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IGOV vs. LEMB
Performance
Return for Risk
Drawdowns
Volatility
Dividends

IGOV vs. LEMB

Last updated Jun 4, 2026

IGOV (iShares International Treasury Bond ETF) and LEMB (iShares J.P. Morgan EM Local Currency Bond ETF) are both exchange-traded funds - IGOV is a International Government Bonds fund tracking the S&P/Citigroup International Treasury Bond Index Ex-US, while LEMB is a Emerging Markets Bonds fund tracking the J.P. Morgan GBI-EM Global 15 cap 4.5 floor. Both are passively managed. Over the past 10 years, IGOV returned -1.38%/yr vs 1.37%/yr for LEMB. At a 0.48 correlation, their price movements are largely independent. IGOV charges 0.35%/yr vs 0.30%/yr for LEMB.

Performance

IGOV vs. LEMB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares International Treasury Bond ETF (IGOV) and iShares J.P. Morgan EM Local Currency Bond ETF (LEMB). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, IGOV achieves a -0.50% return, which is significantly lower than LEMB's 1.19% return. Over the past 10 years, IGOV has underperformed LEMB with an annualized return of -1.38%, while LEMB has yielded a comparatively higher 1.37% annualized return.

IGOV

1D
-0.84%
1M
-0.43%
YTD
-0.50%
6M
-0.39%
1Y
0.56%
3Y*
2.56%
5Y*
-4.47%
10Y*
-1.38%

LEMB

1D
-0.57%
1M
1.13%
YTD
1.19%
6M
2.18%
1Y
9.81%
3Y*
6.09%
5Y*
0.59%
10Y*
1.37%
*Multi-year figures are annualized to reflect compound growth (CAGR)

IGOV vs. LEMB - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
IGOV
iShares International Treasury Bond ETF		-0.50%9.96%-6.50%5.57%-22.07%-9.25%10.88%3.76%-2.60%11.38%
LEMB
iShares J.P. Morgan EM Local Currency Bond ETF		1.19%18.02%-1.72%7.23%-10.74%-9.92%3.10%6.40%-7.49%12.49%

Correlation

The correlation between IGOV and LEMB is 0.73, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.73

Correlation (3Y)
Calculated over the trailing 3-year period

0.70

Correlation (5Y)
Calculated over the trailing 5-year period

0.70

Correlation (10Y)
Calculated over the trailing 10-year period

0.57

Correlation (All Time)
Calculated using the full available price history since Oct 21, 2011

0.48

Over the past year, IGOV and LEMB have become more correlated (0.73) than their long-term average of 0.48, meaning their price movements have been converging.

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iShares International Treasury Bond ETF

iShares J.P. Morgan EM Local Currency Bond ETF

Often compared with IGOV:
IGOV vs. BNDXIGOV vs. BWXIGOV vs. AGGIGOV vs. VCITIGOV vs. BSVIGOV vs. FLIAIGOV vs. BND
Often compared with LEMB:
LEMB vs. EMLCLEMB vs. EMBLEMB vs. EBNDLEMB vs. VWOBLEMB vs. PFUIXLEMB vs. PELBXLEMB vs. FLOT

Return for Risk

IGOV vs. LEMB — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
IGOV
IGOV Risk / Return Rank: 99
Overall Rank
IGOV Sharpe Ratio Rank: 99
Sharpe Ratio Rank
IGOV Sortino Ratio Rank: 99
Sortino Ratio Rank
IGOV Omega Ratio Rank: 99
Omega Ratio Rank
IGOV Calmar Ratio Rank: 1010
Calmar Ratio Rank
IGOV Martin Ratio Rank: 99
Martin Ratio Rank
LEMB
LEMB Risk / Return Rank: 3939
Overall Rank
LEMB Sharpe Ratio Rank: 4242
Sharpe Ratio Rank
LEMB Sortino Ratio Rank: 4141
Sortino Ratio Rank
LEMB Omega Ratio Rank: 4444
Omega Ratio Rank
LEMB Calmar Ratio Rank: 3333
Calmar Ratio Rank
LEMB Martin Ratio Rank: 3636
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

IGOV vs. LEMB - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares International Treasury Bond ETF (IGOV) and iShares J.P. Morgan EM Local Currency Bond ETF (LEMB). 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.

