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

Performance

FEMB vs. IGIB - 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 iShares Intermediate-Term Corporate Bond ETF (IGIB). 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%
4.04%
FEMB
IGIB

Returns By Period

In the year-to-date period, FEMB achieves a -2.50% return, which is significantly lower than IGIB's 3.88% return. Over the past 10 years, FEMB has underperformed IGIB with an annualized return of -0.78%, while IGIB has yielded a comparatively higher 2.58% annualized return.


FEMB

YTD

-2.50%

1M

-2.72%

6M

-1.32%

1Y

1.10%

5Y (annualized)

-1.27%

10Y (annualized)

-0.78%

IGIB

YTD

3.88%

1M

-1.26%

6M

4.05%

1Y

9.49%

5Y (annualized)

1.17%

10Y (annualized)

2.58%

Key characteristics


FEMBIGIB
Sharpe Ratio0.171.73
Sortino Ratio0.322.55
Omega Ratio1.041.30
Calmar Ratio0.110.77
Martin Ratio0.457.15
Ulcer Index3.51%1.36%
Daily Std Dev9.53%5.64%
Max Drawdown-30.44%-20.63%
Current Drawdown-12.33%-4.34%

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FEMB vs. IGIB - Expense Ratio Comparison

FEMB has a 0.85% expense ratio, which is higher than IGIB's 0.06% 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 IGIB: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.00.3

The correlation between FEMB and IGIB is 0.27, 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.

Risk-Adjusted Performance

FEMB vs. IGIB - 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 iShares Intermediate-Term Corporate Bond ETF (IGIB). 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 market0.002.004.006.000.171.73
The chart of Sortino ratio for FEMB, currently valued at 0.32, compared to the broader market-2.000.002.004.006.008.0010.0012.000.322.55
The chart of Omega ratio for FEMB, currently valued at 1.04, compared to the broader market0.501.001.502.002.503.001.041.30
The chart of Calmar ratio for FEMB, currently valued at 0.11, compared to the broader market0.005.0010.0015.000.110.77
The chart of Martin ratio for FEMB, currently valued at 0.45, compared to the broader market0.0020.0040.0060.0080.00100.000.457.15
FEMB
IGIB

The current FEMB Sharpe Ratio is 0.17, which is lower than the IGIB Sharpe Ratio of 1.73. The chart below compares the historical Sharpe Ratios of FEMB and IGIB, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
0.17
1.73
FEMB
IGIB

Dividends

FEMB vs. IGIB - Dividend Comparison

FEMB's dividend yield for the trailing twelve months is around 5.80%, more than IGIB's 4.28% 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%
IGIB
iShares Intermediate-Term Corporate Bond ETF
4.28%3.78%3.04%2.52%2.74%3.44%3.41%2.51%2.45%2.51%2.46%2.72%

Drawdowns

FEMB vs. IGIB - Drawdown Comparison

The maximum FEMB drawdown since its inception was -30.44%, which is greater than IGIB's maximum drawdown of -20.63%. Use the drawdown chart below to compare losses from any high point for FEMB and IGIB. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-12.33%
-4.34%
FEMB
IGIB

Volatility

FEMB vs. IGIB - Volatility Comparison

First Trust Emerging Markets Local Currency Bond ETF (FEMB) has a higher volatility of 3.26% compared to iShares Intermediate-Term Corporate Bond ETF (IGIB) at 1.60%. This indicates that FEMB's price experiences larger fluctuations and is considered to be riskier than IGIB 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%
1.60%
FEMB
IGIB