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

Key characteristics


VRIGFEMB
YTD Return5.76%-1.24%
1Y Return7.16%3.98%
3Y Return (Ann)4.68%0.33%
5Y Return (Ann)3.46%-1.18%
Sharpe Ratio8.940.43
Sortino Ratio19.170.72
Omega Ratio4.361.08
Calmar Ratio36.360.27
Martin Ratio240.741.28
Ulcer Index0.03%3.25%
Daily Std Dev0.81%9.63%
Max Drawdown-13.04%-30.44%
Current Drawdown0.00%-11.20%

Correlation

-0.50.00.51.00.0

The correlation between VRIG and FEMB 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

VRIG vs. FEMB - Performance Comparison

In the year-to-date period, VRIG achieves a 5.76% return, which is significantly higher than FEMB's -1.24% 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
2.94%
1.29%
VRIG
FEMB

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VRIG vs. FEMB - Expense Ratio Comparison

VRIG has a 0.30% expense ratio, which is lower than FEMB's 0.85% 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

VRIG vs. FEMB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Variable Rate Investment Grade ETF (VRIG) and First Trust Emerging Markets Local Currency Bond ETF (FEMB). 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.


VRIG
Sharpe ratio
The chart of Sharpe ratio for VRIG, currently valued at 8.94, compared to the broader market0.002.004.008.94
Sortino ratio
The chart of Sortino ratio for VRIG, currently valued at 19.17, compared to the broader market0.005.0010.0019.17
Omega ratio
The chart of Omega ratio for VRIG, currently valued at 4.36, compared to the broader market1.001.502.002.503.004.36
Calmar ratio
The chart of Calmar ratio for VRIG, currently valued at 36.36, compared to the broader market0.005.0010.0015.0020.0036.36
Martin ratio
The chart of Martin ratio for VRIG, currently valued at 240.74, compared to the broader market0.0020.0040.0060.0080.00100.00120.00240.74
FEMB
Sharpe ratio
The chart of Sharpe ratio for FEMB, currently valued at 0.43, compared to the broader market0.002.004.000.43
Sortino ratio
The chart of Sortino ratio for FEMB, currently valued at 0.72, compared to the broader market0.005.0010.000.72
Omega ratio
The chart of Omega ratio for FEMB, currently valued at 1.08, compared to the broader market1.001.502.002.503.001.08
Calmar ratio
The chart of Calmar ratio for FEMB, currently valued at 0.27, compared to the broader market0.005.0010.0015.0020.000.27
Martin ratio
The chart of Martin ratio for FEMB, currently valued at 1.28, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.28

VRIG vs. FEMB - Sharpe Ratio Comparison

The current VRIG Sharpe Ratio is 8.94, which is higher than the FEMB Sharpe Ratio of 0.43. The chart below compares the historical Sharpe Ratios of VRIG and FEMB, 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
8.94
0.43
VRIG
FEMB

Dividends

VRIG vs. FEMB - Dividend Comparison

VRIG's dividend yield for the trailing twelve months is around 6.19%, more than FEMB's 5.73% yield.


TTM2023202220212020201920182017201620152014
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%
FEMB
First Trust Emerging Markets Local Currency Bond ETF
5.73%5.15%6.36%6.12%5.29%5.40%5.86%6.38%5.83%4.89%0.62%

Drawdowns

VRIG vs. FEMB - Drawdown Comparison

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


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-11.20%
VRIG
FEMB

Volatility

VRIG vs. FEMB - Volatility Comparison

The current volatility for Invesco Variable Rate Investment Grade ETF (VRIG) is 0.22%, while First Trust Emerging Markets Local Currency Bond ETF (FEMB) has a volatility of 1.90%. This indicates that VRIG experiences smaller price fluctuations and is considered to be less risky than FEMB 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
0.22%
1.90%
VRIG
FEMB