FMF vs. FTLS
Compare and contrast key facts about First Trust Managed Futures Strategy Fund (FMF) and First Trust Long/Short Equity ETF (FTLS).
FMF and FTLS 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. FTLS is an actively managed fund by First Trust. It was launched on Sep 9, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FMF or FTLS.
Key characteristics
| FMF | FTLS | |
|---|---|---|
| YTD Return | 6.14% | 6.32% |
| 1Y Return | 4.69% | 18.66% |
| 3Y Return (Ann) | 2.54% | 9.14% |
| 5Y Return (Ann) | 3.28% | 9.17% |
| Sharpe Ratio | 0.69 | 1.96 |
| Daily Std Dev | 8.08% | 9.42% |
| Max Drawdown | -20.32% | -20.53% |
| Current Drawdown | -6.53% | -3.19% |
Correlation
The correlation between FMF and FTLS is 0.13, 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.
Performance
FMF vs. FTLS - Performance Comparison
The year-to-date returns for both investments are quite close, with FMF having a 6.14% return and FTLS slightly higher at 6.32%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FMF vs. FTLS - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is lower than FTLS's 1.60% expense ratio.
Risk-Adjusted Performance
FMF vs. FTLS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and First Trust Long/Short Equity ETF (FTLS). 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.
Dividends
FMF vs. FTLS - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 3.07%, more than FTLS's 1.40% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 3.07% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% | 0.00% | 0.00% | 2.43% | 2.38% |
FTLS First Trust Long/Short Equity ETF | 1.40% | 1.49% | 0.81% | 0.01% | 0.44% | 0.83% | 0.87% | 0.43% | 1.04% | 0.49% | 0.51% | 0.00% |
Drawdowns
FMF vs. FTLS - Drawdown Comparison
The maximum FMF drawdown since its inception was -20.32%, roughly equal to the maximum FTLS drawdown of -20.53%. Use the drawdown chart below to compare losses from any high point for FMF and FTLS. For additional features, visit the drawdowns tool.
Volatility
FMF vs. FTLS - Volatility Comparison
The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 1.84%, while First Trust Long/Short Equity ETF (FTLS) has a volatility of 3.51%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than FTLS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.