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First Trust Managed Futures Strategy Fund (FMF)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

ISINUS33739G1031
CUSIP33739G103
IssuerFirst Trust
Inception DateAug 1, 2013
RegionNorth America (U.S.)
CategoryHedge Fund, Actively Managed
Index TrackedNo Index (Active)
Home Pagewww.ftportfolios.com
Asset ClassAlternatives

Expense Ratio

The First Trust Managed Futures Strategy Fund has a high expense ratio of 0.95%, indicating higher-than-average management fees.


0.50%1.00%1.50%2.00%0.95%

Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


First Trust Managed Futures Strategy Fund

Popular comparisons: FMF vs. DBMF, FMF vs. KMLM, FMF vs. QQQ, FMF vs. WTMF, FMF vs. GLD, FMF vs. FTLS

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in First Trust Managed Futures Strategy Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
4.29%
15.51%
FMF (First Trust Managed Futures Strategy Fund)
Benchmark (^GSPC)

S&P 500

Returns By Period

First Trust Managed Futures Strategy Fund had a return of 8.52% year-to-date (YTD) and 8.33% in the last 12 months. Over the past 10 years, First Trust Managed Futures Strategy Fund had an annualized return of 1.12%, while the S&P 500 had an annualized return of 10.50%, indicating that First Trust Managed Futures Strategy Fund did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date8.52%5.90%
1 month-0.75%-1.28%
6 months4.29%15.51%
1 year8.33%21.68%
5 years (annualized)3.85%11.74%
10 years (annualized)1.12%10.50%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20243.15%4.42%2.52%
20231.13%-1.25%-1.31%-2.55%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of FMF is 54, suggesting that the investment has average results relative to the market in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of FMF is 5454
First Trust Managed Futures Strategy Fund(FMF)
The Sharpe Ratio Rank of FMF is 5555Sharpe Ratio Rank
The Sortino Ratio Rank of FMF is 5353Sortino Ratio Rank
The Omega Ratio Rank of FMF is 5454Omega Ratio Rank
The Calmar Ratio Rank of FMF is 5353Calmar Ratio Rank
The Martin Ratio Rank of FMF is 5353Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


FMF
Sharpe ratio
The chart of Sharpe ratio for FMF, currently valued at 0.90, compared to the broader market0.002.004.000.90
Sortino ratio
The chart of Sortino ratio for FMF, currently valued at 1.31, compared to the broader market-2.000.002.004.006.008.0010.001.31
Omega ratio
The chart of Omega ratio for FMF, currently valued at 1.16, compared to the broader market1.001.502.002.501.16
Calmar ratio
The chart of Calmar ratio for FMF, currently valued at 0.61, compared to the broader market0.002.004.006.008.0010.0012.000.61
Martin ratio
The chart of Martin ratio for FMF, currently valued at 2.91, compared to the broader market0.0020.0040.0060.0080.002.91
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.89, compared to the broader market0.002.004.001.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.74, compared to the broader market-2.000.002.004.006.008.0010.002.74
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market1.001.502.002.501.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.0012.001.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.62, compared to the broader market0.0020.0040.0060.0080.007.62

Sharpe Ratio

The current First Trust Managed Futures Strategy Fund Sharpe ratio is 0.90. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2024FebruaryMarchApril
0.90
1.89
FMF (First Trust Managed Futures Strategy Fund)
Benchmark (^GSPC)

Dividends

Dividend History

First Trust Managed Futures Strategy Fund granted a 3.00% dividend yield in the last twelve months. The annual payout for that period amounted to $1.49 per share.


PeriodTTM20232022202120202019201820172016201520142013
Dividend$1.49$1.42$0.19$1.49$0.01$0.45$0.71$0.39$0.00$0.00$1.21$1.21

Dividend yield

3.00%3.09%0.41%3.29%0.02%1.05%1.56%0.82%0.00%0.00%2.43%2.38%

Monthly Dividends

The table displays the monthly dividend distributions for First Trust Managed Futures Strategy Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDec
2024$0.00$0.00$0.35
2023$0.00$0.00$0.28$0.00$0.00$0.35$0.00$0.00$0.38$0.00$0.00$0.41
2022$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.19
2021$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.49
2020$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.01
2019$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.45
2018$0.00$0.00$0.02$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.69
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.39
2016$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2015$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2014$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.21
2013$1.21

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-4.43%
-3.86%
FMF (First Trust Managed Futures Strategy Fund)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the First Trust Managed Futures Strategy Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the First Trust Managed Futures Strategy Fund was 20.32%, occurring on Mar 24, 2020. Recovery took 492 trading sessions.

The current First Trust Managed Futures Strategy Fund drawdown is 4.43%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.32%Apr 4, 20141328Mar 24, 2020492Mar 7, 20221820
-14.98%Jun 15, 2022188Mar 15, 2023
-7.98%Mar 15, 20224Mar 18, 202257Jun 9, 202261
-3.58%Dec 31, 201321Feb 5, 201428Mar 27, 201449
-3.08%Mar 9, 20222Mar 10, 20222Mar 14, 20224

Volatility

Volatility Chart

The current First Trust Managed Futures Strategy Fund volatility is 1.61%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%NovemberDecember2024FebruaryMarchApril
1.61%
3.39%
FMF (First Trust Managed Futures Strategy Fund)
Benchmark (^GSPC)