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FMF vs. CTA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FMF and CTA 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.


-0.50.00.51.0
Correlation: -0.0

Performance

FMF vs. CTA - Performance Comparison

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

0.00%10.00%20.00%30.00%40.00%NovemberDecember2025FebruaryMarchApril
-1.74%
35.47%
FMF
CTA

Key characteristics

Sharpe Ratio

FMF:

-0.49

CTA:

0.71

Sortino Ratio

FMF:

-0.63

CTA:

1.11

Omega Ratio

FMF:

0.93

CTA:

1.13

Calmar Ratio

FMF:

-0.41

CTA:

1.04

Martin Ratio

FMF:

-1.17

CTA:

1.98

Ulcer Index

FMF:

3.34%

CTA:

4.52%

Daily Std Dev

FMF:

7.97%

CTA:

12.61%

Max Drawdown

FMF:

-20.32%

CTA:

-18.07%

Current Drawdown

FMF:

-8.53%

CTA:

-5.94%

Returns By Period

In the year-to-date period, FMF achieves a -3.97% return, which is significantly lower than CTA's 1.88% return.


FMF

YTD

-3.97%

1M

-1.52%

6M

0.29%

1Y

-4.28%

5Y*

3.28%

10Y*

0.20%

CTA

YTD

1.88%

1M

-3.84%

6M

10.56%

1Y

7.27%

5Y*

N/A

10Y*

N/A

*Annualized

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FMF vs. CTA - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is higher than CTA's 0.78% expense ratio.


Expense ratio chart for FMF: current value is 0.95%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FMF: 0.95%
Expense ratio chart for CTA: current value is 0.78%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
CTA: 0.78%

Risk-Adjusted Performance

FMF vs. CTA — Risk-Adjusted Performance Rank

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

FMF
The Risk-Adjusted Performance Rank of FMF is 44
Overall Rank
The Sharpe Ratio Rank of FMF is 55
Sharpe Ratio Rank
The Sortino Ratio Rank of FMF is 44
Sortino Ratio Rank
The Omega Ratio Rank of FMF is 55
Omega Ratio Rank
The Calmar Ratio Rank of FMF is 44
Calmar Ratio Rank
The Martin Ratio Rank of FMF is 44
Martin Ratio Rank

CTA
The Risk-Adjusted Performance Rank of CTA is 7070
Overall Rank
The Sharpe Ratio Rank of CTA is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of CTA is 7171
Sortino Ratio Rank
The Omega Ratio Rank of CTA is 6363
Omega Ratio Rank
The Calmar Ratio Rank of CTA is 8383
Calmar Ratio Rank
The Martin Ratio Rank of CTA is 6060
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FMF vs. CTA - Risk-Adjusted Performance Comparison

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


The chart of Sharpe ratio for FMF, currently valued at -0.49, compared to the broader market-1.000.001.002.003.004.00
FMF: -0.49
CTA: 0.71
The chart of Sortino ratio for FMF, currently valued at -0.63, compared to the broader market-2.000.002.004.006.008.00
FMF: -0.63
CTA: 1.11
The chart of Omega ratio for FMF, currently valued at 0.93, compared to the broader market0.501.001.502.002.50
FMF: 0.93
CTA: 1.13
The chart of Calmar ratio for FMF, currently valued at -0.41, compared to the broader market0.002.004.006.008.0010.0012.00
FMF: -0.41
CTA: 1.04
The chart of Martin ratio for FMF, currently valued at -1.17, compared to the broader market0.0020.0040.0060.00
FMF: -1.17
CTA: 1.98

The current FMF Sharpe Ratio is -0.49, which is lower than the CTA Sharpe Ratio of 0.71. The chart below compares the historical Sharpe Ratios of FMF and CTA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.502.002.50NovemberDecember2025FebruaryMarchApril
-0.49
0.71
FMF
CTA

Dividends

FMF vs. CTA - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 4.84%, more than CTA's 4.62% yield.


TTM20242023202220212020201920182017201620152014
FMF
First Trust Managed Futures Strategy Fund
4.84%4.84%3.09%0.41%3.29%0.02%1.05%1.56%0.82%0.00%0.00%2.43%
CTA
Simplify Managed Futures Strategy ETF
4.62%4.80%7.78%6.58%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FMF vs. CTA - Drawdown Comparison

The maximum FMF drawdown since its inception was -20.32%, which is greater than CTA's maximum drawdown of -18.07%. Use the drawdown chart below to compare losses from any high point for FMF and CTA. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-8.53%
-5.94%
FMF
CTA

Volatility

FMF vs. CTA - Volatility Comparison

The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 2.90%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 4.60%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than CTA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2025FebruaryMarchApril
2.90%
4.60%
FMF
CTA