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First Trust Managed Futures Strategy Fund (FMF)

ETF · Currency in USD · Last updated Aug 13, 2022

FMF is an actively managed ETF by First Trust. FMF launched on Aug 1, 2013 and has a 0.95% expense ratio.

ETF Info

ISINUS33739G1031
CUSIP33739G103
IssuerFirst Trust
Inception DateAug 1, 2013
RegionNorth America (U.S.)
CategoryHedge Fund, Actively Managed
Expense Ratio0.95%
Index TrackedNo Index (Active)
ETF Home Pagewww.ftportfolios.com
Asset ClassAlternatives

Trading Data

Previous Close$49.28
Year Range$44.48 - $54.17
EMA (50)$50.25
EMA (200)$49.01
Average Volume$53.52K

FMFShare Price Chart


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FMFPerformance

The chart shows the growth of $10,000 invested in First Trust Managed Futures Strategy Fund in Aug 2013 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $11,050 for a total return of roughly 10.50%. All prices are adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%20.00%MarchAprilMayJuneJulyAugust
7.08%
-4.35%
FMF (First Trust Managed Futures Strategy Fund)
Benchmark (^GSPC)

FMFReturns in periods

Returns over 1 year are annualized

PeriodReturnBenchmark
1M-3.07%12.08%
6M6.74%-4.97%
YTD8.40%-10.20%
1Y5.84%-3.40%
5Y2.96%11.43%
10Y1.23%11.96%

FMFMonthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20220.09%1.95%5.27%4.72%0.68%0.08%-4.31%-0.06%
20210.95%2.59%0.95%1.83%1.75%-0.58%-0.98%-1.48%-0.08%1.01%-3.29%1.11%
20200.02%-1.43%3.34%-0.46%1.71%0.05%1.05%0.50%-3.00%-1.70%2.41%3.30%
2019-1.73%-0.28%0.14%0.80%-3.64%0.99%1.07%1.95%-1.61%-0.82%-0.52%-1.51%
20181.91%-2.76%0.76%1.29%-0.95%1.73%-1.27%3.90%1.32%-2.84%-2.23%-3.22%
2017-2.10%5.13%-5.51%-0.20%3.01%-2.80%-0.26%0.71%0.73%1.49%0.07%1.85%
2016-0.08%-1.22%-3.15%1.55%-2.51%2.85%-0.44%0.25%-1.19%1.88%-3.01%1.07%
20151.83%0.22%3.38%-0.73%0.30%-3.49%1.09%-3.50%1.04%-2.10%0.99%0.49%
2014-2.00%1.51%0.75%3.21%-0.55%-1.52%-3.96%-0.20%0.95%-1.41%0.53%3.34%
2013-2.10%1.57%0.84%2.21%1.09%

FMFSharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current First Trust Managed Futures Strategy Fund Sharpe ratio is 0.39. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

The chart below displays rolling 12-month Sharpe Ratio.


-0.500.000.501.00MarchAprilMayJuneJulyAugust
0.39
-0.17
FMF (First Trust Managed Futures Strategy Fund)
Benchmark (^GSPC)

FMFDividend History

First Trust Managed Futures Strategy Fund granted a 3.03% dividend yield in the last twelve months. The annual payout for that period amounted to $1.49 per share.


PeriodTTM202120202019201820172016201520142013
Dividend$1.49$1.49$0.01$0.45$0.71$0.39$0.00$0.00$1.21$1.21

Dividend yield

3.03%3.28%0.02%1.08%1.63%0.87%0.00%0.00%2.60%2.61%

FMFDrawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2022FebruaryMarchAprilMayJuneJulyAugust
-9.02%
-10.77%
FMF (First Trust Managed Futures Strategy Fund)
Benchmark (^GSPC)

FMFWorst Drawdowns

The table below shows the maximum drawdowns of the First Trust Managed Futures Strategy Fund. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the First Trust Managed Futures Strategy Fund is 20.32%, recorded on Mar 24, 2020. It took 491 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.32%Apr 4, 20141328Mar 24, 2020491Mar 7, 20221819
-10.24%Jun 15, 202235Aug 4, 2022
-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
-2.1%Aug 6, 201316Aug 30, 20136Sep 16, 201322
-1.47%Oct 24, 20139Nov 7, 20134Nov 14, 201313
-1.06%Sep 23, 20138Oct 9, 20131Oct 10, 20139
-0.74%Mar 28, 20141Mar 28, 20143Apr 2, 20144
-0.62%Dec 3, 20137Dec 13, 20133Dec 18, 201310

FMFVolatility Chart

Current First Trust Managed Futures Strategy Fund volatility is 5.13%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


0.00%10.00%20.00%30.00%40.00%50.00%60.00%MarchAprilMayJuneJulyAugust
5.13%
16.68%
FMF (First Trust Managed Futures Strategy Fund)
Benchmark (^GSPC)