CGMS vs. FFUT

Last updated Jun 23, 2026

CGMS (Capital Group U.S. Multi-Sector Income ETF) and FFUT (Fidelity Managed Futures ETF) are both exchange-traded funds - CGMS is a Multisector Bonds fund actively managed by Capital Group, while FFUT is a Systematic Trend fund actively managed by Fidelity. Both are actively managed. Over the past year, CGMS returned 6.08% vs 18.91% for FFUT. At a correlation of -0.22, they often move in opposite directions. CGMS charges 0.39%/yr vs 0.80%/yr for FFUT.

Performance

CGMS vs. FFUT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Capital Group U.S. Multi-Sector Income ETF (CGMS) and Fidelity Managed Futures ETF (FFUT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CGMS achieves a 1.51% return, which is significantly lower than FFUT's 9.23% return.

CGMS

• 1D: -0.22%
• 1M: 0.34%
• YTD: 1.51%
• 6M: 1.68%
• 1Y: 6.08%
• 3Y*: 7.98%
• 5Y*: —
• 10Y*: —

FFUT

• 1D: -0.52%
• 1M: -2.34%
• YTD: 9.23%
• 6M: 9.36%
• 1Y: 18.91%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CGMS vs. FFUT - Yearly Performance Comparison

	2026 (YTD)	2025
CGMS Capital Group U.S. Multi-Sector Income ETF	1.51%	5.01%
FFUT Fidelity Managed Futures ETF	9.23%	8.58%

Correlation

The correlation between CGMS and FFUT is -0.20, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.20
Correlation (All Time) Calculated using the full available price history since Jun 5, 2025	-0.22

Return for Risk

CGMS vs. FFUT — Risk / Return Rank

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

CGMS

CGMS Risk / Return Rank: 55
CGMS Sharpe Ratio Rank: 53
CGMS Sortino Ratio Rank: 57
CGMS Omega Ratio Rank: 54
CGMS Calmar Ratio Rank: 51
CGMS Martin Ratio Rank: 63

FFUT

FFUT Risk / Return Rank: 64
FFUT Sharpe Ratio Rank: 51
FFUT Sortino Ratio Rank: 51
FFUT Omega Ratio Rank: 54
FFUT Calmar Ratio Rank: 87
FFUT Martin Ratio Rank: 80

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.

CGMS vs. FFUT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Capital Group U.S. Multi-Sector Income ETF (CGMS) and Fidelity Managed Futures ETF (FFUT). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	CGMS	FFUT	Difference
Sharpe ratio: Return per unit of total volatility	1.74	1.69	+0.05
Sortino ratio: Return per unit of downside risk	2.62	2.42	+0.20
Omega ratio: Gain probability vs. loss probability	1.33	1.33	0.00
Calmar ratio: Return relative to maximum drawdown	2.47	4.77	-2.30
Martin ratio: Return relative to average drawdown	10.95	15.04	-4.09

CGMS vs. FFUT - Sharpe Ratio Comparison

The current CGMS Sharpe Ratio is 1.74, which is comparable to the FFUT Sharpe Ratio of 1.69. The chart below compares the historical Sharpe Ratios of CGMS and FFUT, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CGMS vs. FFUT - Drawdown Comparison

The maximum CGMS drawdown since its inception was -4.08%, roughly equal to the maximum FFUT drawdown of -3.98%. Use the drawdown chart below to compare losses from any high point for CGMS and FFUT.

Drawdown Indicators

	CGMS	FFUT	Difference
Max Drawdown Largest peak-to-trough decline	-4.08%	-3.98%	-0.10%
Max Drawdown (1Y) Largest decline over 1 year	-2.47%	-3.98%	+1.51%
Max Drawdown (3Y) Largest decline over 3 years	-4.08%	—	—
Current Drawdown Current decline from peak	-0.44%	-3.98%	+3.54%
Average Drawdown Average peak-to-trough decline	-0.66%	-0.94%	+0.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.56%	1.26%	-0.70%

Volatility

CGMS vs. FFUT - Volatility Comparison

The current volatility for Capital Group U.S. Multi-Sector Income ETF (CGMS) is 1.12%, while Fidelity Managed Futures ETF (FFUT) has a volatility of 2.92%. This indicates that CGMS experiences smaller price fluctuations and is considered to be less risky than FFUT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CGMS	FFUT	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.12%	2.92%	-1.80%
Volatility (6M) Calculated over the trailing 6-month period	2.79%	8.96%	-6.17%
Volatility (1Y) Calculated over the trailing 1-year period	3.51%	11.23%	-7.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.12%	11.03%	-5.91%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.12%	11.03%	-5.91%

CGMS vs. FFUT - Expense Ratio Comparison

CGMS has a 0.39% expense ratio, which is lower than FFUT's 0.80% expense ratio.

Dividends

CGMS vs. FFUT - Dividend Comparison

CGMS's dividend yield for the trailing twelve months is around 6.10%, more than FFUT's 1.91% yield.

Position	TTM	2025	2024	2023	2022
CGMS Capital Group U.S. Multi-Sector Income ETF	6.10%	6.00%	5.91%	5.84%	0.97%
FFUT Fidelity Managed Futures ETF	1.91%	2.09%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CGMS and FFUT in my portfolio?

CGMS and FFUT have a correlation of -0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CGMS or FFUT?

FFUT has higher volatility (2.92%) compared to CGMS (1.12%). In terms of maximum drawdown, CGMS dropped -4.08% vs FFUT's -3.98%.

Which ETF is better, CGMS or FFUT?

On 1-year performance, FFUT leads with 18.91% vs 6.08% for CGMS. On fees, CGMS is cheaper at 0.39% per year. On volatility, CGMS has been the lower-risk option at 1.12%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CGMS or FFUT?

Over the 1-year period, FFUT has performed better with a 18.91% return vs 6.08%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CGMS or FFUT?

CGMS is cheaper with a 0.39% expense ratio, compared with 0.80% for FFUT.

Which ETF pays a higher dividend yield, CGMS or FFUT?

CGMS has the higher dividend yield at 6.10%, compared with 1.91% for FFUT.

What is the main difference between CGMS and FFUT?

CGMS is categorized as Multisector Bonds, while FFUT is Systematic Trend. They also come from different issuers: Capital Group and Fidelity. Their fees differ too: 0.39% for CGMS and 0.80% for FFUT.

Which has better risk-adjusted returns?

CGMS currently has the higher Sharpe Ratio (1.74 vs 1.69), 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.