FFUT vs. FMF
FFUT (Fidelity Managed Futures ETF) and FMF (First Trust Managed Futures Strategy Fund) are both Systematic Trend funds. Both are actively managed. Over the past year, FFUT returned 22.59% vs 14.03% for FMF. Their 0.36 correlation means their historical movements had little consistent relationship. FFUT charges 0.80%/yr vs 0.95%/yr for FMF.
Performance
FFUT vs. FMF - Performance Comparison
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Returns By Period
In the year-to-date period, FFUT achieves a 12.52% return, which is significantly higher than FMF's 6.61% return.
FFUT
- 1D
- -0.94%
- 1M
- 4.47%
- 6M
- 9.16%
- YTD
- 12.52%
- 1Y
- 22.59%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 18.82%
FMF
- 1D
- -0.90%
- 1M
- 0.55%
- 6M
- 3.51%
- YTD
- 6.61%
- 1Y
- 14.03%
- 3Y*
- 5.10%
- 5Y*
- 4.37%
- 10Y*
- 2.54%
- ALL TIME*
- 1.78%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $7.87M | $4.04M | $2.05M | |
| $1.94M | $1.52M | $2.68M |
FFUT vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
FFUT Fidelity Managed Futures ETF | 12.52% | 8.58% |
FMF First Trust Managed Futures Strategy Fund | 6.61% | 9.87% |
Correlation
The correlation between FFUT and FMF is 0.38, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.38 |
Correlation (All Time) Calculated using the full available price history since Jun 5, 2025 | 0.36 |
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Return for Risk
FFUT vs. FMF — Risk / Return Rank
FFUT
FMF
FFUT vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity Managed Futures ETF (FFUT) and First Trust Managed Futures Strategy Fund (FMF). 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.
| FFUT | FMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.48 | ||
| Sortino ratioReturn per unit of downside risk | +0.60 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.27 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 4.06 | 3.13 | +0.94 |
| Martin ratioReturn relative to average drawdown | 13.81 | 8.41 | +5.41 |
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Drawdowns
FFUT vs. FMF - Drawdown Comparison
The maximum FFUT drawdown since its inception was -5.59%, smaller than the maximum FMF drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for FFUT and FMF.
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Drawdown Indicators
| FFUT | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -5.59% | -22.21% | +16.62% |
Max Drawdown (1Y)Largest decline over 1 year | -5.59% | -4.51% | -1.08% |
Max Drawdown (3Y)Largest decline over 3 years | — | -7.25% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -14.98% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -16.89% | — |
Current DrawdownCurrent decline from peak | -2.36% | -3.99% | +1.63% |
Average DrawdownAverage peak-to-trough decline | -1.12% | -9.77% | +8.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.64% | 1.67% | -0.03% |
Volatility
FFUT vs. FMF - Volatility Comparison
Fidelity Managed Futures ETF (FFUT) has a higher volatility of 3.71% compared to First Trust Managed Futures Strategy Fund (FMF) at 2.92%. This indicates that FFUT's price experiences larger fluctuations and is considered to be riskier than FMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FFUT | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.71% | 2.92% | +0.79% |
Volatility (6M)Calculated over the trailing 6-month period | 9.26% | 7.50% | +1.76% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.66% | 9.58% | +2.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.11% | 10.74% | +0.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.11% | 11.55% | -0.44% |
FFUT vs. FMF - Expense Ratio Comparison
FFUT has a 0.80% expense ratio, which is lower than FMF's 0.95% expense ratio.
Dividends
FFUT vs. FMF - Dividend Comparison
FFUT's dividend yield for the trailing twelve months is around 1.86%, less than FMF's 5.07% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FFUT Fidelity Managed Futures ETF | 1.86% | 2.09% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
FMF First Trust Managed Futures Strategy Fund | 5.07% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
Frequently Asked Questions
FFUT and FMF have a correlation of 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FFUT has higher volatility (3.71%) compared to FMF (2.92%). In terms of maximum drawdown, FFUT dropped -5.59% vs FMF's -22.21%.
On 1-year performance, FFUT leads with 22.59% vs 14.03% for FMF. On fees, FFUT is cheaper at 0.80% per year. On volatility, FMF has been the lower-risk option at 2.92%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, FFUT has performed better with a 22.59% return vs 14.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FFUT is cheaper with a 0.80% expense ratio, compared with 0.95% for FMF.
FMF has the higher dividend yield at 5.07%, compared with 1.86% for FFUT.
They also come from different issuers: Fidelity and First Trust. Their fees differ too: 0.80% for FFUT and 0.95% for FMF.
FFUT currently has the higher Sharpe Ratio (1.95 vs 1.47), 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.
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