FMF vs. FTLS
FMF (First Trust Managed Futures Strategy Fund) and FTLS (First Trust Long/Short Equity ETF) are both exchange-traded funds - FMF is a Hedge Fund fund actively managed by First Trust, while FTLS is a Long-Short fund actively managed by First Trust. Both are actively managed. Over the past 10 years, FMF returned 2.93%/yr vs 10.02%/yr for FTLS. At a 0.13 correlation, their price movements are largely independent. FMF charges 0.95%/yr vs 1.60%/yr for FTLS.
Performance
FMF vs. FTLS - Performance Comparison
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Returns By Period
In the year-to-date period, FMF achieves a 8.63% return, which is significantly higher than FTLS's 5.55% return. Over the past 10 years, FMF has underperformed FTLS with an annualized return of 2.93%, while FTLS has yielded a comparatively higher 10.02% annualized return.
FMF
- 1D
- 0.58%
- 1M
- -1.90%
- YTD
- 8.63%
- 6M
- 9.11%
- 1Y
- 19.91%
- 3Y*
- 6.82%
- 5Y*
- 4.57%
- 10Y*
- 2.93%
FTLS
- 1D
- 0.48%
- 1M
- 0.28%
- YTD
- 5.55%
- 6M
- 5.16%
- 1Y
- 16.53%
- 3Y*
- 14.35%
- 5Y*
- 10.26%
- 10Y*
- 10.02%
FMF vs. FTLS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 8.63% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -5.16% | -2.64% | 1.70% |
FTLS First Trust Long/Short Equity ETF | 5.55% | 9.09% | 18.80% | 16.94% | -5.56% | 19.65% | 2.56% | 16.16% | -4.81% | 14.41% |
Correlation
The correlation between FMF and FTLS is 0.18, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.18 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.08 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.15 |
Correlation (All Time) Calculated using the full available price history since Sep 10, 2014 | 0.13 |
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Return for Risk
FMF vs. FTLS — Risk / Return Rank
FMF
FTLS
FMF vs. FTLS - 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 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.
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 | FTLS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.10 | ||
| Sortino ratioReturn per unit of downside risk | +0.17 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.36 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 5.85 | 4.39 | +1.46 |
| Martin ratioReturn relative to average drawdown | 16.12 | 13.59 | +2.52 |
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Drawdowns
FMF vs. FTLS - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, which is greater than FTLS's maximum drawdown of -20.54%. Use the drawdown chart below to compare losses from any high point for FMF and FTLS.
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Drawdown Indicators
| FMF | FTLS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -20.54% | -1.67% |
Max Drawdown (1Y)Largest decline over 1 year | -3.42% | -3.79% | +0.37% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -11.69% | +4.44% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -11.69% | -3.29% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | -20.54% | +3.65% |
Current DrawdownCurrent decline from peak | -2.17% | -0.02% | -2.15% |
Average DrawdownAverage peak-to-trough decline | -9.83% | -2.69% | -7.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.24% | 1.22% | +0.02% |
Volatility
FMF vs. FTLS - Volatility Comparison
First Trust Managed Futures Strategy Fund (FMF) and First Trust Long/Short Equity ETF (FTLS) have volatilities of 2.42% and 2.41%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | FTLS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.42% | 2.41% | +0.01% |
Volatility (6M)Calculated over the trailing 6-month period | 7.22% | 5.91% | +1.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.58% | 8.37% | +1.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.74% | 10.57% | +0.17% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.65% | 11.30% | +0.35% |
FMF vs. FTLS - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is lower than FTLS's 1.60% expense ratio.
Dividends
FMF vs. FTLS - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 5.06%, more than FTLS's 0.90% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 5.06% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% | 0.00% | 0.00% |
FTLS First Trust Long/Short Equity ETF | 0.90% | 1.07% | 1.50% | 1.49% | 0.81% | 0.01% | 0.44% | 0.83% | 0.87% | 0.43% | 1.04% | 0.49% |
Frequently Asked Questions
FMF and FTLS have a correlation of 0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMF has higher volatility (2.42%) compared to FTLS (2.41%). In terms of maximum drawdown, FMF dropped -22.21% vs FTLS's -20.54%.
On 10-year performance, FTLS leads with 10.02% vs 2.93% for FMF. On fees, FMF is cheaper at 0.95% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FTLS has performed better with a 10.02% return vs 2.93%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FMF is cheaper with a 0.95% expense ratio, compared with 1.60% for FTLS.
FMF has the higher dividend yield at 5.06%, compared with 0.90% for FTLS.
FMF is categorized as Hedge Fund, while FTLS is Long-Short. Their fees differ too: 0.95% for FMF and 1.60% for FTLS.
FMF currently has the higher Sharpe Ratio (2.09 vs 1.99), 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.
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