FMF vs. FTSD
FMF (First Trust Managed Futures Strategy Fund) and FTSD (Franklin Short Duration U.S. Government ETF) are both exchange-traded funds - FMF is a Hedge Fund fund actively managed by First Trust, while FTSD is a Mortgage Backed Securities fund actively managed by Franklin Templeton. Both are actively managed. Over the past 10 years, FMF returned 3.17%/yr vs 2.05%/yr for FTSD. At a correlation of -0.05, they often move in opposite directions. FMF charges 0.95%/yr vs 0.25%/yr for FTSD.
Performance
FMF vs. FTSD - Performance Comparison
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Returns By Period
In the year-to-date period, FMF achieves a 10.96% return, which is significantly higher than FTSD's 0.80% return. Over the past 10 years, FMF has outperformed FTSD with an annualized return of 3.17%, while FTSD has yielded a comparatively lower 2.05% annualized return.
FMF
- 1D
- 0.33%
- 1M
- 1.08%
- YTD
- 10.96%
- 6M
- 11.47%
- 1Y
- 22.22%
- 3Y*
- 6.78%
- 5Y*
- 4.62%
- 10Y*
- 3.17%
FTSD
- 1D
- -0.12%
- 1M
- 0.17%
- YTD
- 0.80%
- 6M
- 1.30%
- 1Y
- 4.31%
- 3Y*
- 4.98%
- 5Y*
- 2.46%
- 10Y*
- 2.05%
FMF vs. FTSD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 10.96% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -5.16% | -2.64% | 1.70% |
FTSD Franklin Short Duration U.S. Government ETF | 0.80% | 5.66% | 5.20% | 4.84% | -3.13% | -0.90% | 3.13% | 2.40% | 1.64% | 0.63% |
Correlation
The correlation between FMF and FTSD is -0.20, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.20 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.13 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.12 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.07 |
Correlation (All Time) Calculated using the full available price history since Nov 6, 2013 | -0.05 |
The correlation between FMF and FTSD shifts across timeframes, from -0.20 (1 year) to -0.05 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
FMF vs. FTSD — Risk / Return Rank
FMF
FTSD
FMF vs. FTSD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and Franklin Short Duration U.S. Government ETF (FTSD). 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 | FTSD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.99 | ||
| Sortino ratioReturn per unit of downside risk | -1.97 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.69 | -0.27 |
| Calmar ratioReturn relative to maximum drawdown | 6.52 | 9.59 | -3.07 |
| Martin ratioReturn relative to average drawdown | 18.49 | 38.36 | -19.88 |
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 | FTSD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.31 | 3.30 | -0.99 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.43 | 1.33 | -0.90 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.27 | 1.15 | -0.88 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.17 | 1.04 | -0.87 |
Drawdowns
FMF vs. FTSD - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, which is greater than FTSD's maximum drawdown of -5.32%. Use the drawdown chart below to compare losses from any high point for FMF and FTSD.
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Drawdown Indicators
| FMF | FTSD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -5.32% | -16.89% |
Max Drawdown (1Y)Largest decline over 1 year | -3.42% | -0.45% | -2.97% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -0.93% | -6.32% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -5.04% | -9.94% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | -5.32% | -11.57% |
Current DrawdownCurrent decline from peak | -0.07% | -0.12% | +0.05% |
Average DrawdownAverage peak-to-trough decline | -9.86% | -0.60% | -9.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.20% | 0.11% | +1.09% |
Volatility
FMF vs. FTSD - Volatility Comparison
First Trust Managed Futures Strategy Fund (FMF) has a higher volatility of 1.89% compared to Franklin Short Duration U.S. Government ETF (FTSD) at 0.51%. This indicates that FMF's price experiences larger fluctuations and is considered to be riskier than FTSD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | FTSD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.89% | 0.51% | +1.38% |
Volatility (6M)Calculated over the trailing 6-month period | 7.11% | 1.03% | +6.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.66% | 1.31% | +8.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.74% | 1.85% | +8.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.72% | 1.79% | +9.93% |
FMF vs. FTSD - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than FTSD's 0.25% expense ratio.
Dividends
FMF vs. FTSD - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 4.96%, more than FTSD's 4.50% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 4.96% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% | 0.00% | 0.00% |
FTSD Franklin Short Duration U.S. Government ETF | 4.50% | 4.67% | 4.75% | 4.14% | 1.73% | 1.01% | 1.54% | 2.90% | 2.63% | 2.24% | 1.92% | 1.52% |
Frequently Asked Questions
FMF and FTSD have a correlation of -0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMF has higher volatility (1.89%) compared to FTSD (0.51%). In terms of maximum drawdown, FMF dropped -22.21% vs FTSD's -5.32%.
On 10-year performance, FMF leads with 3.17% vs 2.05% for FTSD. On fees, FTSD is cheaper at 0.25% per year. On volatility, FTSD has been the lower-risk option at 0.51%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FMF has performed better with a 3.17% return vs 2.05%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FTSD is cheaper with a 0.25% expense ratio, compared with 0.95% for FMF.
FMF has the higher dividend yield at 4.96%, compared with 4.50% for FTSD.
FMF is categorized as Hedge Fund, while FTSD is Mortgage Backed Securities. They also come from different issuers: First Trust and Franklin Templeton. Their fees differ too: 0.95% for FMF and 0.25% for FTSD.
FTSD currently has the higher Sharpe Ratio (3.30 vs 2.31), 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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