FMF vs. ASMF

Last updated Aug 2, 2026

FMF (First Trust Managed Futures Strategy Fund) and ASMF (Virtus AlphaSimplex Managed Futures ETF) are both Systematic Trend funds. Both are actively managed. Over the past year, FMF returned 15.06% vs 16.60% for ASMF. Their 0.56 correlation means they have sometimes moved together and sometimes differently. FMF charges 0.95%/yr vs 0.80%/yr for ASMF.

Performance

FMF vs. ASMF - Performance Comparison

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

Returns By Period

The year-to-date returns for both investments are quite close, with FMF having a 7.57% return and ASMF slightly higher at 7.73%.

FMF

• 1D: 0.30%
• 1M: 1.46%
• 6M: 5.09%
• YTD: 7.57%
• 1Y: 15.06%
• 3Y*: 5.15%
• 5Y*: 4.42%
• 10Y*: 2.77%
• ALL TIME*: 1.85%

ASMF

• 1D: 0.77%
• 1M: 1.36%
• 6M: 3.31%
• YTD: 7.73%
• 1Y: 16.60%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 2.24%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ASMF Virtus AlphaSimplex Managed Futures ETF	$131.02K	$83.29K	$68.36K
FMF First Trust Managed Futures Strategy Fund	$1.63M	$1.43M	$2.63M

FMF vs. ASMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024
FMF First Trust Managed Futures Strategy Fund	7.57%	4.54%	1.65%
ASMF Virtus AlphaSimplex Managed Futures ETF	7.73%	1.16%	-3.65%

Correlation

The correlation between FMF and ASMF is 0.58, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.58
Correlation (All Time) Calculated using the full available price history since May 16, 2024	0.56

The correlation between FMF and ASMF has been stable across timeframes, ranging from 0.56 to 0.58 - a consistent structural relationship.

Return for Risk

FMF vs. ASMF — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

FMF

FMF Risk / Return Rank: 71
FMF Sharpe Ratio Rank: 67
FMF Sortino Ratio Rank: 68
FMF Omega Ratio Rank: 65
FMF Calmar Ratio Rank: 85
FMF Martin Ratio Rank: 71

ASMF

ASMF Risk / Return Rank: 65
ASMF Sharpe Ratio Rank: 61
ASMF Sortino Ratio Rank: 58
ASMF Omega Ratio Rank: 61
ASMF Calmar Ratio Rank: 85
ASMF Martin Ratio Rank: 62

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

FMF vs. ASMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and Virtus AlphaSimplex Managed Futures ETF (ASMF). 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.

	FMF	ASMF	Difference
Sharpe ratio: Return per unit of total volatility	1.53	1.43	+0.10
Sortino ratio: Return per unit of downside risk	2.22	1.99	+0.24
Omega ratio: Gain probability vs. loss probability	1.28	1.27	+0.01
Calmar ratio: Return relative to maximum drawdown	3.23	3.26	-0.03
Martin ratio: Return relative to average drawdown	8.80	7.54	+1.26

FMF vs. ASMF - Sharpe Ratio Comparison

The current FMF Sharpe Ratio is 1.53, which is comparable to the ASMF Sharpe Ratio of 1.43. The chart below compares the historical Sharpe Ratios of FMF and ASMF, 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

FMF vs. ASMF - Drawdown Comparison

The maximum FMF drawdown since its inception was -22.21%, which is greater than ASMF's maximum drawdown of -15.31%. Use the drawdown chart below to compare losses from any high point for FMF and ASMF.

Drawdown Indicators

	FMF	ASMF	Difference
Max Drawdown Largest peak-to-trough decline	-22.21%	-15.31%	-6.90%
Max Drawdown (1Y) Largest decline over 1 year	-4.51%	-5.02%	+0.51%
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 Drawdown Current decline from peak	-3.12%	-2.83%	-0.29%
Average Drawdown Average peak-to-trough decline	-9.77%	-7.27%	-2.50%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.65%	2.17%	-0.52%

Volatility

FMF vs. ASMF - Volatility Comparison

First Trust Managed Futures Strategy Fund (FMF) has a higher volatility of 3.03% compared to Virtus AlphaSimplex Managed Futures ETF (ASMF) at 2.26%. This indicates that FMF's price experiences larger fluctuations and is considered to be riskier than ASMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FMF	ASMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.03%	2.26%	+0.77%
Volatility (6M) Calculated over the trailing 6-month period	7.51%	9.19%	-1.68%
Volatility (1Y) Calculated over the trailing 1-year period	9.56%	11.49%	-1.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.73%	10.90%	-0.17%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.55%	10.90%	+0.65%

FMF vs. ASMF - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is higher than ASMF's 0.80% expense ratio.

Dividends

FMF vs. ASMF - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 5.03%, more than ASMF's 0.20% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
ASMF Virtus AlphaSimplex Managed Futures ETF	0.20%	0.22%	1.66%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
FMF First Trust Managed Futures Strategy Fund	5.03%	5.60%	4.85%	3.09%	0.41%	3.29%	0.02%	1.05%	1.56%	0.82%

Frequently Asked Questions

Can I hold both FMF and ASMF in my portfolio?

FMF and ASMF have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FMF or ASMF?

FMF has higher volatility (3.03%) compared to ASMF (2.26%). In terms of maximum drawdown, FMF dropped -22.21% vs ASMF's -15.31%.

Which ETF is better, FMF or ASMF?

On 1-year performance, ASMF leads with 16.60% vs 15.06% for FMF. On fees, ASMF is cheaper at 0.80% per year. On volatility, ASMF has been the lower-risk option at 2.26%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FMF or ASMF?

Over the 1-year period, ASMF has performed better with a 16.60% return vs 15.06%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FMF or ASMF?

ASMF is cheaper with a 0.80% expense ratio, compared with 0.95% for FMF.

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

FMF has the higher dividend yield at 5.03%, compared with 0.20% for ASMF.

What is the main difference between FMF and ASMF?

They also come from different issuers: First Trust and Virtus. Their fees differ too: 0.95% for FMF and 0.80% for ASMF.

Which has better risk-adjusted returns?

FMF currently has the higher Sharpe Ratio (1.53 vs 1.43), 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.