the results by the number of shares outstanding. |
| ii |
Market price is determined by supply and demand. It is the price at which an investor purchases or sells shares of the Fund. The Market price may differ from the Fund’s NAV. |
| iii |
The QS International Low Volatility High Dividend Hedged Index (NR) (the “Underlying Index”) is composed of equity securities in developed markets outside of the United States across a range of market capitalizations that are included in the MSCI World ex-US IMI Local Index. The Underlying Index is based on a proprietary methodology created and sponsored by Franklin Advisers, Inc. (“Franklin Advisers”), the Fund’s subadviser. Franklin Adviser is affiliated with both Legg Mason Partners Fund Advisor, LLC (“LMPFA”), the Fund’s investment manager, and the Fund. Only stocks that have paid or are anticipated to pay a dividend are included in the Underlying Index. Franklin Advisers anticipates that the number of component securities in the Underlying Index will range from 50 to 200, but this number may vary due to market conditions. The Underlying Index’s components are reconstituted annually and rebalanced quarterly. The components of the Underlying Index, and the degree to which these components represent certain sectors and industries, may change over time. |
| iv |
The MSCI World ex-US IMI Index captures large, mid and small cap representation across 22 of 23 Developed Markets (DM) countries — excluding the United States. With 3,491 constituents, the index covers approximately 99% of the free float-adjusted market capitalization in each country. The index calculates performance utilizing local currencies taking out the effect of the converting to the U.S. dollar. Net Returns (NR) include income net of tax withholding when dividends are paid. |
| v |
Lipper, Inc., a wholly-owned subsidiary of Refinitiv, provides independent insight on global collective investments. Returns are based on the six-month period ended September 30, 2022, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 77 funds in the Fund’s Lipper category. |
| vi |
The QS Low Volatility High Dividend Index (the “Underlying Index”) seeks to provide more stable income through investments in stocks of profitable U.S. companies with relatively high dividend yields and lower price and earnings volatility. The Underlying Index is based on a proprietary methodology created and sponsored by Franklin Advisers, Inc. (“Franklin Advisers”), the Fund’s subadviser. Franklin Advisers is affiliated with both Legg Mason Partners Fund Advisor, LLC (“LMPFA”), the Fund’s investment manager, and the Fund. The Underlying Index is composed of stocks of U.S. companies across a wide range of market capitalizations, including the largest 3,000 U.S. stocks as determined by the Solactive US Broad Market Index. Stocks in the Underlying Index must have demonstrated profitability over the last four fiscal quarters as a whole. Stocks whose yields are not supported by earnings are excluded from the Underlying Index. Franklin Advisers anticipates that the number of component securities in the Underlying Index will range from 50 to 100, but this number may vary due to market movements. The Underlying Index’s components are reconstituted annually and rebalanced quarterly. The Underlying Index may include large-, mid- or small-capitalization companies. The Fund’s portfolio is rebalanced when the Underlying Index is rebalanced or reconstituted. The components of the Underlying Index, and the degree to which these components represent certain sectors and industries, may change over time. |
| vii |
The Russell 3000 Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the U.S. equity market. |
| viii |
Lipper, Inc., a wholly-owned subsidiary of Refinitiv, provides independent insight on global collective investments. Returns are based on the six-month period ended September 30, 2022, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 680 funds in the Fund’s Lipper category. |
| VI | Franklin Low Volatility High Dividend Index ETFs |
Franklin International Low Volatility High Dividend Index ETF Investment Breakdown† (%) as a percent of total investments
| † |
The bar graph above represents the composition of the Fund’s investments as of September 30, 2022 and March 31, 2022 and does not include derivatives, such as futures contracts and forward foreign currency contracts. The composition of the Fund’s investments is subject to change at any time. |
| Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report | 1 |
Funds at a glance (unaudited) (cont’d)
Franklin U.S. Low Volatility High Dividend Index ETF Investment Breakdown† (%) as a percent of total investments
| † |
The bar graph above represents the composition of the Fund’s investments as of September 30, 2022 and March 31, 2022 and does not include derivatives, such as futures contracts. The composition of the Fund’s investments is subject to change at any time. |
| 2 | Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report |
Franklin International Low Volatility High Dividend Index ETF
Example
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, such as brokerage commissions paid on purchases and sales of Fund shares; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds.
This example is based on an investment of $1,000 invested on April 1, 2022 and held for the six months ended September 30, 2022.
Actual expenses
The table below titled “Based on actual total return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account, divide your ending account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.
Hypothetical example for comparison purposes
The table below titled “Based on hypothetical total return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5.00% hypothetical example relating to the Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| Based on actual total return1 | Based on hypothetical total return1 | |||||||||||||||||||||||||||||||||||||||||||||||||
| Actual Total Return2 |
Beginning Account Value |
Ending Account Value |
Annualized Expense Ratio |
Expenses Paid During the Period3 |
Hypothetical Annualized Total Return |
Beginning Account Value |
Ending Account Value |
Annualized Expense Ratio |
Expenses Paid During the Period3 | |||||||||||||||||||||||||||||||||||||||||
| -8.10% | $ | 1,000.00 | $ | 919.00 | 0.40 | % | $ | 1.92 | 5.00 | % | $1,000.00 | $ | 1,023.06 | 0.40 | % | $ | 2.03 | |||||||||||||||||||||||||||||||||
| 1 |
For the six months ended September 30, 2022. |
| 2 |
Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value. Total return is not annualized, as it may not be representative of the total return for the year. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. |
| 3 |
Expenses (net of fee waivers and/or expense reimbursements) are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), then divided by 365. |
| Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report | 3 |
Funds expenses (unaudited) (cont’d)
Franklin U.S. Low Volatility High Dividend Index ETF
Example
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, such as brokerage commissions paid on purchases and sales of Fund shares; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds.
This example is based on an investment of $1,000 invested on April 1, 2022 and held for the six months ended September 30, 2022.
Actual expenses
The table below titled “Based on actual total return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account, divide your ending account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.
