EVLU vs. EMDM
EVLU (iShares MSCI Emerging Markets Value Factor ETF) and EMDM (First Trust Bloomberg Emerging Market Democracies ETF) are both Emerging Markets Equities funds - EVLU tracks the MSCI Emerging Markets Value Factor Select Index (Net) while EMDM tracks the Bloomberg Emerging Market Democracies Index - Benchmark TR Net. Both are passively managed. Over the past year, EVLU returned 52.71% vs 66.00% for EMDM. Their correlation of 0.84 means they have usually moved in the same direction. EVLU charges 0.35%/yr vs 0.75%/yr for EMDM.
Performance
EVLU vs. EMDM - Performance Comparison
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Returns By Period
In the year-to-date period, EVLU achieves a 26.39% return, which is significantly lower than EMDM's 27.86% return.
EVLU
- 1D
- 0.12%
- 1M
- 0.50%
- 6M
- 16.81%
- YTD
- 26.39%
- 1Y
- 52.71%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 35.20%
EMDM
- 1D
- 0.46%
- 1M
- -3.52%
- 6M
- 13.18%
- YTD
- 27.86%
- 1Y
- 66.00%
- 3Y*
- 26.67%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 26.46%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $660.85K | $757.43K | $571.79K | |
| $154.42K | $144.62K | $121.49K |
EVLU vs. EMDM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
EVLU iShares MSCI Emerging Markets Value Factor ETF | 26.39% | 38.54% | 1.21% |
EMDM First Trust Bloomberg Emerging Market Democracies ETF | 27.86% | 59.68% | -8.16% |
Correlation
The correlation between EVLU and EMDM is 0.87, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.87 |
Correlation (All Time) Calculated using the full available price history since Sep 6, 2024 | 0.84 |
The correlation between EVLU and EMDM has been stable across timeframes, ranging from 0.84 to 0.87 - a consistent structural relationship.
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Return for Risk
EVLU vs. EMDM — Risk / Return Rank
EVLU
EMDM
EVLU vs. EMDM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Emerging Markets Value Factor ETF (EVLU) and First Trust Bloomberg Emerging Market Democracies ETF (EMDM). 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.
| EVLU | EMDM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.10 | ||
| Sortino ratioReturn per unit of downside risk | +0.27 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.41 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 4.01 | 4.23 | -0.22 |
| Martin ratioReturn relative to average drawdown | 11.62 | 13.54 | -1.91 |
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Drawdowns
EVLU vs. EMDM - Drawdown Comparison
The maximum EVLU drawdown since its inception was -17.17%, smaller than the maximum EMDM drawdown of -18.81%. Use the drawdown chart below to compare losses from any high point for EVLU and EMDM.
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Drawdown Indicators
| EVLU | EMDM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.17% | -18.81% | +1.64% |
Max Drawdown (1Y)Largest decline over 1 year | -12.90% | -15.65% | +2.75% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.81% | — |
Current DrawdownCurrent decline from peak | -7.82% | -10.88% | +3.06% |
Average DrawdownAverage peak-to-trough decline | -3.75% | -4.20% | +0.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.44% | 4.88% | -0.44% |
Volatility
EVLU vs. EMDM - Volatility Comparison
The current volatility for iShares MSCI Emerging Markets Value Factor ETF (EVLU) is 6.36%, while First Trust Bloomberg Emerging Market Democracies ETF (EMDM) has a volatility of 9.95%. This indicates that EVLU experiences smaller price fluctuations and is considered to be less risky than EMDM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EVLU | EMDM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.36% | 9.95% | -3.59% |
Volatility (6M)Calculated over the trailing 6-month period | 18.46% | 25.55% | -7.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.91% | 27.87% | -6.96% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.37% | 21.16% | -0.79% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.37% | 21.16% | -0.79% |
EVLU vs. EMDM - Expense Ratio Comparison
EVLU has a 0.35% expense ratio, which is lower than EMDM's 0.75% expense ratio.
Dividends
EVLU vs. EMDM - Dividend Comparison
EVLU's dividend yield for the trailing twelve months is around 3.85%, more than EMDM's 2.96% yield.
| Position | TTM | 2025 | 2024 | 2023 |
|---|---|---|---|---|
EMDM First Trust Bloomberg Emerging Market Democracies ETF | 2.96% | 3.57% | 5.87% | 2.16% |
EVLU iShares MSCI Emerging Markets Value Factor ETF | 3.85% | 5.20% | 1.03% | 0.00% |
Frequently Asked Questions
EVLU and EMDM have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EMDM has higher volatility (9.95%) compared to EVLU (6.36%). In terms of maximum drawdown, EVLU dropped -17.17% vs EMDM's -18.81%.
On 1-year performance, EMDM leads with 66.00% vs 52.71% for EVLU. On fees, EVLU is cheaper at 0.35% per year. On volatility, EVLU has been the lower-risk option at 6.36%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, EMDM has performed better with a 66.00% return vs 52.71%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EVLU is cheaper with a 0.35% expense ratio, compared with 0.75% for EMDM.
EVLU has the higher dividend yield at 3.85%, compared with 2.96% for EMDM.
EVLU tracks MSCI Emerging Markets Value Factor Select Index (Net), while EMDM tracks Bloomberg Emerging Market Democracies Index - Benchmark TR Net. They also come from different issuers: iShares and First Trust. Their fees differ too: 0.35% for EVLU and 0.75% for EMDM.
EVLU currently has the higher Sharpe Ratio (2.47 vs 2.38), 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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