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

Key characteristics


FEMBFLRT
YTD Return-1.60%8.03%
1Y Return3.34%11.52%
3Y Return (Ann)0.03%6.51%
5Y Return (Ann)-1.17%5.39%
Sharpe Ratio0.308.08
Sortino Ratio0.5314.09
Omega Ratio1.064.00
Calmar Ratio0.1922.07
Martin Ratio0.91109.76
Ulcer Index3.32%0.10%
Daily Std Dev9.95%1.42%
Max Drawdown-30.44%-20.96%
Current Drawdown-11.52%0.00%

Correlation

-0.50.00.51.00.1

The correlation between FEMB and FLRT is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

FEMB vs. FLRT - Performance Comparison

In the year-to-date period, FEMB achieves a -1.60% return, which is significantly lower than FLRT's 8.03% 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
1.32%
3.91%
FEMB
FLRT

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FEMB vs. FLRT - Expense Ratio Comparison

FEMB has a 0.85% expense ratio, which is higher than FLRT's 0.69% 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 FLRT: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%

Risk-Adjusted Performance

FEMB vs. FLRT - 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 Pacific Global Senior Loan ETF (FLRT). 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 0.30, compared to the broader market-2.000.002.004.006.000.30
Sortino ratio
The chart of Sortino ratio for FEMB, currently valued at 0.53, compared to the broader market0.005.0010.000.53
Omega ratio
The chart of Omega ratio for FEMB, currently valued at 1.06, compared to the broader market1.001.502.002.503.001.06
Calmar ratio
The chart of Calmar ratio for FEMB, currently valued at 0.19, compared to the broader market0.005.0010.0015.000.19
Martin ratio
The chart of Martin ratio for FEMB, currently valued at 0.91, compared to the broader market0.0020.0040.0060.0080.00100.00120.000.91
FLRT
Sharpe ratio
The chart of Sharpe ratio for FLRT, currently valued at 8.08, compared to the broader market-2.000.002.004.006.008.08
Sortino ratio
The chart of Sortino ratio for FLRT, currently valued at 14.09, compared to the broader market0.005.0010.0014.09
Omega ratio
The chart of Omega ratio for FLRT, currently valued at 4.00, compared to the broader market1.001.502.002.503.004.00
Calmar ratio
The chart of Calmar ratio for FLRT, currently valued at 22.07, compared to the broader market0.005.0010.0015.0022.07
Martin ratio
The chart of Martin ratio for FLRT, currently valued at 109.76, compared to the broader market0.0020.0040.0060.0080.00100.00120.00109.76

FEMB vs. FLRT - Sharpe Ratio Comparison

The current FEMB Sharpe Ratio is 0.30, which is lower than the FLRT Sharpe Ratio of 8.08. The chart below compares the historical Sharpe Ratios of FEMB and FLRT, 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 Ratio0.002.004.006.008.0010.00JuneJulyAugustSeptemberOctoberNovember
0.30
8.08
FEMB
FLRT

Dividends

FEMB vs. FLRT - Dividend Comparison

FEMB's dividend yield for the trailing twelve months is around 5.75%, less than FLRT's 8.26% yield.


TTM2023202220212020201920182017201620152014
FEMB
First Trust Emerging Markets Local Currency Bond ETF
5.75%5.15%6.36%6.12%5.29%5.40%5.86%6.38%5.83%4.89%0.62%
FLRT
Pacific Global Senior Loan ETF
8.26%8.42%5.81%3.16%3.51%4.31%3.95%3.20%3.38%3.21%0.00%

Drawdowns

FEMB vs. FLRT - Drawdown Comparison

The maximum FEMB drawdown since its inception was -30.44%, which is greater than FLRT's maximum drawdown of -20.96%. Use the drawdown chart below to compare losses from any high point for FEMB and FLRT. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.52%
0
FEMB
FLRT

Volatility

FEMB vs. FLRT - Volatility Comparison

First Trust Emerging Markets Local Currency Bond ETF (FEMB) has a higher volatility of 3.12% compared to Pacific Global Senior Loan ETF (FLRT) at 0.21%. This indicates that FEMB's price experiences larger fluctuations and is considered to be riskier than FLRT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
3.12%
0.21%
FEMB
FLRT