ASMF vs. FSMB

Last updated Jun 3, 2026

ASMF (Virtus AlphaSimplex Managed Futures ETF) and FSMB (First Trust Short Duration Managed Municipal ETF) are both exchange-traded funds - ASMF is a Systematic Trend fund actively managed by Virtus, while FSMB is a Municipal Bonds fund actively managed by First Trust. Both are actively managed. Over the past year, ASMF returned 16.81% vs 4.18% for FSMB. At a correlation of -0.07, they often move in opposite directions. ASMF charges 0.80%/yr vs 0.45%/yr for FSMB.

Performance

ASMF vs. FSMB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Virtus AlphaSimplex Managed Futures ETF (ASMF) and First Trust Short Duration Managed Municipal ETF (FSMB). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ASMF achieves a 9.38% return, which is significantly higher than FSMB's 1.10% return.

ASMF

• 1D: 0.62%
• 1M: 1.58%
• YTD: 9.38%
• 6M: 11.65%
• 1Y: 16.81%
• 3Y*: —
• 5Y*: —
• 10Y*: —

FSMB

• 1D: 0.00%
• 1M: 0.42%
• YTD: 1.10%
• 6M: 1.54%
• 1Y: 4.18%
• 3Y*: 3.55%
• 5Y*: 1.50%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

ASMF vs. FSMB - Yearly Performance Comparison

	2026 (YTD)	2025	2024
ASMF Virtus AlphaSimplex Managed Futures ETF	9.38%	1.16%	-3.56%
FSMB First Trust Short Duration Managed Municipal ETF	1.10%	4.22%	2.14%

Correlation

The correlation between ASMF and FSMB is -0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.09
Correlation (All Time) Calculated using the full available price history since May 17, 2024	-0.07

Return for Risk

ASMF vs. FSMB — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ASMF

ASMF Risk / Return Rank: 50
ASMF Sharpe Ratio Rank: 43
ASMF Sortino Ratio Rank: 41
ASMF Omega Ratio Rank: 44
ASMF Calmar Ratio Rank: 68
ASMF Martin Ratio Rank: 53

FSMB

FSMB Risk / Return Rank: 79
FSMB Sharpe Ratio Rank: 88
FSMB Sortino Ratio Rank: 92
FSMB Omega Ratio Rank: 92
FSMB Calmar Ratio Rank: 64
FSMB Martin Ratio Rank: 61

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ASMF vs. FSMB - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus AlphaSimplex Managed Futures ETF (ASMF) and First Trust Short Duration Managed Municipal ETF (FSMB). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	ASMF	FSMB	Difference
Sharpe ratio Return per unit of total volatility	1.51	2.99	-1.48
Sortino ratio Return per unit of downside risk	2.11	4.48	-2.38
Omega ratio Gain probability vs. loss probability	1.28	1.63	-0.34
Calmar ratio Return relative to maximum drawdown	3.44	3.23	+0.20
Martin ratio Return relative to average drawdown	9.10	11.09	-1.99
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ASMF vs. FSMB - Sharpe Ratio Comparison

The current ASMF Sharpe Ratio is 1.51, which is lower than the FSMB Sharpe Ratio of 2.99. The chart below compares the historical Sharpe Ratios of ASMF and FSMB, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ASMF	FSMB	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.51	2.99	-1.48
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.77	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.30	0.75	-0.45

Drawdowns

ASMF vs. FSMB - Drawdown Comparison

The maximum ASMF drawdown since its inception was -15.31%, which is greater than FSMB's maximum drawdown of -6.32%. Use the drawdown chart below to compare losses from any high point for ASMF and FSMB.

Drawdown Indicators

	ASMF	FSMB	Difference
Max Drawdown Largest peak-to-trough decline	-15.31%	-6.32%	-8.99%
Max Drawdown (1Y) Largest decline over 1 year	-5.02%	-1.29%	-3.73%
Max Drawdown (3Y) Largest decline over 3 years	—	-1.76%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-5.97%	—
Current Drawdown Current decline from peak	-1.35%	-0.30%	-1.05%
Average Drawdown Average peak-to-trough decline	-7.62%	-1.16%	-6.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.90%	0.37%	+1.53%

Volatility

ASMF vs. FSMB - Volatility Comparison

Virtus AlphaSimplex Managed Futures ETF (ASMF) has a higher volatility of 2.60% compared to First Trust Short Duration Managed Municipal ETF (FSMB) at 0.42%. This indicates that ASMF's price experiences larger fluctuations and is considered to be riskier than FSMB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ASMF	FSMB	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.60%	0.42%	+2.18%
Volatility (6M) Calculated over the trailing 6-month period	9.30%	1.03%	+8.27%
Volatility (1Y) Calculated over the trailing 1-year period	11.17%	1.40%	+9.77%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.98%	1.96%	+9.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.98%	2.92%	+8.06%

ASMF vs. FSMB - Expense Ratio Comparison

ASMF has a 0.80% expense ratio, which is higher than FSMB's 0.45% expense ratio.

Dividends

ASMF vs. FSMB - Dividend Comparison

ASMF's dividend yield for the trailing twelve months is around 0.20%, less than FSMB's 3.14% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
ASMF Virtus AlphaSimplex Managed Futures ETF	0.20%	0.22%	1.66%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
FSMB First Trust Short Duration Managed Municipal ETF	3.14%	3.09%	2.88%	2.40%	1.47%	1.20%	1.79%	2.27%	0.19%

Frequently Asked Questions

Can I hold both ASMF and FSMB in my portfolio?

ASMF and FSMB have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ASMF or FSMB?

ASMF has higher volatility (2.60%) compared to FSMB (0.42%). In terms of maximum drawdown, ASMF dropped -15.31% vs FSMB's -6.32%.

Which ETF is better, ASMF or FSMB?

On 1-year performance, ASMF leads with 16.81% vs 4.18% for FSMB. On fees, FSMB is cheaper at 0.45% per year. On volatility, FSMB has been the lower-risk option at 0.42%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ASMF or FSMB?

Over the 1-year period, ASMF has performed better with a 16.81% return vs 4.18%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ASMF or FSMB?

FSMB is cheaper with a 0.45% expense ratio, compared with 0.80% for ASMF.

Which ETF pays a higher dividend yield, ASMF or FSMB?

FSMB has the higher dividend yield at 3.14%, compared with 0.20% for ASMF.

What is the main difference between ASMF and FSMB?

ASMF is categorized as Systematic Trend, while FSMB is Municipal Bonds. They also come from different issuers: Virtus and First Trust. Their fees differ too: 0.80% for ASMF and 0.45% for FSMB.

Which has better risk-adjusted returns?

FSMB currently has the higher Sharpe Ratio (2.99 vs 1.51), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.