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FEMB vs. BWZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FEMBBWZ
YTD Return-2.43%-3.39%
1Y Return2.58%2.03%
3Y Return (Ann)-0.07%-4.24%
5Y Return (Ann)-1.34%-2.15%
10Y Return (Ann)-0.58%-1.77%
Sharpe Ratio0.280.24
Sortino Ratio0.490.39
Omega Ratio1.051.05
Calmar Ratio0.180.06
Martin Ratio0.830.52
Ulcer Index3.28%3.29%
Daily Std Dev9.70%7.09%
Max Drawdown-30.44%-34.22%
Current Drawdown-12.26%-27.88%

Correlation

-0.50.00.51.00.4

The correlation between FEMB and BWZ is 0.42, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

FEMB vs. BWZ - Performance Comparison

In the year-to-date period, FEMB achieves a -2.43% return, which is significantly higher than BWZ's -3.39% return. Over the past 10 years, FEMB has outperformed BWZ with an annualized return of -0.58%, while BWZ has yielded a comparatively lower -1.77% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
0.33%
1.30%
FEMB
BWZ

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FEMB vs. BWZ - Expense Ratio Comparison

FEMB has a 0.85% expense ratio, which is higher than BWZ's 0.35% expense ratio.


FEMB
First Trust Emerging Markets Local Currency Bond ETF
Expense ratio chart for FEMB: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for BWZ: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

FEMB vs. BWZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Emerging Markets Local Currency Bond ETF (FEMB) and SPDR Bloomberg Barclays Short Term International Treasury Bond ETF (BWZ). 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.


FEMB
Sharpe ratio
The chart of Sharpe ratio for FEMB, currently valued at 0.28, compared to the broader market-2.000.002.004.000.28
Sortino ratio
The chart of Sortino ratio for FEMB, currently valued at 0.49, compared to the broader market-2.000.002.004.006.008.0010.0012.000.49
Omega ratio
The chart of Omega ratio for FEMB, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.05
Calmar ratio
The chart of Calmar ratio for FEMB, currently valued at 0.18, compared to the broader market0.005.0010.0015.000.18
Martin ratio
The chart of Martin ratio for FEMB, currently valued at 0.83, compared to the broader market0.0020.0040.0060.0080.00100.000.83
BWZ
Sharpe ratio
The chart of Sharpe ratio for BWZ, currently valued at 0.24, compared to the broader market-2.000.002.004.000.24
Sortino ratio
The chart of Sortino ratio for BWZ, currently valued at 0.39, compared to the broader market-2.000.002.004.006.008.0010.0012.000.39
Omega ratio
The chart of Omega ratio for BWZ, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.05
Calmar ratio
The chart of Calmar ratio for BWZ, currently valued at 0.09, compared to the broader market0.005.0010.0015.000.09
Martin ratio
The chart of Martin ratio for BWZ, currently valued at 0.52, compared to the broader market0.0020.0040.0060.0080.00100.000.52

FEMB vs. BWZ - Sharpe Ratio Comparison

The current FEMB Sharpe Ratio is 0.28, which is comparable to the BWZ Sharpe Ratio of 0.24. The chart below compares the historical Sharpe Ratios of FEMB and BWZ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.28
0.24
FEMB
BWZ

Dividends

FEMB vs. BWZ - Dividend Comparison

FEMB's dividend yield for the trailing twelve months is around 5.80%, more than BWZ's 2.38% yield.


TTM20232022202120202019201820172016201520142013
FEMB
First Trust Emerging Markets Local Currency Bond ETF
5.80%5.15%6.36%6.12%5.29%5.40%5.86%6.38%5.83%4.89%0.62%0.00%
BWZ
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF
2.38%1.62%0.44%0.60%0.13%0.44%1.10%0.40%0.13%0.06%0.20%0.09%

Drawdowns

FEMB vs. BWZ - Drawdown Comparison

The maximum FEMB drawdown since its inception was -30.44%, smaller than the maximum BWZ drawdown of -34.22%. Use the drawdown chart below to compare losses from any high point for FEMB and BWZ. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-12.26%
-17.65%
FEMB
BWZ

Volatility

FEMB vs. BWZ - Volatility Comparison

The current volatility for First Trust Emerging Markets Local Currency Bond ETF (FEMB) is 2.11%, while SPDR Bloomberg Barclays Short Term International Treasury Bond ETF (BWZ) has a volatility of 2.62%. This indicates that FEMB experiences smaller price fluctuations and is considered to be less risky than BWZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
2.11%
2.62%
FEMB
BWZ