Hypothetical example for comparison purposes
The table below titled “Based on hypothetical total return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5.00% hypothetical example relating to the Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| Based on actual total return1 | Based on hypothetical total return1 | |||||||||||||||||||||||||||||||||||||||||||||||||
| Actual Total Return2 |
Beginning Account Value |
Ending Account Value |
Annualized Expense Ratio |
Expenses Paid During the Period3 |
Hypothetical Annualized Total Return |
Beginning Account Value |
Ending Account Value |
Annualized Expense Ratio |
Expenses Paid During the Period3 | |||||||||||||||||||||||||||||||||||||||||
| -12.68% | $ | 1,000.00 | $ | 873.20 | 0.27 | % | $ | 1.27 | 5.00 | % | $1,000.00 | $ | 1,023.71 | 0.27 | % | $ | 1.37 | |||||||||||||||||||||||||||||||||
| 1 |
For the six months ended September 30, 2022. |
| 2 |
Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value. Total return is not annualized, as it may not be representative of the total return for the year. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. |
| 3 |
Expenses (net of fee waivers and/or expense reimbursements) are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), then divided by 365. |
| 4 | Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report |
Schedules of investments (unaudited)
September 30, 2022
Franklin International Low Volatility High Dividend Index ETF
(Percentages shown based on Fund net assets)
| Security | Shares | Value | ||||||||||||||
| Common Stocks — 96.3% | ||||||||||||||||
| Communication Services — 12.9% | ||||||||||||||||
|
Diversified Telecommunication Services — 8.3% |
||||||||||||||||
|
HKT Trust & HKT Ltd. |
381,488 | $ 447,100 | ||||||||||||||
|
Koninklijke KPN NV |
592,600 | 1,609,259 | ||||||||||||||
|
Nippon Telegraph & Telephone Corp. |
138,900 | 3,748,270 | ||||||||||||||
|
Orange SA |
359,196 | 3,254,246 | ||||||||||||||
|
Proximus SADP |
58,352 | 605,658 | ||||||||||||||
|
Swisscom AG, Registered Shares |
4,410 | 2,076,744 | ||||||||||||||
|
Total Diversified Telecommunication Services |
11,741,277 | |||||||||||||||
|
Media — 0.9% |
||||||||||||||||
|
Eutelsat Communications SA |
35,916 | 278,666 | ||||||||||||||
|
ProSiebenSat.1 Media SE |
121,113 | 866,845 | ||||||||||||||
|
Telenet Group Holding NV |
9,831 | 135,893 | ||||||||||||||
|
Total Media |
1,281,404 | |||||||||||||||
|
Wireless Telecommunication Services — 3.7% |
||||||||||||||||
|
Freenet AG |
87,450 | 1,666,289 | ||||||||||||||
|
SoftBank Corp. |
362,300 | 3,620,622 | ||||||||||||||
|
Total Wireless Telecommunication Services |
5,286,911 | |||||||||||||||
|
Total Communication Services |
18,309,592 | |||||||||||||||
| Consumer Discretionary — 5.0% | ||||||||||||||||
|
Automobiles — 2.5% |
||||||||||||||||
|
Bayerische Motoren Werke AG |
51,989 | 3,564,663 | ||||||||||||||
|
Household Durables — 1.5% |
||||||||||||||||
|
Barratt Developments PLC |
70,460 | 269,156 | ||||||||||||||
|
JM AB |
15,571 | 217,061 | ||||||||||||||
|
Persimmon PLC |
117,588 | 1,624,385 | ||||||||||||||
|
Total Household Durables |
2,110,602 | |||||||||||||||
|
Multiline Retail — 0.9% |
||||||||||||||||
|
Harvey Norman Holdings Ltd. |
487,907 | 1,267,348 | ||||||||||||||
|
Specialty Retail — 0.1% |
||||||||||||||||
|
T-Gaia Corp. |
9,600 | 108,704 | ||||||||||||||
|
Total Consumer Discretionary |
7,051,317 | |||||||||||||||
| Consumer Staples — 12.1% | ||||||||||||||||
|
Food & Staples Retailing — 1.9% |
||||||||||||||||
|
Olam Group Ltd. |
74,600 | 68,107 | ||||||||||||||
|
Tesco PLC |
1,110,109 | 2,562,696 | ||||||||||||||
|
Total Food & Staples Retailing |
2,630,803 | |||||||||||||||
|
Food Products — 0.1% |
||||||||||||||||
|
Rogers Sugar Inc. |
27,282 | 122,705 | ||||||||||||||
|
Personal Products — 2.4% |
||||||||||||||||
|
Unilever PLC |
76,057 | 3,369,309 | ||||||||||||||
|
Tobacco — 7.7% |
||||||||||||||||
|
British American Tobacco PLC |
96,916 | 3,490,664 | ||||||||||||||
|
Imperial Brands PLC |
179,111 | 3,708,917 | ||||||||||||||
See Notes to Financial Statements.
| Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report | 5 |
Schedules of investments (unaudited) (cont’d)
September 30, 2022
Franklin International Low Volatility High Dividend Index ETF
(Percentages shown based on Fund net assets)
| Security | Shares | Value | ||||||||||||||
|
Tobacco — continued |
||||||||||||||||
|
Japan Tobacco Inc. |
224,700 | $3,685,362 | ||||||||||||||
|
Scandinavian Tobacco Group A/S |
5,407 | 78,720 | ||||||||||||||
|
Total Tobacco |
10,963,663 | |||||||||||||||
|
Total Consumer Staples |
17,086,480 | |||||||||||||||
| Energy — 0.4% | ||||||||||||||||
|
Oil, Gas & Consumable Fuels — 0.4% |
||||||||||||||||
|
Itochu Enex Co. Ltd. |
14,700 | 103,792 | ||||||||||||||
|
Woodside Energy Group Ltd. |
23,556 | 479,501 | ||||||||||||||
|
Total Energy |
583,293 | |||||||||||||||
| Financials — 22.7% | ||||||||||||||||
|
Banks — 12.5% |
||||||||||||||||
|
Bank of Nova Scotia |
61,580 | 2,944,439 | ||||||||||||||
|
Banque Cantonale Vaudoise, Registered Shares |
3,673 | 349,667 | ||||||||||||||
|
BOC Hong Kong Holdings Ltd. |
576,051 | 1,918,972 | ||||||||||||||
|
Canadian Imperial Bank of Commerce |
70,334 | 3,094,788 | ||||||||||||||
|
DBS Group Holdings Ltd. |
165,300 | 3,846,517 | ||||||||||||||
|
Oversea-Chinese Banking Corp. Ltd. |
259,600 | 2,140,266 | ||||||||||||||
|
Seven Bank Ltd. |
565,900 | 1,012,595 | ||||||||||||||
|
United Overseas Bank Ltd. |
131,100 | 2,390,115 | ||||||||||||||
|
Total Banks |
17,697,359 | |||||||||||||||
|
Capital Markets — 0.3% |
||||||||||||||||
|
IGM Financial Inc. |
13,675 | 342,560 | ||||||||||||||
|
Jupiter Fund Management PLC |
64,144 | 65,768 | ||||||||||||||
|
Total Capital Markets |
408,328 | |||||||||||||||
|
Insurance — 9.9% |
||||||||||||||||
|
Assicurazioni Generali SpA |
109,219 | 1,500,090 | ||||||||||||||
|
Direct Line Insurance Group PLC |
331,904 | 687,286 | ||||||||||||||
|
Gjensidige Forsikring ASA |
13,790 | 236,640 | ||||||||||||||
|
Great-West Lifeco Inc. |
116,505 | 2,528,422 | ||||||||||||||
|
Japan Post Holdings Co. Ltd. |
551,200 | 3,646,995 | ||||||||||||||
|
Legal & General Group PLC |
179,525 | 433,874 | ||||||||||||||
|
Poste Italiane SpA |
163,444 | 1,247,319 | ||||||||||||||
|
Zurich Insurance Group AG |
9,349 | 3,751,948 | ||||||||||||||
|
Total Insurance |
14,032,574 | |||||||||||||||
|
Total Financials |
32,138,261 | |||||||||||||||
| Health Care — 4.8% | ||||||||||||||||
|
Pharmaceuticals — 4.8% |
||||||||||||||||
|
Novartis AG, Registered Shares |
47,081 | 3,612,932 | ||||||||||||||
|
Sanofi |
42,137 | 3,236,314 | ||||||||||||||
|
Total Health Care |
6,849,246 | |||||||||||||||
| Industrials — 10.3% | ||||||||||||||||
|
Air Freight & Logistics — 0.3% |
||||||||||||||||
|
Cia de Distribucion Integral Logista Holdings SA |
15,309 | 279,703 | ||||||||||||||
|
Oesterreichische Post AG |
3,306 | 88,417 | ||||||||||||||
|
Total Air Freight & Logistics |
368,120 | |||||||||||||||
See Notes to Financial Statements.
