First Trust Managed Futures Strategy Fund (FMF)

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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.

First Trust Managed Futures Strategy Fund (FMF) has returned 8.00% so far this year and 15.86% over the past 12 months. Over the last ten years, FMF has returned 2.60% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.

Based on dividend-adjusted daily data since Aug 2, 2013, FMF's average daily return is +0.01%, while the average monthly return is +0.18%. At this rate, your investment would double in approximately 32.1 years.

Historically, 57% of months were positive and 43% were negative. The best month was Mar 2022 with a return of +5.3%, while the worst month was Nov 2022 at -6.4%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 5 months.

On a daily basis, FMF closed higher 48% of trading days. The best single day was Mar 14, 2022 with a return of +8.5%, while the worst single day was Apr 4, 2014 at -6.5%.

First Trust Managed Futures Strategy Fund has an annualized alpha of 2.36%, beta of 0.03, and R² of 0.00 versus S&P 500 Index. Calculated based on daily prices since August 05, 2013.

• This ETF participated in 13.81% of S&P 500 Index downside but only 12.01% of its upside — more exposed to losses than it benefited from rallies.
• Beta of 0.03 may look defensive, but with R² of 0.00 this ETF is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this ETF's risk.
• R² of 0.00 means this ETF moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

FMF has a high expense ratio of 0.95%, indicating above-average management fees.

FMF ranks 83 for risk / return — in the top 83% of ETFs on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

The table below present risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and compare them to a chosen benchmark (S&P 500 Index).

First Trust Managed Futures Strategy Fund provided a 5.09% dividend yield over the last twelve months, with an annual payout of $2.58 per share. The fund has been increasing its distributions for 3 consecutive years.

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.

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.

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 22.21%, occurring on Mar 24, 2020. Recovery took 497 trading sessions.

The current First Trust Managed Futures Strategy Fund drawdown is 0.66%.

The chart below shows the rolling one-month volatility.