EMDM vs. LITE
EMDM (First Trust Bloomberg Emerging Market Democracies ETF) is Emerging Markets Diversified fund tracking the Bloomberg Emerging Market Democracies Index - Benchmark TR Net, while LITE (Lumentum Holdings Inc.) is a stock. Over the past 3 years, EMDM returned 30.34%/yr vs 158.28%/yr for LITE. At a 0.42 correlation, their price movements are largely independent.
Performance
EMDM vs. LITE - Performance Comparison
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Returns By Period
In the year-to-date period, EMDM achieves a 36.28% return, which is significantly lower than LITE's 150.02% return.
EMDM
- 1D
- 0.70%
- 1M
- 6.11%
- YTD
- 36.28%
- 6M
- 42.03%
- 1Y
- 83.08%
- 3Y*
- 30.34%
- 5Y*
- —
- 10Y*
- —
LITE
- 1D
- 3.59%
- 1M
- -5.06%
- YTD
- 150.02%
- 6M
- 184.13%
- 1Y
- 1,017.52%
- 3Y*
- 158.28%
- 5Y*
- 62.72%
- 10Y*
- 43.74%
EMDM vs. LITE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
EMDM First Trust Bloomberg Emerging Market Democracies ETF | 36.28% | 59.68% | -4.93% | 14.75% |
LITE Lumentum Holdings Inc. | 150.02% | 339.06% | 60.15% | -1.43% |
Correlation
The correlation between EMDM and LITE is 0.32, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.32 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.42 |
Correlation (All Time) Calculated using the full available price history since Mar 3, 2023 | 0.42 |
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Return for Risk
EMDM vs. LITE — Risk / Return Rank
EMDM
LITE
EMDM vs. LITE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Bloomberg Emerging Market Democracies ETF (EMDM) and Lumentum Holdings Inc. (LITE). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EMDM | LITE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -8.22 | ||
| Sortino ratioReturn per unit of downside risk | -1.65 | ||
| Omega ratioGain probability vs. loss probability | 1.55 | 1.71 | -0.16 |
| Calmar ratioReturn relative to maximum drawdown | 5.18 | 34.43 | -29.25 |
| Martin ratioReturn relative to average drawdown | 20.59 | 126.26 | -105.67 |
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Drawdowns
EMDM vs. LITE - Drawdown Comparison
The maximum EMDM drawdown since its inception was -18.81%, smaller than the maximum LITE drawdown of -66.89%. Use the drawdown chart below to compare losses from any high point for EMDM and LITE.
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Drawdown Indicators
| EMDM | LITE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.81% | -66.89% | +48.08% |
Max Drawdown (1Y)Largest decline over 1 year | -15.65% | -28.70% | +13.05% |
Max Drawdown (3Y)Largest decline over 3 years | -18.81% | -50.63% | +31.82% |
Max Drawdown (5Y)Largest decline over 5 years | — | -66.48% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -66.89% | — |
Current DrawdownCurrent decline from peak | -3.27% | -12.49% | +9.22% |
Average DrawdownAverage peak-to-trough decline | -4.08% | -23.57% | +19.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.93% | 7.81% | -3.88% |
Volatility
EMDM vs. LITE - Volatility Comparison
The current volatility for First Trust Bloomberg Emerging Market Democracies ETF (EMDM) is 12.16%, while Lumentum Holdings Inc. (LITE) has a volatility of 28.12%. This indicates that EMDM experiences smaller price fluctuations and is considered to be less risky than LITE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EMDM | LITE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.16% | 28.12% | -15.96% |
Volatility (6M)Calculated over the trailing 6-month period | 22.86% | 69.73% | -46.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 25.23% | 86.47% | -61.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.36% | 59.94% | -39.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.36% | 56.62% | -36.26% |
Dividends
EMDM vs. LITE - Dividend Comparison
EMDM's dividend yield for the trailing twelve months is around 2.62%, while LITE has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 |
|---|---|---|---|---|
EMDM First Trust Bloomberg Emerging Market Democracies ETF | 2.62% | 3.57% | 5.87% | 2.16% |
LITE Lumentum Holdings Inc. | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
EMDM and LITE have a correlation of 0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LITE has higher volatility (28.12%) compared to EMDM (12.16%). In terms of maximum drawdown, EMDM dropped -18.81% vs LITE's -66.89%.
LITE currently has the higher Sharpe Ratio (11.43 vs 3.21), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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