| 6 | Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report |
Franklin International Low Volatility High Dividend Index ETF
(Percentages shown based on Fund net assets)
| Security | Shares | Value | ||||||||||||||
|
Commercial Services & Supplies — 0.5% |
||||||||||||||||
|
Securitas AB, Class B Shares |
108,285 | $ | 757,190 | |||||||||||||
|
Construction & Engineering — 2.6% |
||||||||||||||||
|
ACS Actividades de Construccion y Servicios SA |
38,953 | 882,648 | ||||||||||||||
|
Bouygues SA |
55,527 | 1,460,561 | ||||||||||||||
|
Chudenko Corp. |
7,900 | 114,124 | ||||||||||||||
|
NCC AB, Class B Shares |
17,919 | 129,659 | ||||||||||||||
|
Nishimatsu Construction Co. Ltd. |
27,500 | 721,009 | ||||||||||||||
|
Okumura Corp |
10,500 | 206,453 | ||||||||||||||
|
Peab AB, Class B Shares |
13,403 | 64,554 | ||||||||||||||
|
Sanki Engineering Co. Ltd. |
9,800 | 107,313 | ||||||||||||||
|
Total Construction & Engineering |
3,686,321 | |||||||||||||||
|
Industrial Conglomerates — 1.6% |
||||||||||||||||
|
CK Hutchison Holdings Ltd. |
275,700 | 1,524,272 | ||||||||||||||
|
Keppel Corp. Ltd. |
151,900 | 735,734 | ||||||||||||||
|
Total Industrial Conglomerates |
2,260,006 | |||||||||||||||
|
Machinery — 1.1% |
||||||||||||||||
|
Kone oyj, Class B Shares |
37,839 | 1,468,302 | ||||||||||||||
|
Professional Services — 0.3% |
||||||||||||||||
|
Adecco Group AG, Registered Shares |
16,522 | 460,115 | ||||||||||||||
|
Road & Rail — 1.3% |
||||||||||||||||
|
Aurizon Holdings Ltd. |
841,562 | 1,866,734 | ||||||||||||||
|
Trading Companies & Distributors — 2.6% |
||||||||||||||||
|
Mitsubishi Corp. |
131,000 | 3,591,199 | ||||||||||||||
|
Nippon Steel Trading Corp. |
2,900 | 100,777 | ||||||||||||||
|
Total Trading Companies & Distributors |
3,691,976 | |||||||||||||||
|
Total Industrials |
14,558,764 | |||||||||||||||
| Information Technology — 0.1% | ||||||||||||||||
|
Communications Equipment — 0.1% |
||||||||||||||||
|
VTech Holdings Ltd. |
13,661 | 78,400 | ||||||||||||||
| Materials — 10.3% | ||||||||||||||||
|
Chemicals — 0.0%†† |
||||||||||||||||
|
Kemira oyj |
8,475 | 94,234 | ||||||||||||||
|
Construction Materials — 3.1% |
||||||||||||||||
|
CSR Ltd. |
282,259 | 807,579 | ||||||||||||||
|
Holcim AG |
85,668 | 3,566,853 | ||||||||||||||
|
Total Construction Materials |
4,374,432 | |||||||||||||||
|
Metals & Mining — 7.2% |
||||||||||||||||
|
BHP Group Ltd. |
130,550 | 3,233,259 | ||||||||||||||
|
Rio Tinto Ltd. |
57,034 | 3,424,613 | ||||||||||||||
|
Rio Tinto PLC |
64,707 | 3,536,499 | ||||||||||||||
|
Total Metals & Mining |
10,194,371 | |||||||||||||||
|
Total Materials |
14,663,037 | |||||||||||||||
| Real Estate — 6.2% | ||||||||||||||||
|
Equity Real Estate Investment Trusts (REITs) — 3.5% |
||||||||||||||||
|
AEON REIT Investment Corp. |
481 | 518,401 | ||||||||||||||
|
CapLand Ascendas REIT |
606,200 | 1,136,440 | ||||||||||||||
See Notes to Financial Statements.
| Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report | 7 |
Schedules of investments (unaudited) (cont’d)
September 30, 2022
Franklin International Low Volatility High Dividend Index ETF
(Percentages shown based on Fund net assets)
| Security | Shares | Value | ||||||||||||||
|
Equity Real Estate Investment Trusts (REITs) — continued |
||||||||||||||||
|
Charter Hall Long Wale REIT |
84,481 | $ 215,639 | ||||||||||||||
|
Cofinimmo SA |
1,983 | 164,736 | ||||||||||||||
|
Cromwell Property Group |
359,075 | 154,681 | ||||||||||||||
|
CT Real Estate Investment Trust |
24,052 | 262,742 | ||||||||||||||
|
Frontier Real Estate Investment Corp. |
98 | 360,869 | ||||||||||||||
|
Mapletree Industrial Trust |
343,000 | 568,918 | ||||||||||||||
|
Sasseur Real Estate Investment Trust |
177,200 | 87,063 | ||||||||||||||
|
SmartCentres Real Estate Investment Trust |
52,121 | 984,346 | ||||||||||||||
|
Waypoint REIT Ltd. |
299,172 | 455,876 | ||||||||||||||
|
Total Equity Real Estate Investment Trusts (REITs) |
4,909,711 | |||||||||||||||
|
Real Estate Management & Development — 2.7% |
||||||||||||||||
|
Allreal Holding AG, Registered Shares |
1,093 | 153,248 | ||||||||||||||
|
Cibus Nordic Real Estate AB |
7,227 | 94,428 | ||||||||||||||
|
Daiwa House Industry Co. Ltd. |
35,500 | 721,920 | ||||||||||||||
|
Henderson Land Development Co. Ltd. |
110,637 | 310,069 | ||||||||||||||
|
Kerry Properties Ltd. |
46,694 | 88,630 | ||||||||||||||
|
LEG Immobilien SE |
8,093 | 486,481 | ||||||||||||||
|
Samhallsbyggnadsbolaget i Norden AB, Class D Shares |
42,628 | 64,264 | ||||||||||||||
|
Sun Hung Kai Properties Ltd. |
171,902 | 1,901,895 | ||||||||||||||
|
Total Real Estate Management & Development |
3,820,935 | |||||||||||||||
|
Total Real Estate |
8,730,646 | |||||||||||||||
| Utilities — 11.5% | ||||||||||||||||
|
Electric Utilities — 4.8% |
||||||||||||||||
|
CK Infrastructure Holdings Ltd. |
86,932 | 443,525 | ||||||||||||||
|
Iberdrola SA |
364,682 | 3,423,273 | ||||||||||||||
|
Power Assets Holdings Ltd. |
141,688 | 711,157 | ||||||||||||||
|
Red Electrica Corp. SA |
70,765 | 1,089,095 | ||||||||||||||
|
Terna Rete Elettrica Nazionale SpA |
188,940 | 1,156,844 | ||||||||||||||
|
Total Electric Utilities |
6,823,894 | |||||||||||||||
|
Gas Utilities — 2.2% |
||||||||||||||||
|
Italgas SpA |
67,487 | 315,759 | ||||||||||||||
|
Naturgy Energy Group SA |
35,516 | 825,644 | ||||||||||||||
|
Rubis SCA |
15,503 | 324,861 | ||||||||||||||
|
Snam SpA |
394,079 | 1,600,603 | ||||||||||||||
|
Total Gas Utilities |
3,066,867 | |||||||||||||||
|
Multi-Utilities — 4.5% |
||||||||||||||||
|
A2A SpA |
558,831 | 547,349 | ||||||||||||||
|
ACEA SpA |
6,557 | 71,559 | ||||||||||||||
|
E.ON SE |
328,213 | 2,538,832 | ||||||||||||||
|
Engie SA |
262,718 | 3,047,796 | ||||||||||||||
|
National Grid PLC |
22,385 | 232,642 | ||||||||||||||
|
Total Multi-Utilities |
6,438,178 | |||||||||||||||
|
Total Utilities |
16,328,939 | |||||||||||||||
|
Total Common Stocks (Cost — $161,322,135) |
136,377,975 | |||||||||||||||
See Notes to Financial Statements.
| 8 | Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report |
Franklin International Low Volatility High Dividend Index ETF
(Percentages shown based on Fund net assets)
|
Security |
Rate | Shares | Value | |||||||||||||
| Preferred Stocks — 0.6% | ||||||||||||||||
| Consumer Discretionary — 0.6% | ||||||||||||||||
|
Automobiles — 0.6% |
||||||||||||||||
|
Bayerische Motoren Werke AG (Cost — $924,648) |
8.700% | 13,283 | $ | 870,549 | (a) | |||||||||||
|
Total Investments before Short-Term Investments (Cost — $162,246,783) |
|
137,248,524 | ||||||||||||||
| Short-Term Investments — 0.5% | ||||||||||||||||
|
Invesco Treasury Portfolio, Institutional Class (Cost — $711,244) |
2.846% | 711,244 | 711,244 | |||||||||||||
|
Total Investments — 97.4% (Cost — $162,958,027) |
137,959,768 | |||||||||||||||
|
Other Assets in Excess of Liabilities — 2.6% |
3,674,051 | |||||||||||||||
|
Total Net Assets — 100.0% |
$ | 141,633,819 | ||||||||||||||
| †† |
Represents less than 0.1%. |
| (a) |
The rate shown represents the yield as of September 30, 2022. |
|
Abbreviation(s) used in this schedule: | ||||
| REIT | — | Real Estate Investment Trust | ||
At September 30, 2022, the Fund had the following open futures contracts:
|
Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Depreciation |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| MSCI EAFE Index | 6 | 12/22 | $ | 555,232 | $ | 498,180 | $ | (57,052) | ||||||||||||
At September 30, 2022, the Fund had the following open forward foreign currency contracts:
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 153,725 | CHF | 150,735 | Bank of New York | 10/11/22 | $ | 425 | |||||||||||||
| USD | 157,768 | CHF | 151,379 | Bank of New York | 10/11/22 | 3,813 | ||||||||||||||
| USD | 158,618 | CHF | 152,787 | Bank of New York | 10/11/22 | 3,230 | ||||||||||||||
| USD | 307,519 | CHF | 301,506 | Bank of New York | 10/11/22 | 882 | ||||||||||||||
| USD | 307,521 | CHF | 304,396 | Bank of New York | 10/11/22 | (2,055) | ||||||||||||||
| USD | 312,126 | CHF | 300,704 | Bank of New York | 10/11/22 | 6,305 | ||||||||||||||
| USD | 321,415 | CHF | 305,182 | Bank of New York | 10/11/22 | 11,039 | ||||||||||||||
| USD | 13,417,147 | CHF | 13,031,994 | Bank of New York | 10/11/22 | 163,359 | ||||||||||||||
| USD | 674 | DKK | 5,200 | Bank of New York | 10/11/22 | (12) | ||||||||||||||
| USD | 706 | DKK | 5,222 | Bank of New York | 10/11/22 | 18 | ||||||||||||||
| USD | 710 | DKK | 5,270 | Bank of New York | 10/11/22 | 16 | ||||||||||||||
| USD | 1,360 | DKK | 10,407 | Bank of New York | 10/11/22 | (13) | ||||||||||||||
| USD | 1,364 | DKK | 10,500 | Bank of New York | 10/11/22 | (21) | ||||||||||||||
| USD | 1,396 | DKK | 10,373 | Bank of New York | 10/11/22 | 28 | ||||||||||||||
| USD | 1,437 | DKK | 10,527 | Bank of New York | 10/11/22 | 48 | ||||||||||||||
| USD | 60,703 | DKK | 452,546 | Bank of New York | 10/11/22 | 1,031 | ||||||||||||||
| USD | 423,157 | EUR | 439,068 | Bank of New York | 10/11/22 | (7,312) | ||||||||||||||
| USD | 443,574 | EUR | 440,899 | Bank of New York | 10/11/22 | 11,310 | ||||||||||||||
| USD | 446,195 | EUR | 445,000 | Bank of New York | 10/11/22 | 9,910 | ||||||||||||||
| USD | 853,602 | EUR | 878,604 | Bank of New York | 10/11/22 | (7,794) | ||||||||||||||
| USD | 856,221 | EUR | 886,570 | Bank of New York | 10/11/22 | (12,985) | ||||||||||||||
| USD | 876,553 | EUR | 875,817 | Bank of New York | 10/11/22 | 17,889 | ||||||||||||||
| USD | 902,069 | EUR | 888,865 | Bank of New York | 10/11/22 | 30,613 | ||||||||||||||
| USD | 38,114,795 | EUR | 38,210,129 | Bank of New York | 10/11/22 | 653,034 | ||||||||||||||
| USD | 208,424 | GBP | 193,932 | Bank of New York | 10/11/22 | (8,116) | ||||||||||||||
See Notes to Financial Statements.
| Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report | 9 |
Schedules of investments (unaudited) (cont’d)
September 30, 2022
Franklin International Low Volatility High Dividend Index ETF
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 225,197 | GBP | 197,330 | Bank of New York | 10/11/22 | $ | 4,863 | |||||||||||||
| USD | 226,569 | GBP | 195,511 | Bank of New York | 10/11/22 | 8,267 | ||||||||||||||
| USD | 424,116 | GBP | 393,138 | Bank of New York | 10/11/22 | (14,851) | ||||||||||||||
| USD | 424,391 | GBP | 389,150 | Bank of New York | 10/11/22 | (10,123) | ||||||||||||||
| USD | 443,466 | GBP | 388,370 | Bank of New York | 10/11/22 | 9,823 | ||||||||||||||
| USD | 461,914 | GBP | 394,397 | Bank of New York | 10/11/22 | 21,541 | ||||||||||||||
| USD | 19,477,930 | GBP | 16,945,420 | Bank of New York | 10/11/22 | 557,112 | ||||||||||||||
| USD | 82,221 | HKD | 645,309 | Bank of New York | 10/11/22 | (7) | ||||||||||||||
| USD | 82,610 | HKD | 647,993 | Bank of New York | 10/11/22 | 39 | ||||||||||||||
| USD | 83,350 | HKD | 654,020 | Bank of New York | 10/11/22 | 12 | ||||||||||||||
| USD | 164,037 | HKD | 1,287,193 | Bank of New York | 10/11/22 | 16 | ||||||||||||||
| USD | 164,431 | HKD | 1,290,363 | Bank of New York | 10/11/22 | 7 | ||||||||||||||
| USD | 166,035 | HKD | 1,302,998 | Bank of New York | 10/11/22 | 0 | (a) | |||||||||||||
| USD | 166,561 | HKD | 1,306,482 | Bank of New York | 10/11/22 | 83 | ||||||||||||||
| USD | 7,167,005 | HKD | 56,216,227 | Bank of New York | 10/11/22 | 3,647 | ||||||||||||||
| USD | 233,895 | JPY | 33,784,730 | Bank of New York | 10/11/22 | 241 | ||||||||||||||
| USD | 238,757 | JPY | 33,928,026 | Bank of New York | 10/11/22 | 4,111 | ||||||||||||||
| USD | 239,443 | JPY | 34,243,598 | Bank of New York | 10/11/22 | 2,615 | ||||||||||||||
| USD | 469,743 | JPY | 67,395,721 | Bank of New York | 10/11/22 | 3,635 | ||||||||||||||
| USD | 472,428 | JPY | 67,604,249 | Bank of New York | 10/11/22 | 4,878 | ||||||||||||||
| USD | 473,172 | JPY | 68,223,224 | Bank of New York | 10/11/22 | 1,341 | ||||||||||||||
| USD | 481,639 | JPY | 68,411,336 | Bank of New York | 10/11/22 | 8,507 | ||||||||||||||
| USD | 20,460,544 | JPY | 2,938,453,262 | Bank of New York | 10/11/22 | 138,254 | ||||||||||||||
| USD | 2,648 | NOK | 28,606 | Bank of New York | 10/11/22 | 23 | ||||||||||||||
| USD | 2,823 | NOK | 28,954 | Bank of New York | 10/11/22 | 166 | ||||||||||||||
| USD | 2,892 | NOK | 28,687 | Bank of New York | 10/11/22 | 260 | ||||||||||||||
| USD | 5,379 | NOK | 57,685 | Bank of New York | 10/11/22 | 86 | ||||||||||||||
| USD | 5,388 | NOK | 57,156 | Bank of New York | 10/11/22 | 142 | ||||||||||||||
| USD | 5,528 | NOK | 56,986 | Bank of New York | 10/11/22 | 298 | ||||||||||||||
| USD | 5,883 | NOK | 57,831 | Bank of New York | 10/11/22 | 576 | ||||||||||||||
| USD | 247,997 | NOK | 2,499,685 | Bank of New York | 10/11/22 | 18,592 | ||||||||||||||
| USD | 12,142 | SEK | 137,303 | Bank of New York | 10/11/22 | (237) | ||||||||||||||
| USD | 12,912 | SEK | 139,394 | Bank of New York | 10/11/22 | 345 | ||||||||||||||
| USD | 13,032 | SEK | 138,109 | Bank of New York | 10/11/22 | 581 | ||||||||||||||
| USD | 24,454 | SEK | 275,211 | Bank of New York | 10/11/22 | (358) | ||||||||||||||
| USD | 24,634 | SEK | 277,713 | Bank of New York | 10/11/22 | (403) | ||||||||||||||
| USD | 25,267 | SEK | 274,344 | Bank of New York | 10/11/22 | 533 | ||||||||||||||
| USD | 26,607 | SEK | 278,493 | Bank of New York | 10/11/22 | 1,499 | ||||||||||||||
| USD | 1,116,487 | SEK | 11,984,393 | Bank of New York | 10/11/22 | 36,025 | ||||||||||||||
| USD | 121,416 | AUD | 187,466 | UBS Securities LLC | 10/11/22 | 868 | ||||||||||||||
| USD | 127,278 | AUD | 189,851 | UBS Securities LLC | 10/11/22 | 5,197 | ||||||||||||||
| USD | 128,710 | AUD | 188,102 | UBS Securities LLC | 10/11/22 | 7,754 | ||||||||||||||
| USD | 245,009 | AUD | 374,686 | UBS Securities LLC | 10/11/22 | 4,072 | ||||||||||||||
| USD | 245,591 | AUD | 378,239 | UBS Securities LLC | 10/11/22 | 2,369 | ||||||||||||||
| USD | 250,344 | AUD | 373,652 | UBS Securities LLC | 10/11/22 | 10,072 | ||||||||||||||
| USD | 261,384 | AUD | 379,421 | UBS Securities LLC | 10/11/22 | 17,402 | ||||||||||||||
| USD | 10,999,686 | AUD | 16,317,660 | UBS Securities LLC | 10/11/22 | 506,837 | ||||||||||||||
| USD | 110,919 | CAD | 151,804 | UBS Securities LLC | 10/11/22 | 443 | ||||||||||||||
| USD | 115,815 | CAD | 153,855 | UBS Securities LLC | 10/11/22 | 3,847 | ||||||||||||||
| USD | 116,824 | CAD | 152,437 | UBS Securities LLC | 10/11/22 | 5,888 | ||||||||||||||
| USD | 223,527 | CAD | 303,687 | UBS Securities LLC | 10/11/22 | 2,519 | ||||||||||||||
See Notes to Financial Statements.
