EMDM vs. SGOV
EMDM (First Trust Bloomberg Emerging Market Democracies ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - EMDM is a Emerging Markets Diversified fund tracking the Bloomberg Emerging Market Democracies Index - Benchmark TR Net, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Both are passively managed. Over the past 3 years, EMDM returned 30.82%/yr vs 4.68%/yr for SGOV. At a correlation of -0.04, they often move in opposite directions. EMDM charges 0.75%/yr vs 0.09%/yr for SGOV.
Performance
EMDM vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, EMDM achieves a 35.53% return, which is significantly higher than SGOV's 1.71% return.
EMDM
- 1D
- -5.54%
- 1M
- 3.57%
- YTD
- 35.53%
- 6M
- 38.16%
- 1Y
- 81.79%
- 3Y*
- 30.82%
- 5Y*
- —
- 10Y*
- —
SGOV
- 1D
- 0.01%
- 1M
- 0.28%
- YTD
- 1.71%
- 6M
- 1.80%
- 1Y
- 3.92%
- 3Y*
- 4.68%
- 5Y*
- 3.58%
- 10Y*
- —
EMDM vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
EMDM First Trust Bloomberg Emerging Market Democracies ETF | 35.53% | 59.68% | -4.93% | 14.75% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.71% | 4.24% | 5.27% | 4.35% |
Correlation
The correlation between EMDM and SGOV is -0.13, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.13 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
Correlation (All Time) Calculated using the full available price history since Mar 3, 2023 | -0.04 |
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Return for Risk
EMDM vs. SGOV — Risk / Return Rank
EMDM
SGOV
EMDM vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Bloomberg Emerging Market Democracies ETF (EMDM) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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 | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -17.17 | ||
| Sortino ratioReturn per unit of downside risk | -269.91 | ||
| Omega ratioGain probability vs. loss probability | 1.54 | 194.05 | -192.51 |
| Calmar ratioReturn relative to maximum drawdown | 5.25 | 395.07 | -389.82 |
| Martin ratioReturn relative to average drawdown | 20.82 | 4,426.92 | -4,406.10 |
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Drawdowns
EMDM vs. SGOV - Drawdown Comparison
The maximum EMDM drawdown since its inception was -18.81%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for EMDM and SGOV.
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Drawdown Indicators
| EMDM | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.81% | -0.03% | -18.78% |
Max Drawdown (1Y)Largest decline over 1 year | -15.65% | -0.01% | -15.64% |
Max Drawdown (3Y)Largest decline over 3 years | -18.81% | -0.01% | -18.80% |
Max Drawdown (5Y)Largest decline over 5 years | — | -0.03% | — |
Current DrawdownCurrent decline from peak | -5.54% | 0.00% | -5.54% |
Average DrawdownAverage peak-to-trough decline | -4.06% | -0.00% | -4.06% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.94% | 0.00% | +3.94% |
Volatility
EMDM vs. SGOV - Volatility Comparison
First Trust Bloomberg Emerging Market Democracies ETF (EMDM) has a higher volatility of 13.23% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.06%. This indicates that EMDM's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EMDM | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 13.23% | 0.06% | +13.17% |
Volatility (6M)Calculated over the trailing 6-month period | 23.83% | 0.13% | +23.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 26.11% | 0.19% | +25.92% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.67% | 0.24% | +20.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.67% | 0.24% | +20.43% |
EMDM vs. SGOV - Expense Ratio Comparison
EMDM has a 0.75% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
EMDM vs. SGOV - Dividend Comparison
EMDM's dividend yield for the trailing twelve months is around 2.63%, less than SGOV's 3.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
EMDM First Trust Bloomberg Emerging Market Democracies ETF | 2.63% | 3.57% | 5.87% | 2.16% | 0.00% | 0.00% | 0.00% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.85% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% |
Frequently Asked Questions
EMDM and SGOV have a correlation of -0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EMDM has higher volatility (13.23%) compared to SGOV (0.06%). In terms of maximum drawdown, EMDM dropped -18.81% vs SGOV's -0.03%.
On 3-year performance, EMDM leads with 30.82% vs 4.68% for SGOV. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.06%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, EMDM has performed better with a 30.82% return vs 4.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SGOV is cheaper with a 0.09% expense ratio, compared with 0.75% for EMDM.
SGOV has the higher dividend yield at 3.85%, compared with 2.63% for EMDM.
EMDM is categorized as Emerging Markets Diversified, while SGOV is Ultrashort Bond. EMDM tracks Bloomberg Emerging Market Democracies Index - Benchmark TR Net, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.75% for EMDM and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.32 vs 3.15), 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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