DFNM vs. FFUT

Last updated Jun 24, 2026

DFNM (Dimensional National Municipal Bond ETF) and FFUT (Fidelity Managed Futures ETF) are both exchange-traded funds - DFNM is a Municipal Bonds fund actively managed by Dimensional, while FFUT is a Systematic Trend fund actively managed by Fidelity. Both are actively managed. Over the past year, DFNM returned 4.87% vs 18.72% for FFUT. At a correlation of -0.20, they often move in opposite directions. DFNM charges 0.17%/yr vs 0.80%/yr for FFUT.

Performance

DFNM vs. FFUT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional National Municipal Bond ETF (DFNM) 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, DFNM achieves a 1.14% return, which is significantly lower than FFUT's 8.83% return.

DFNM

• 1D: -0.29%
• 1M: 0.63%
• YTD: 1.14%
• 6M: 1.27%
• 1Y: 4.87%
• 3Y*: 3.10%
• 5Y*: —
• 10Y*: —

FFUT

• 1D: -0.36%
• 1M: -2.69%
• YTD: 8.83%
• 6M: 9.28%
• 1Y: 18.72%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

DFNM vs. FFUT - Yearly Performance Comparison

	2026 (YTD)	2025
DFNM Dimensional National Municipal Bond ETF	1.14%	3.83%
FFUT Fidelity Managed Futures ETF	8.83%	8.58%

Correlation

The correlation between DFNM and FFUT is -0.19, 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	-0.19
Correlation (All Time) Calculated using the full available price history since Jun 5, 2025	-0.21

Return for Risk

DFNM vs. FFUT — Risk / Return Rank

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

DFNM

DFNM Risk / Return Rank: 78
DFNM Sharpe Ratio Rank: 90
DFNM Sortino Ratio Rank: 91
DFNM Omega Ratio Rank: 94
DFNM Calmar Ratio Rank: 58
DFNM Martin Ratio Rank: 58

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: 84
FFUT Martin Ratio Rank: 79

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.

DFNM vs. FFUT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional National Municipal Bond ETF (DFNM) 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.

	DFNM	FFUT	Difference
Sharpe ratio: Return per unit of total volatility	2.80	1.68	+1.12
Sortino ratio: Return per unit of downside risk	4.00	2.40	+1.60
Omega ratio: Gain probability vs. loss probability	1.63	1.32	+0.31
Calmar ratio: Return relative to maximum drawdown	2.66	4.35	-1.69
Martin ratio: Return relative to average drawdown	9.53	14.55	-5.02

DFNM vs. FFUT - Sharpe Ratio Comparison

The current DFNM Sharpe Ratio is 2.80, which is higher than the FFUT Sharpe Ratio of 1.68. The chart below compares the historical Sharpe Ratios of DFNM 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

DFNM vs. FFUT - Drawdown Comparison

The maximum DFNM drawdown since its inception was -6.99%, which is greater than FFUT's maximum drawdown of -4.33%. Use the drawdown chart below to compare losses from any high point for DFNM and FFUT.

Drawdown Indicators

	DFNM	FFUT	Difference
Max Drawdown Largest peak-to-trough decline	-6.99%	-4.33%	-2.66%
Max Drawdown (1Y) Largest decline over 1 year	-1.84%	-4.33%	+2.49%
Max Drawdown (3Y) Largest decline over 3 years	-2.82%	—	—
Current Drawdown Current decline from peak	-0.50%	-4.33%	+3.83%
Average Drawdown Average peak-to-trough decline	-1.94%	-0.96%	-0.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.51%	1.29%	-0.78%

Volatility

DFNM vs. FFUT - Volatility Comparison

The current volatility for Dimensional National Municipal Bond ETF (DFNM) is 0.51%, while Fidelity Managed Futures ETF (FFUT) has a volatility of 2.93%. This indicates that DFNM 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

	DFNM	FFUT	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.51%	2.93%	-2.42%
Volatility (6M) Calculated over the trailing 6-month period	1.33%	8.97%	-7.64%
Volatility (1Y) Calculated over the trailing 1-year period	1.74%	11.22%	-9.48%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.53%	11.02%	-8.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.53%	11.02%	-8.49%

DFNM vs. FFUT - Expense Ratio Comparison

DFNM has a 0.17% expense ratio, which is lower than FFUT's 0.80% expense ratio.

Dividends

DFNM vs. FFUT - Dividend Comparison

DFNM's dividend yield for the trailing twelve months is around 2.90%, more than FFUT's 1.92% yield.

Position	TTM	2025	2024	2023	2022	2021
DFNM Dimensional National Municipal Bond ETF	2.90%	2.94%	2.74%	2.39%	1.16%	0.05%
FFUT Fidelity Managed Futures ETF	1.92%	2.09%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both DFNM and FFUT in my portfolio?

DFNM and FFUT have a correlation of -0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DFNM or FFUT?

FFUT has higher volatility (2.93%) compared to DFNM (0.51%). In terms of maximum drawdown, DFNM dropped -6.99% vs FFUT's -4.33%.

Which ETF is better, DFNM or FFUT?

On 1-year performance, FFUT leads with 18.72% vs 4.87% for DFNM. On fees, DFNM is cheaper at 0.17% per year. On volatility, DFNM has been the lower-risk option at 0.51%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DFNM or FFUT?

Over the 1-year period, FFUT has performed better with a 18.72% return vs 4.87%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DFNM or FFUT?

DFNM is cheaper with a 0.17% expense ratio, compared with 0.80% for FFUT.

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

DFNM has the higher dividend yield at 2.90%, compared with 1.92% for FFUT.

What is the main difference between DFNM and FFUT?

DFNM is categorized as Municipal Bonds, while FFUT is Systematic Trend. They also come from different issuers: Dimensional and Fidelity. Their fees differ too: 0.17% for DFNM and 0.80% for FFUT.

Which has better risk-adjusted returns?

DFNM currently has the higher Sharpe Ratio (2.80 vs 1.68), 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.