| 10 | Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report |
Franklin International Low Volatility High Dividend Index ETF
|
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 223,985 | CAD | 306,524 | UBS Securities LLC | 10/11/22 | $ | 912 | |||||||||||||
| USD | 226,968 | CAD | 302,807 | UBS Securities LLC | 10/11/22 | 6,600 | ||||||||||||||
| USD | 236,819 | CAD | 307,443 | UBS Securities LLC | 10/11/22 | 13,078 | ||||||||||||||
| USD | 10,043,742 | CAD | 13,190,688 | UBS Securities LLC | 10/11/22 | 444,224 | ||||||||||||||
| USD | 113,491 | SGD | 163,349 | UBS Securities LLC | 10/11/22 | (361) | ||||||||||||||
| USD | 117,229 | SGD | 164,030 | UBS Securities LLC | 10/11/22 | 2,902 | ||||||||||||||
| USD | 117,564 | SGD | 165,556 | UBS Securities LLC | 10/11/22 | 2,174 | ||||||||||||||
| USD | 228,691 | SGD | 326,729 | UBS Securities LLC | 10/11/22 | 966 | ||||||||||||||
| USD | 229,951 | SGD | 329,836 | UBS Securities LLC | 10/11/22 | 61 | ||||||||||||||
| USD | 231,092 | SGD | 325,835 | UBS Securities LLC | 10/11/22 | 3,990 | ||||||||||||||
| USD | 237,065 | SGD | 330,722 | UBS Securities LLC | 10/11/22 | 6,557 | ||||||||||||||
| USD | 10,114,374 | SGD | 14,224,471 | UBS Securities LLC | 10/11/22 | 200,133 | ||||||||||||||
| Total |
|
$ | 2,925,285 | |||||||||||||||||
| (a) |
Amount represents less than $1. |
|
Abbreviation(s) used in this table: | ||||
| AUD | — | Australian Dollar | ||
| CAD | — | Canadian Dollar | ||
| CHF | — | Swiss Franc | ||
| DKK | — | Danish Krone | ||
| EUR | — | Euro | ||
| GBP | — | British Pound | ||
| HKD | — | Hong Kong Dollar | ||
| JPY | — | Japanese Yen | ||
| NOK | — | Norwegian Krone | ||
| SEK | — | Swedish Krona | ||
| SGD | — | Singapore Dollar | ||
| USD | — | United States Dollar | ||
| Summary of Investments by Country* | ||||
| Japan | 16.2 | % | ||
| United Kingdom | 13.0 | |||
| Australia | 11.2 | |||
| Switzerland | 10.1 | |||
| France | 8.4 | |||
| Singapore | 7.9 | |||
| Canada | 7.4 | |||
| Germany | 7.2 | |||
| Spain | 4.7 | |||
| Italy | 4.7 | |||
| Hong Kong | 2.9 | |||
| China | 1.4 | |||
| Netherlands | 1.2 | |||
| Finland | 1.1 | |||
| Sweden | 1.0 | |||
| Belgium | 0.7 | |||
| Norway | 0.2 | |||
| Austria | 0.1 | |||
| Denmark | 0.1 | |||
| Short-Term Investments | 0.5 | |||
| 100.0 | % | |||
| * |
As a percentage of total investments. Please note that the Fund holdings are as of September 30, 2022 and are subject to change. |
See Notes to Financial Statements.
| Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report | 11 |
Schedules of investments (unaudited) (cont’d)
September 30, 2022
Franklin U.S. Low Volatility High Dividend Index ETF
(Percentages shown based on Fund net assets)
| Security | Shares | Value | ||||||||||||||
| Common Stocks — 99.1% | ||||||||||||||||
| Communication Services — 6.3% | ||||||||||||||||
|
Diversified Telecommunication Services — 4.2% |
||||||||||||||||
|
AT&T Inc. |
970,732 | $14,891,029 | ||||||||||||||
|
Verizon Communications Inc. |
405,143 | 15,383,280 | ||||||||||||||
|
Total Diversified Telecommunication Services |
30,274,309 | |||||||||||||||
|
Media — 2.1% |
||||||||||||||||
|
Interpublic Group of Cos. Inc. |
282,485 | 7,231,616 | ||||||||||||||
|
Omnicom Group Inc. |
133,080 | 8,396,017 | ||||||||||||||
|
Total Media |
15,627,633 | |||||||||||||||
|
Total Communication Services |
45,901,942 | |||||||||||||||
| Consumer Staples — 22.4% | ||||||||||||||||
|
Beverages — 5.3% |
||||||||||||||||
|
Coca-Cola Co. |
325,575 | 18,238,711 | ||||||||||||||
|
PepsiCo Inc. |
122,365 | 19,977,310 | ||||||||||||||
|
Total Beverages |
38,216,021 | |||||||||||||||
|
Food Products — 9.5% |
||||||||||||||||
|
Campbell Soup Co. |
167,823 | 7,907,820 | ||||||||||||||
|
Conagra Brands Inc. |
350,720 | 11,443,994 | ||||||||||||||
|
Flowers Foods Inc. |
88,501 | 2,185,090 | ||||||||||||||
|
General Mills Inc. |
276,050 | 21,148,190 | ||||||||||||||
|
JM Smucker Co. |
74,279 | 10,206,677 | ||||||||||||||
|
Kellogg Co. |
229,492 | 15,986,413 | ||||||||||||||
|
Total Food Products |
68,878,184 | |||||||||||||||
|
Household Products — 5.0% |
||||||||||||||||
|
Colgate-Palmolive Co. |
260,358 | 18,290,149 | ||||||||||||||
|
Kimberly-Clark Corp. |
155,268 | 17,473,861 | ||||||||||||||
|
Reynolds Consumer Products Inc. |
33,606 | 874,092 | ||||||||||||||
|
Total Household Products |
36,638,102 | |||||||||||||||
|
Tobacco — 2.6% |
||||||||||||||||
|
Philip Morris International Inc. |
221,328 | 18,372,438 | ||||||||||||||
|
Universal Corp. |
11,007 | 506,762 | ||||||||||||||
|
Total Tobacco |
18,879,200 | |||||||||||||||
|
Total Consumer Staples |
162,611,507 | |||||||||||||||
| Energy — 0.3% | ||||||||||||||||
|
Oil, Gas & Consumable Fuels — 0.3% |
||||||||||||||||
|
DT Midstream Inc. |
43,708 | 2,268,008 | ||||||||||||||
| Financials — 8.2% | ||||||||||||||||
|
Banks — 5.7% |
||||||||||||||||
|
Bank of Hawaii Corp. |
17,021 | 1,295,639 | ||||||||||||||
|
Citigroup Inc. |
404,395 | 16,851,140 | ||||||||||||||
|
First Financial Bancorp |
27,503 | 579,763 | ||||||||||||||
|
First Hawaiian Inc. |
47,227 | 1,163,201 | ||||||||||||||
|
Northwest Bancshares Inc. |
80,677 | 1,089,946 | ||||||||||||||
|
Old National Bancorp |
329,687 | 5,429,945 | ||||||||||||||
|
United Bankshares Inc. |
56,240 | 2,010,580 | ||||||||||||||
See Notes to Financial Statements.
