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

Key characteristics


FMFFTLS
YTD Return5.65%9.08%
1Y Return2.56%21.27%
3Y Return (Ann)2.04%9.57%
5Y Return (Ann)3.49%10.23%
Sharpe Ratio0.542.27
Daily Std Dev7.61%9.60%
Max Drawdown-20.32%-20.53%
Current Drawdown-6.96%-0.68%

Correlation

-0.50.00.51.00.1

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

In the year-to-date period, FMF achieves a 5.65% return, which is significantly lower than FTLS's 9.08% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%20.00%40.00%60.00%80.00%100.00%120.00%December2024FebruaryMarchAprilMay
12.07%
120.38%
FMF
FTLS

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First Trust Managed Futures Strategy Fund

First Trust Long/Short Equity ETF

FMF vs. FTLS - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is lower than FTLS's 1.60% expense ratio.


FTLS
First Trust Long/Short Equity ETF
Expense ratio chart for FTLS: current value at 1.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.60%
Expense ratio chart for FMF: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

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.


FMF
Sharpe ratio
The chart of Sharpe ratio for FMF, currently valued at 0.54, compared to the broader market0.002.004.006.000.54
Sortino ratio
The chart of Sortino ratio for FMF, currently valued at 0.80, compared to the broader market0.005.0010.000.80
Omega ratio
The chart of Omega ratio for FMF, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.10
Calmar ratio
The chart of Calmar ratio for FMF, currently valued at 0.34, compared to the broader market0.005.0010.0015.000.34
Martin ratio
The chart of Martin ratio for FMF, currently valued at 1.49, compared to the broader market0.0020.0040.0060.0080.00100.001.49
FTLS
Sharpe ratio
The chart of Sharpe ratio for FTLS, currently valued at 2.27, compared to the broader market0.002.004.006.002.27
Sortino ratio
The chart of Sortino ratio for FTLS, currently valued at 3.27, compared to the broader market0.005.0010.003.27
Omega ratio
The chart of Omega ratio for FTLS, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for FTLS, currently valued at 5.17, compared to the broader market0.005.0010.0015.005.17
Martin ratio
The chart of Martin ratio for FTLS, currently valued at 15.85, compared to the broader market0.0020.0040.0060.0080.00100.0015.85

FMF vs. FTLS - Sharpe Ratio Comparison

The current FMF Sharpe Ratio is 0.54, which is lower than the FTLS Sharpe Ratio of 2.27. The chart below compares the 12-month rolling Sharpe Ratio of FMF and FTLS.


Rolling 12-month Sharpe Ratio0.001.002.003.00December2024FebruaryMarchAprilMay
0.54
2.27
FMF
FTLS

Dividends

FMF vs. FTLS - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 3.08%, more than FTLS's 1.37% yield.


TTM20232022202120202019201820172016201520142013
FMF
First Trust Managed Futures Strategy Fund
3.08%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
1.37%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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-6.96%
-0.68%
FMF
FTLS

Volatility

FMF vs. FTLS - Volatility Comparison

The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 1.94%, while First Trust Long/Short Equity ETF (FTLS) has a volatility of 2.89%. 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.


1.00%2.00%3.00%4.00%5.00%December2024FebruaryMarchAprilMay
1.94%
2.89%
FMF
FTLS