LOGO

 

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


What’s inside      
Letter from the president     III  
Performance review     IV  
Funds at a glance     1  
Funds expenses     3  
Schedules of investments     5  
Statements of assets and liabilities     16  
Statements of operations     17  
Statements of changes in net assets     18  
Financial highlights     20  
Notes to financial statements     22  
Board approval of management and subadvisory agreements     32  
Statement regarding liquidity risk management program     36  

 

II    Franklin Low Volatility High Dividend Index ETFs


Letter from the president

 

LOGO

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,

 

LOGO

 

Patrick O’Connor
President and Chief Executive Officer - Investment Management President
October 31, 2022

 

Franklin Low Volatility High Dividend Index ETFs   III


Performance review

 

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,

 

LOGO

 

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


Funds at a glance (unaudited)

 

Franklin International Low Volatility High Dividend Index ETF Investment Breakdown (%) as a percent of total investments

 

LOGO

 

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

 

LOGO

 

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


Funds expenses (unaudited)

 

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