| 12 | Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report |
Franklin U.S. Low Volatility High Dividend Index ETF
(Percentages shown based on Fund net assets)
| Security | Shares | Value | ||||||||||||||
|
Banks — continued |
||||||||||||||||
|
US Bancorp |
297,860 | $12,009,715 | ||||||||||||||
|
WesBanco Inc. |
18,979 | 633,329 | ||||||||||||||
|
Total Banks |
41,063,258 | |||||||||||||||
|
Capital Markets — 0.1% |
||||||||||||||||
|
Cohen & Steers Inc. |
7,592 | 475,487 | ||||||||||||||
|
Insurance — 1.6% |
||||||||||||||||
|
CNA Financial Corp. |
13,331 | 491,914 | ||||||||||||||
|
Fidelity National Financial Inc. |
210,155 | 7,607,611 | ||||||||||||||
|
First American Financial Corp. |
73,101 | 3,369,956 | ||||||||||||||
|
Safety Insurance Group Inc. |
5,513 | 449,640 | ||||||||||||||
|
Total Insurance |
11,919,121 | |||||||||||||||
|
Thrifts & Mortgage Finance — 0.8% |
||||||||||||||||
|
New York Community Bancorp Inc. |
609,697 | 5,200,715 | ||||||||||||||
|
Provident Financial Services Inc. |
30,075 | 586,463 | ||||||||||||||
|
Total Thrifts & Mortgage Finance |
5,787,178 | |||||||||||||||
|
Total Financials |
59,245,044 | |||||||||||||||
| Health Care — 8.1% | ||||||||||||||||
|
Biotechnology — 3.2% |
||||||||||||||||
|
AbbVie Inc. |
16,631 | 2,232,047 | ||||||||||||||
|
Gilead Sciences Inc. |
337,647 | 20,829,443 | ||||||||||||||
|
Total Biotechnology |
23,061,490 | |||||||||||||||
|
Pharmaceuticals — 4.9% |
||||||||||||||||
|
Johnson & Johnson |
116,770 | 19,075,547 | ||||||||||||||
|
Pfizer Inc. |
387,997 | 16,978,749 | ||||||||||||||
|
Total Pharmaceuticals |
36,054,296 | |||||||||||||||
|
Total Health Care |
59,115,786 | |||||||||||||||
| Industrials — 10.2% | ||||||||||||||||
|
Aerospace & Defense — 2.5% |
||||||||||||||||
|
Lockheed Martin Corp. |
47,290 | 18,267,654 | ||||||||||||||
|
Industrial Conglomerates — 2.3% |
||||||||||||||||
|
3M Co. |
149,470 | 16,516,435 | ||||||||||||||
|
Machinery — 3.5% |
||||||||||||||||
|
Cummins Inc. |
99,864 | 20,323,323 | ||||||||||||||
|
PACCAR Inc. |
61,783 | 5,170,619 | ||||||||||||||
|
Total Machinery |
25,493,942 | |||||||||||||||
|
Trading Companies & Distributors — 1.9% |
||||||||||||||||
|
Fastenal Co. |
243,479 | 11,209,773 | ||||||||||||||
|
MSC Industrial Direct Co. Inc., Class A Shares |
33,892 | 2,467,677 | ||||||||||||||
|
Total Trading Companies & Distributors |
13,677,450 | |||||||||||||||
|
Total Industrials |
73,955,481 | |||||||||||||||
| Information Technology — 3.6% | ||||||||||||||||
|
Communications Equipment — 2.2% |
||||||||||||||||
|
Cisco Systems Inc. |
405,035 | 16,201,400 | ||||||||||||||
|
Technology Hardware, Storage & Peripherals — 1.4% |
||||||||||||||||
|
Seagate Technology Holdings PLC |
190,424 | 10,136,269 | ||||||||||||||
|
Total Information Technology |
26,337,669 | |||||||||||||||
See Notes to Financial Statements.
| Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report | 13 |
Schedules of investments (unaudited) (cont’d)
September 30, 2022
Franklin U.S. Low Volatility High Dividend Index ETF
(Percentages shown based on Fund net assets)
| Security | Shares | Value | ||||||||||||||
| Materials — 4.5% | ||||||||||||||||
|
Chemicals — 2.7% |
||||||||||||||||
|
Air Products & Chemicals Inc. |
86,304 | $20,085,530 | ||||||||||||||
|
Containers & Packaging — 1.8% |
||||||||||||||||
|
International Paper Co. |
248,707 | 7,884,012 | ||||||||||||||
|
Packaging Corp. of America |
44,938 | 5,046,088 | ||||||||||||||
|
Total Containers & Packaging |
12,930,100 | |||||||||||||||
|
Total Materials |
33,015,630 | |||||||||||||||
| Real Estate — 11.6% | ||||||||||||||||
|
Equity Real Estate Investment Trusts (REITs) — 11.6% |
||||||||||||||||
|
Agree Realty Corp. |
58,303 | 3,940,117 | ||||||||||||||
|
Armada Hoffler Properties Inc. |
42,132 | 437,330 | ||||||||||||||
|
Broadstone Net Lease Inc. |
46,793 | 726,695 | ||||||||||||||
|
CareTrust REIT Inc. |
68,360 | 1,238,000 | ||||||||||||||
|
Corporate Office Properties Trust |
64,117 | 1,489,438 | ||||||||||||||
|
CubeSmart |
130,081 | 5,211,045 | ||||||||||||||
|
Easterly Government Properties Inc. |
57,023 | 899,253 | ||||||||||||||
|
Four Corners Property Trust Inc. |
39,834 | 963,584 | ||||||||||||||
|
Gaming and Leisure Properties Inc. |
110,620 | 4,893,829 | ||||||||||||||
|
Getty Realty Corp. |
22,635 | 608,655 | ||||||||||||||
|
Healthcare Realty Trust Inc. |
192,005 | 4,003,304 | ||||||||||||||
|
Highwoods Properties Inc. |
61,988 | 1,671,196 | ||||||||||||||
|
Industrial Logistics Properties Trust |
82,832 | 455,576 | ||||||||||||||
|
Kimco Realty Corp. |
326,601 | 6,012,724 | ||||||||||||||
|
LXP Industrial Trust |
111,287 | 1,019,389 | ||||||||||||||
|
Medical Properties Trust Inc. |
551,422 | 6,539,865 | ||||||||||||||
|
National Health Investors Inc. |
21,622 | 1,222,292 | ||||||||||||||
|
National Retail Properties Inc. |
75,828 | 3,022,504 | ||||||||||||||
|
Physicians Realty Trust |
211,140 | 3,175,546 | ||||||||||||||
|
Spirit Realty Capital Inc. |
67,141 | 2,427,818 | ||||||||||||||
|
STAG Industrial Inc. |
115,953 | 3,296,544 | ||||||||||||||
|
STORE Capital Corp. |
220,392 | 6,904,881 | ||||||||||||||
|
VICI Properties Inc. |
602,456 | 17,983,312 | ||||||||||||||
|
WP Carey Inc. |
84,785 | 5,917,993 | ||||||||||||||
|
Total Real Estate |
84,060,890 | |||||||||||||||
| Utilities — 23.9% | ||||||||||||||||
|
Electric Utilities — 15.3% |
||||||||||||||||
|
ALLETE Inc. |
26,653 | 1,333,983 | ||||||||||||||
|
Alliant Energy Corp. |
141,994 | 7,524,262 | ||||||||||||||
|
American Electric Power Co. Inc. |
214,434 | 18,537,819 | ||||||||||||||
|
Avangrid Inc. |
63,517 | 2,648,659 | ||||||||||||||
|
Duke Energy Corp. |
193,052 | 17,957,697 | ||||||||||||||
|
Evergy Inc. |
107,775 | 6,401,835 | ||||||||||||||
|
Eversource Energy |
148,984 | 11,614,793 | ||||||||||||||
|
Exelon Corp. |
461,242 | 17,278,125 | ||||||||||||||
|
Hawaiian Electric Industries Inc. |
28,802 | 998,277 | ||||||||||||||
|
OGE Energy Corp. |
97,290 | 3,547,193 | ||||||||||||||
See Notes to Financial Statements.
| 14 | Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report |
Franklin U.S. Low Volatility High Dividend Index ETF
(Percentages shown based on Fund net assets)
| Security | Shares | Value | ||||||||||||||
|
Electric Utilities — continued |
||||||||||||||||
|
Pinnacle West Capital Corp. |
60,176 | $ | 3,881,954 | |||||||||||||
|
Portland General Electric Co. |
87,630 | 3,808,400 | ||||||||||||||
|
Xcel Energy Inc. |
241,920 | 15,482,880 | ||||||||||||||
|
Total Electric Utilities |
111,015,877 | |||||||||||||||
|
Gas Utilities — 1.1% |
||||||||||||||||
|
Northwest Natural Holding Co. |
20,971 | 909,722 | ||||||||||||||
|
Spire Inc. |
28,394 | 1,769,798 | ||||||||||||||
|
UGI Corp. |
156,468 | 5,058,610 | ||||||||||||||
|
Total Gas Utilities |
7,738,130 | |||||||||||||||
|
Multi-Utilities — 7.5% |
||||||||||||||||
|
Avista Corp. |
34,726 | 1,286,598 | ||||||||||||||
|
Black Hills Corp. |
25,521 | 1,728,537 | ||||||||||||||
|
Consolidated Edison Inc. |
144,673 | 12,407,157 | ||||||||||||||
|
Dominion Energy Inc. |
262,383 | 18,133,289 | ||||||||||||||
|
DTE Energy Co. |
79,256 | 9,118,403 | ||||||||||||||
|
NorthWestern Corp. |
30,743 | 1,515,015 | ||||||||||||||
|
WEC Energy Group Inc. |
118,873 | 10,630,813 | ||||||||||||||
|
Total Multi-Utilities |
54,819,812 | |||||||||||||||
|
Total Utilities |
173,573,819 | |||||||||||||||
|
Total Investments before Short-Term Investments (Cost — $792,603,422) |
720,085,776 | |||||||||||||||
| Rate | ||||||||||||||||
| Short-Term Investments — 0.6% | ||||||||||||||||
|
Invesco Treasury Portfolio, Institutional Class (Cost — $4,507,018) |
2.846 | % | 4,507,018 | 4,507,018 | ||||||||||||
|
Total Investments — 99.7% (Cost — $797,110,440) |
724,592,794 | |||||||||||||||
|
Other Assets in Excess of Liabilities — 0.3% |
2,255,238 | |||||||||||||||
|
Total Net Assets — 100.0% |
$ | 726,848,032 | ||||||||||||||
|
Abbreviation(s) used in this schedule: | ||||
| REIT | — | Real Estate Investment Trust | ||
At September 30, 2022, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Depreciation |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| E-mini S&P 500 Index | 20 | 12/22 | $ | 3,890,266 | $ | 3,601,500 | $ | (288,766) | ||||||||||||
See Notes to Financial Statements.
| Franklin Low Volatility High Dividend Index ETFs 2022 Semi-Annual Report | 15 |
Statements of assets and liabilities (unaudited)
September 30, 2022
|
Franklin International Low Volatility High Dividend Index ETF |
Franklin U.S. Low Volatility High Dividend Index ETF |
|||||||
| Assets: | ||||||||
|
Investments, at value (Cost — $162,958,027 and $797,110,440, respectively) |
$ | 137,959,768 | $ | 724,592,794 | ||||
|
Foreign currency, at value (Cost — $95,467 and $0, respectively) |
95,979 | — | ||||||
|
Unrealized appreciation on forward foreign currency contracts |
2,989,933 | — | ||||||
|
Dividends receivable |
678,798 | 2,269,807 | ||||||
|
Receivable for securities sold |
94,379 | — | ||||||
|
Deposits with brokers for open futures contracts |
80,002 | 435,945 | ||||||
|
Receivable for Fund shares sold |
— | 1,356 | ||||||
|
Total Assets |
141,898,859 | 727,299,902 | ||||||
| Liabilities: | ||||||||
|
Payable for securities purchased |
94,715 | — | ||||||
|
Unrealized depreciation on forward foreign currency contracts |
64,648 | — | ||||||
|
Payable to brokers — net variation margin on open futures contracts |
57,052 | 288,766 | ||||||
|
Investment management fee payable |
44,804 | 163,104 | ||||||
|
Payable for Fund shares repurchased |
3,821 | |||||||