FMF vs. FDL
Compare and contrast key facts about First Trust Managed Futures Strategy Fund (FMF) and First Trust Morningstar Dividend Leaders Index Fund (FDL).
FMF and FDL 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. FDL is a passively managed fund by First Trust that tracks the performance of the Morningstar Dividend Leaders Index. It was launched on Mar 9, 2006.
Performance
FMF vs. FDL - Performance Comparison
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FMF vs. FDL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 8.00% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -5.16% | -2.64% | 1.70% |
FDL First Trust Morningstar Dividend Leaders Index Fund | 15.49% | 14.79% | 17.98% | 2.94% | 6.66% | 26.10% | -4.30% | 24.41% | -5.99% | 12.02% |
Returns By Period
In the year-to-date period, FMF achieves a 8.00% return, which is significantly lower than FDL's 15.49% return. Over the past 10 years, FMF has underperformed FDL with an annualized return of 2.60%, while FDL has yielded a comparatively higher 11.60% annualized 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%
FDL
- 1D
- 0.43%
- 1M
- 0.01%
- YTD
- 15.49%
- 6M
- 19.42%
- 1Y
- 21.84%
- 3Y*
- 18.00%
- 5Y*
- 14.12%
- 10Y*
- 11.60%
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FMF vs. FDL - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than FDL's 0.45% expense ratio.
Return for Risk
FMF vs. FDL — Risk / Return Rank
FMF
FDL
FMF vs. FDL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and First Trust Morningstar Dividend Leaders Index Fund (FDL). 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 | FDL | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.60 | 1.47 | +0.13 |
Sortino ratioReturn per unit of downside risk | 2.29 | 2.06 | +0.23 |
Omega ratioGain probability vs. loss probability | 1.28 | 1.29 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 4.55 | 1.96 | +2.59 |
Martin ratioReturn relative to average drawdown | 9.22 | 7.63 | +1.59 |
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 | FDL | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.60 | 1.47 | +0.13 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.45 | 0.99 | -0.54 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.22 | 0.68 | -0.46 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.16 | 0.46 | -0.30 |
Correlation
The correlation between FMF and FDL is 0.11, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
FMF vs. FDL - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 5.09%, more than FDL's 3.61% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% |
FDL First Trust Morningstar Dividend Leaders Index Fund | 3.61% | 4.04% | 4.96% | 4.58% | 3.58% | 4.59% | 4.48% | 3.75% | 3.97% | 3.18% | 2.93% | 3.65% |
Drawdowns
FMF vs. FDL - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, smaller than the maximum FDL drawdown of -65.93%. Use the drawdown chart below to compare losses from any high point for FMF and FDL.
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Drawdown Indicators
| FMF | FDL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -65.93% | +43.72% |
Max Drawdown (1Y)Largest decline over 1 year | -3.47% | -11.58% | +8.11% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -16.46% | +1.48% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | -41.40% | +24.51% |
Current DrawdownCurrent decline from peak | -0.66% | -0.10% | -0.56% |
Average DrawdownAverage peak-to-trough decline | -9.99% | -9.73% | -0.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.71% | 3.10% | -1.39% |
Volatility
FMF vs. FDL - Volatility Comparison
First Trust Managed Futures Strategy Fund (FMF) has a higher volatility of 3.76% compared to First Trust Morningstar Dividend Leaders Index Fund (FDL) at 2.56%. This indicates that FMF's price experiences larger fluctuations and is considered to be riskier than FDL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | FDL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.76% | 2.56% | +1.20% |
Volatility (6M)Calculated over the trailing 6-month period | 7.41% | 8.16% | -0.75% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.94% | 14.96% | -5.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.76% | 14.31% | -3.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.83% | 17.09% | -5.26% |