IGOVLEMBDifference
Sharpe ratioReturn per unit of total volatility
0.07
1.51

-1.44

Sortino ratioReturn per unit of downside risk
0.16
2.10

-1.94

Omega ratioGain probability vs. loss probability

1.02

1.29

-0.27

Calmar ratioReturn relative to maximum drawdown

0.10

1.64

-1.54

Martin ratioReturn relative to average drawdown

0.23

5.58

-5.35

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

IGOV vs. LEMB - Sharpe Ratio Comparison

The current IGOV Sharpe Ratio is 0.07, which is lower than the LEMB Sharpe Ratio of 1.51. The chart below compares the historical Sharpe Ratios of IGOV and LEMB, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

IGOVLEMBDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.07

1.51

-1.44

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

-0.45

0.07

-0.52

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

-0.16

0.15

-0.31

Sharpe Ratio (All Time)

Calculated using the full available price history

0.02

0.05

-0.03

Drawdowns

IGOV vs. LEMB - Drawdown Comparison

The maximum IGOV drawdown since its inception was -35.88%, which is greater than LEMB's maximum drawdown of -30.82%. Use the drawdown chart below to compare losses from any high point for IGOV and LEMB.

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Drawdown Indicators

IGOVLEMBDifference

Max Drawdown

Largest peak-to-trough decline

-35.88%

-30.82%

-5.06%

Max Drawdown (1Y)

Largest decline over 1 year

-5.70%

-6.00%

+0.30%

Max Drawdown (3Y)

Largest decline over 3 years

-10.65%

-10.09%

-0.56%

Max Drawdown (5Y)

Largest decline over 5 years

-33.17%

-25.29%

-7.88%

Max Drawdown (10Y)

Largest decline over 10 years

-35.88%

-29.09%

-6.79%

Current Drawdown

Current decline from peak

-24.01%

-4.87%

-19.14%

Average Drawdown

Average peak-to-trough decline

-11.02%

-12.74%

+1.72%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.42%

1.76%

+0.66%

Volatility

IGOV vs. LEMB - Volatility Comparison

iShares International Treasury Bond ETF (IGOV) has a higher volatility of 2.80% compared to iShares J.P. Morgan EM Local Currency Bond ETF (LEMB) at 2.09%. This indicates that IGOV's price experiences larger fluctuations and is considered to be riskier than LEMB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

IGOVLEMBDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.80%

2.09%

+0.71%

Volatility (6M)

Calculated over the trailing 6-month period

6.19%

5.34%

+0.85%

Volatility (1Y)

Calculated over the trailing 1-year period

8.11%

6.54%

+1.57%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

9.96%

8.24%

+1.72%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

8.59%

9.29%

-0.70%

IGOV vs. LEMB - Expense Ratio Comparison

IGOV has a 0.35% expense ratio, which is higher than LEMB's 0.30% expense ratio.

Dividends

IGOV vs. LEMB - Dividend Comparison

IGOV's dividend yield for the trailing twelve months is around 1.42%, less than LEMB's 2.41% yield.

PositionTTM20252024202320222021202020192018201720162015
IGOV
iShares International Treasury Bond ETF		1.42%1.41%0.59%0.00%0.11%0.39%0.00%0.24%0.31%0.19%0.69%0.12%
LEMB
iShares J.P. Morgan EM Local Currency Bond ETF		2.41%2.44%0.00%1.34%0.86%3.89%0.00%4.39%3.46%0.00%0.00%0.64%

Frequently Asked Questions

IGOV and LEMB have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

IGOV has higher volatility (2.80%) compared to LEMB (2.09%). In terms of maximum drawdown, IGOV dropped -35.88% vs LEMB's -30.82%.

On 10-year performance, LEMB leads with 1.37% vs -1.38% for IGOV. On fees, LEMB is cheaper at 0.30% per year. On volatility, LEMB has been the lower-risk option at 2.09%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, LEMB has performed better with a 1.37% return vs -1.38%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

LEMB is cheaper with a 0.30% expense ratio, compared with 0.35% for IGOV.

LEMB has the higher dividend yield at 2.41%, compared with 1.42% for IGOV.

IGOV is categorized as International Government Bonds, while LEMB is Emerging Markets Bonds. IGOV tracks S&P/Citigroup International Treasury Bond Index Ex-US, while LEMB tracks J.P. Morgan GBI-EM Global 15 cap 4.5 floor. Their fees differ too: 0.35% for IGOV and 0.30% for LEMB.

LEMB currently has the higher Sharpe Ratio (1.51 vs 0.07), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

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