FMF vs. ARB
Compare and contrast key facts about First Trust Managed Futures Strategy Fund (FMF) and AltShares Merger Arbitrage ETF (ARB).
FMF and ARB are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FMF is an actively managed fund by First Trust. It was launched on Aug 1, 2013. ARB is a passively managed fund by Water Island Capital Partners LP that tracks the performance of the Water Island Merger Arbitrage USD Hedged Index. It was launched on May 7, 2020.
Performance
FMF vs. ARB - Performance Comparison
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FMF vs. ARB - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 8.00% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 3.73% |
ARB AltShares Merger Arbitrage ETF | 0.86% | 6.05% | 4.07% | 3.85% | 2.67% | 3.16% | 3.78% |
Returns By Period
In the year-to-date period, FMF achieves a 8.00% return, which is significantly higher than ARB's 0.86% return.
FMF
- 1D
- 0.26%
- 1M
- 0.77%
- YTD
- 8.00%
- 6M
- 8.42%
- 1Y
- 15.86%
- 3Y*
- 7.05%
- 5Y*
- 4.85%
- 10Y*
- 2.60%
ARB
- 1D
- 0.34%
- 1M
- 0.65%
- YTD
- 0.86%
- 6M
- 1.58%
- 1Y
- 4.27%
- 3Y*
- 5.50%
- 5Y*
- 4.12%
- 10Y*
- —
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FMF vs. ARB - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than ARB's 0.87% expense ratio.
Return for Risk
FMF vs. ARB — Risk / Return Rank
FMF
ARB
FMF vs. ARB - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and AltShares Merger Arbitrage ETF (ARB). 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.
| FMF | ARB | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.60 | 1.54 | +0.06 |
Sortino ratioReturn per unit of downside risk | 2.29 | 2.23 | +0.06 |
Omega ratioGain probability vs. loss probability | 1.28 | 1.30 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 4.55 | 3.50 | +1.05 |
Martin ratioReturn relative to average drawdown | 9.22 | 17.20 | -7.97 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FMF | ARB | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.60 | 1.54 | +0.06 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.45 | 0.95 | -0.49 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.22 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.16 | 0.94 | -0.79 |
Correlation
The correlation between FMF and ARB is -0.01. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
FMF vs. ARB - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 5.09%, more than ARB's 0.43% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 5.09% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
ARB AltShares Merger Arbitrage ETF | 0.43% | 0.43% | 1.12% | 0.00% | 4.18% | 0.00% | 2.87% | 0.00% | 0.00% | 0.00% |
Drawdowns
FMF vs. ARB - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, which is greater than ARB's maximum drawdown of -5.60%. Use the drawdown chart below to compare losses from any high point for FMF and ARB.
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Drawdown Indicators
| FMF | ARB | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -5.60% | -16.61% |
Max Drawdown (1Y)Largest decline over 1 year | -3.47% | -1.20% | -2.27% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -5.60% | -9.38% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | — | — |
Current DrawdownCurrent decline from peak | -0.66% | 0.00% | -0.66% |
Average DrawdownAverage peak-to-trough decline | -9.99% | -0.96% | -9.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.71% | 0.26% | +1.45% |
Volatility
FMF vs. ARB - Volatility Comparison
First Trust Managed Futures Strategy Fund (FMF) has a higher volatility of 3.76% compared to AltShares Merger Arbitrage ETF (ARB) at 0.96%. This indicates that FMF's price experiences larger fluctuations and is considered to be riskier than ARB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | ARB | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.76% | 0.96% | +2.80% |
Volatility (6M)Calculated over the trailing 6-month period | 7.41% | 2.01% | +5.40% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.94% | 2.79% | +7.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.76% | 4.37% | +6.39% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.83% | 4.41% | +7.42% |