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

Key characteristics


FEMBVRIG
YTD Return-2.43%5.76%
1Y Return2.58%7.21%
3Y Return (Ann)-0.07%4.67%
5Y Return (Ann)-1.34%3.45%
Sharpe Ratio0.288.86
Sortino Ratio0.4919.01
Omega Ratio1.054.33
Calmar Ratio0.1836.03
Martin Ratio0.83239.44
Ulcer Index3.28%0.03%
Daily Std Dev9.70%0.81%
Max Drawdown-30.44%-13.04%
Current Drawdown-12.26%0.00%

Correlation

-0.50.00.51.00.0

The correlation between FEMB and VRIG is 0.04, 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. VRIG - Performance Comparison

In the year-to-date period, FEMB achieves a -2.43% return, which is significantly lower than VRIG's 5.76% 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%
2.90%
FEMB
VRIG

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FEMB vs. VRIG - Expense Ratio Comparison

FEMB has a 0.85% expense ratio, which is higher than VRIG's 0.30% 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 VRIG: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Risk-Adjusted Performance

FEMB vs. VRIG - 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 Invesco Variable Rate Investment Grade ETF (VRIG). 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
VRIG
Sharpe ratio
The chart of Sharpe ratio for VRIG, currently valued at 8.86, compared to the broader market-2.000.002.004.008.86
Sortino ratio
The chart of Sortino ratio for VRIG, currently valued at 19.01, compared to the broader market-2.000.002.004.006.008.0010.0012.0019.01
Omega ratio
The chart of Omega ratio for VRIG, currently valued at 4.33, compared to the broader market0.501.001.502.002.503.004.33
Calmar ratio
The chart of Calmar ratio for VRIG, currently valued at 36.03, compared to the broader market0.005.0010.0015.0036.03
Martin ratio
The chart of Martin ratio for VRIG, currently valued at 239.44, compared to the broader market0.0020.0040.0060.0080.00100.00239.44

FEMB vs. VRIG - Sharpe Ratio Comparison

The current FEMB Sharpe Ratio is 0.28, which is lower than the VRIG Sharpe Ratio of 8.86. The chart below compares the historical Sharpe Ratios of FEMB and VRIG, 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
0.28
8.86
FEMB
VRIG

Dividends

FEMB vs. VRIG - Dividend Comparison

FEMB's dividend yield for the trailing twelve months is around 5.80%, less than VRIG's 6.19% yield.


TTM2023202220212020201920182017201620152014
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%
VRIG
Invesco Variable Rate Investment Grade ETF
6.19%5.96%2.39%0.77%1.56%3.13%2.89%2.31%0.60%0.00%0.00%

Drawdowns

FEMB vs. VRIG - Drawdown Comparison

The maximum FEMB drawdown since its inception was -30.44%, which is greater than VRIG's maximum drawdown of -13.04%. Use the drawdown chart below to compare losses from any high point for FEMB and VRIG. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-12.26%
0
FEMB
VRIG

Volatility

FEMB vs. VRIG - Volatility Comparison

First Trust Emerging Markets Local Currency Bond ETF (FEMB) has a higher volatility of 2.11% compared to Invesco Variable Rate Investment Grade ETF (VRIG) at 0.22%. This indicates that FEMB's price experiences larger fluctuations and is considered to be riskier than VRIG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
2.11%
0.22%
FEMB
VRIG