First Trust Managed Futures Strategy Fund (FMF)
FMF is an actively managed ETF by First Trust. FMF launched on Aug 1, 2013 and has a 0.95% expense ratio.
ETF Info
US33739G1031
33739G103
Aug 1, 2013
North America (U.S.)
1x
No Index (Active)
Share Price Chart
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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.
Returns By Period
First Trust Managed Futures Strategy Fund had a return of 6.55% year-to-date (YTD) and 3.64% in the last 12 months. Over the past 10 years, First Trust Managed Futures Strategy Fund had an annualized return of 1.31%, while the S&P 500 had an annualized return of 11.11%, indicating that First Trust Managed Futures Strategy Fund did not perform as well as the benchmark.
FMF
6.55%
1.41%
-0.06%
3.64%
3.79%
1.31%
^GSPC (Benchmark)
23.08%
0.10%
10.70%
30.05%
13.52%
11.11%
Monthly Returns
The table below presents the monthly returns of FMF, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 3.15% | 4.42% | 2.53% | -2.38% | -2.03% | 1.42% | -0.58% | -1.57% | 0.23% | -1.33% | 6.55% | ||
| 2023 | -1.13% | 0.26% | 0.24% | 1.83% | 0.71% | -0.09% | 2.38% | -0.30% | 1.13% | -1.25% | -1.31% | -2.55% | -0.18% |
| 2022 | 0.20% | 1.95% | 5.27% | 4.72% | 0.68% | 0.08% | -4.31% | 1.36% | 3.00% | -0.36% | -6.36% | -0.50% | 5.24% |
| 2021 | 0.95% | 2.59% | 0.95% | 1.83% | 1.75% | -0.58% | -0.98% | -1.48% | -0.08% | 1.01% | -3.29% | 1.01% | 3.57% |
| 2020 | 0.02% | -1.43% | 3.34% | -0.46% | 1.71% | 0.05% | 1.05% | 0.50% | -3.00% | -1.70% | 2.41% | 3.30% | 5.70% |
| 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% | -5.17% |
| 2018 | 1.91% | -2.76% | 0.76% | 1.29% | -0.95% | 1.73% | -1.27% | 3.90% | 1.32% | -2.84% | -2.23% | -3.22% | -2.64% |
| 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% | 1.70% |
| 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% | -4.12% |
| 2015 | 1.83% | 0.22% | 3.38% | -0.73% | 0.30% | -3.49% | 1.09% | -3.50% | 1.04% | -2.10% | 0.99% | 0.49% | -0.71% |
| 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% | 0.42% |
| 2013 | -2.22% | 1.57% | 0.84% | 2.21% | 1.09% | 3.50% |
Expense Ratio
FMF has a high expense ratio of 0.95%, indicating higher-than-average management fees.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of FMF is 15, indicating that it is in the bottom 15% of ETFs on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
Dividends
Dividend History
First Trust Managed Futures Strategy Fund provided a 2.86% dividend yield over the last twelve months, with an annual payout of $1.38 per share.
| Period | TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.38 | $1.43 | $0.19 | $1.49 | $0.01 | $0.45 | $0.71 | $0.39 | $0.00 | $0.00 | $1.21 | $1.21 |
Dividend yield | 2.86% | 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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | $0.00 | $0.00 | $0.35 | $0.00 | $0.00 | $0.39 | $0.00 | $0.00 | $0.23 | $0.00 | $0.00 | $0.97 | |
| 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 | $1.43 |
| 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 | $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 | $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 | $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 | $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 | $0.71 |
| 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 | $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 | $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 | $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 | $1.21 |
| 2013 | $1.21 | $1.21 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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 6.16%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -20.32% | Apr 4, 2014 | 1321 | Mar 24, 2020 | 492 | Mar 7, 2022 | 1813 |
| -14.98% | Jun 15, 2022 | 188 | Mar 15, 2023 | — | — | — |
| -7.97% | Mar 15, 2022 | 4 | Mar 18, 2022 | 57 | Jun 9, 2022 | 61 |
| -3.58% | Dec 31, 2013 | 21 | Feb 5, 2014 | 28 | Mar 27, 2014 | 49 |
| -3.08% | Mar 9, 2022 | 2 | Mar 10, 2022 | 2 | Mar 14, 2022 | 4 |
Volatility
Volatility Chart
The current First Trust Managed Futures Strategy Fund volatility is 2.92%, 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.