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Fidelity Managed Futures ETF (FFUT) Sharpe Ratio: 1.71

ETF · Currency in USD · Last updated Jul 15, 2026

The ETF seeks capital appreciation by employing a trend-following strategy across equity, fixed income, currency, and commodity markets using derivatives and direct investments to capture price trends. The fund also utilizes non-trend quantitative strategies and may invest up to 25% of assets in a subsidiary that holds commodity-linked derivatives and cash-settled bitcoin and ether futures, while maintaining exposure through derivatives to manage risk and enhance returns.

FFUT's Sharpe Ratio of 1.71 indicates that for each unit of volatility, it generates 1.71 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jul 15, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

FFUT Sharpe Ratio Rank

FFUT Sharpe Ratio Rank: 66.266
Above Average

FFUT ranks above 66.2% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating above-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Above-average risk-adjusted returns with room for improvement
  • Compare against category peers to gauge relative positioning
  • Monitor for movement toward top tier or decline toward median
  • Consider pairing with top-tier holdings to improve portfolio efficiency

FFUT Sharpe Ratio Market Positioning

The chart shows FFUT's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.74 or lower
  • Yellow zone (middle 50%): 0.74 to 1.91
  • Green zone (top 25%): 1.91 or higher
  • Top 1%: 6.48+
  • Median: 1.40 — half of all investments score higher

How it compares to other similar ETFs

The table compares Fidelity Managed Futures ETF's Sharpe Ratio with other ETFs in the Systematic Trend category across multiple time periods, showing how FFUT's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jul 15, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
ISMFiShares Managed Futures Active ETF2.61
DBMFiMGP DBi Managed Futures Strategy ETF2.19
MFUTCambria Chesapeake Pure Trend ETF1.85
IMFInvesco Managed Futures Strategy ETF1.85
RSSTReturn Stacked U.S. Stocks & Managed Futures ETF1.73
FFUTFidelity Managed Futures ETF1.71
AHLTAmerican Beacon AHL Trend ETF1.69
ASMFVirtus AlphaSimplex Managed Futures ETF1.25
KMLMKFA Mount Lucas Index Strategy ETF1.18
CTASimplify Managed Futures Strategy ETF0.11

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows FFUT's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when FFUT consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

How does FFUT fit in your portfolio?

Add your other holdings to see your portfolio's Sharpe Ratio and find out.

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