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

Performance

FEMB vs. BWZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Emerging Markets Local Currency Bond ETF (FEMB) and SPDR Bloomberg Barclays Short Term International Treasury Bond ETF (BWZ). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-1.32%
0.22%
FEMB
BWZ

Returns By Period

In the year-to-date period, FEMB achieves a -2.50% return, which is significantly higher than BWZ's -3.58% return. Over the past 10 years, FEMB has outperformed BWZ with an annualized return of -0.78%, while BWZ has yielded a comparatively lower -1.71% annualized return.


FEMB

YTD

-2.50%

1M

-2.72%

6M

-1.32%

1Y

1.10%

5Y (annualized)

-1.27%

10Y (annualized)

-0.78%

BWZ

YTD

-3.58%

1M

-2.38%

6M

0.21%

1Y

-0.16%

5Y (annualized)

-2.23%

10Y (annualized)

-1.71%

Key characteristics


FEMBBWZ
Sharpe Ratio0.170.08
Sortino Ratio0.320.16
Omega Ratio1.041.02
Calmar Ratio0.110.02
Martin Ratio0.450.15
Ulcer Index3.51%3.48%
Daily Std Dev9.53%7.16%
Max Drawdown-30.44%-34.22%
Current Drawdown-12.33%-28.02%

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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%

Correlation

-0.50.00.51.00.4

The correlation between FEMB and BWZ is 0.43, 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.

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.


Sharpe ratio
The chart of Sharpe ratio for FEMB, currently valued at 0.17, compared to the broader market0.002.004.006.000.170.08
The chart of Sortino ratio for FEMB, currently valued at 0.32, compared to the broader market-2.000.002.004.006.008.0010.0012.000.320.16
The chart of Omega ratio for FEMB, currently valued at 1.04, compared to the broader market0.501.001.502.002.503.001.041.02
The chart of Calmar ratio for FEMB, currently valued at 0.11, compared to the broader market0.005.0010.0015.000.110.03
The chart of Martin ratio for FEMB, currently valued at 0.45, compared to the broader market0.0020.0040.0060.0080.00100.000.450.15
FEMB
BWZ

The current FEMB Sharpe Ratio is 0.17, which is higher than the BWZ Sharpe Ratio of 0.08. 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
0.17
0.08
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
-12.33%
-17.81%
FEMB
BWZ

Volatility

FEMB vs. BWZ - Volatility Comparison

First Trust Emerging Markets Local Currency Bond ETF (FEMB) has a higher volatility of 3.26% compared to SPDR Bloomberg Barclays Short Term International Treasury Bond ETF (BWZ) at 3.04%. This indicates that FEMB's price experiences larger fluctuations and is considered to be riskier 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%JuneJulyAugustSeptemberOctoberNovember
3.26%
3.04%
FEMB
BWZ