FMF vs. FVC

Last updated Jun 24, 2026

FMF (First Trust Managed Futures Strategy Fund) and FVC (First Trust Dorsey Wright Dynamic Focus 5 ETF) are both Hedge Fund funds from First Trust. FMF is actively managed, while FVC is passively managed. Over the past 10 years, FMF returned 2.81%/yr vs 8.56%/yr for FVC. At a 0.18 correlation, their price movements are largely independent. FMF charges 0.95%/yr vs 0.71%/yr for FVC.

Performance

FMF vs. FVC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Managed Futures Strategy Fund (FMF) and First Trust Dorsey Wright Dynamic Focus 5 ETF (FVC). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FMF achieves a 7.37% return, which is significantly lower than FVC's 14.93% return. Over the past 10 years, FMF has underperformed FVC with an annualized return of 2.81%, while FVC has yielded a comparatively higher 8.56% annualized return.

FMF

• 1D: -1.16%
• 1M: -3.03%
• YTD: 7.37%
• 6M: 7.60%
• 1Y: 18.26%
• 3Y*: 6.41%
• 5Y*: 4.13%
• 10Y*: 2.81%

FVC

• 1D: -1.94%
• 1M: 1.52%
• YTD: 14.93%
• 6M: 13.55%
• 1Y: 20.98%
• 3Y*: 9.83%
• 5Y*: 4.43%
• 10Y*: 8.56%

*Multi-year figures are annualized to reflect compound growth (CAGR)

FMF vs. FVC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FMF First Trust Managed Futures Strategy Fund	7.37%	4.54%	8.17%	-0.18%	5.24%	3.57%	5.69%	-5.16%	-2.64%	1.70%
FVC First Trust Dorsey Wright Dynamic Focus 5 ETF	14.93%	2.12%	12.43%	-4.59%	-6.03%	21.92%	12.71%	19.28%	-8.60%	19.74%

Correlation

The correlation between FMF and FVC is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.23
Correlation (3Y) Calculated over the trailing 3-year period	0.20
Correlation (5Y) Calculated over the trailing 5-year period	0.14
Correlation (10Y) Calculated over the trailing 10-year period	0.18
Correlation (All Time) Calculated using the full available price history since Mar 18, 2016	0.18

Return for Risk

FMF vs. FVC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FMF

FMF Risk / Return Rank: 70
FMF Sharpe Ratio Rank: 60
FMF Sortino Ratio Rank: 63
FMF Omega Ratio Rank: 58
FMF Calmar Ratio Rank: 90
FMF Martin Ratio Rank: 79

FVC

FVC Risk / Return Rank: 42
FVC Sharpe Ratio Rank: 45
FVC Sortino Ratio Rank: 42
FVC Omega Ratio Rank: 50
FVC Calmar Ratio Rank: 33
FVC Martin Ratio Rank: 41

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FMF vs. FVC - 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 Dorsey Wright Dynamic Focus 5 ETF (FVC). 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	FVC	Difference
Sharpe ratio: Return per unit of total volatility	1.90	1.47	+0.43
Sortino ratio: Return per unit of downside risk	2.75	2.03	+0.73
Omega ratio: Gain probability vs. loss probability	1.34	1.29	+0.04
Calmar ratio: Return relative to maximum drawdown	5.36	1.58	+3.78
Martin ratio: Return relative to average drawdown	14.57	6.15	+8.42

FMF vs. FVC - Sharpe Ratio Comparison

The current FMF Sharpe Ratio is 1.90, which is comparable to the FVC Sharpe Ratio of 1.47. The chart below compares the historical Sharpe Ratios of FMF and FVC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FMF vs. FVC - Drawdown Comparison

The maximum FMF drawdown since its inception was -22.21%, smaller than the maximum FVC drawdown of -30.96%. Use the drawdown chart below to compare losses from any high point for FMF and FVC.

Drawdown Indicators

	FMF	FVC	Difference
Max Drawdown Largest peak-to-trough decline	-22.21%	-30.96%	+8.75%
Max Drawdown (1Y) Largest decline over 1 year	-3.42%	-13.32%	+9.90%
Max Drawdown (3Y) Largest decline over 3 years	-7.25%	-14.75%	+7.50%
Max Drawdown (5Y) Largest decline over 5 years	-14.98%	-22.62%	+7.64%
Max Drawdown (10Y) Largest decline over 10 years	-16.89%	-30.96%	+14.07%
Current Drawdown Current decline from peak	-3.30%	-2.12%	-1.18%
Average Drawdown Average peak-to-trough decline	-9.83%	-7.03%	-2.80%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.26%	3.42%	-2.16%

Volatility

FMF vs. FVC - Volatility Comparison

The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 2.64%, while First Trust Dorsey Wright Dynamic Focus 5 ETF (FVC) has a volatility of 6.85%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than FVC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FMF	FVC	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.64%	6.85%	-4.21%
Volatility (6M) Calculated over the trailing 6-month period	7.32%	13.70%	-6.38%
Volatility (1Y) Calculated over the trailing 1-year period	9.64%	14.35%	-4.71%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.75%	16.49%	-5.74%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.66%	17.68%	-6.02%

FMF vs. FVC - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is higher than FVC's 0.71% expense ratio.

Dividends

FMF vs. FVC - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 5.12%, more than FVC's 1.95% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
FMF First Trust Managed Futures Strategy Fund	5.12%	5.60%	4.85%	3.09%	0.41%	3.29%	0.02%	1.05%	1.56%	0.82%	0.00%
FVC First Trust Dorsey Wright Dynamic Focus 5 ETF	1.95%	2.57%	0.78%	1.89%	1.50%	0.09%	0.21%	1.07%	0.24%	0.63%	0.67%

Frequently Asked Questions

Can I hold both FMF and FVC in my portfolio?

FMF and FVC have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FMF or FVC?

FVC has higher volatility (6.85%) compared to FMF (2.64%). In terms of maximum drawdown, FMF dropped -22.21% vs FVC's -30.96%.

Which ETF is better, FMF or FVC?

On 10-year performance, FVC leads with 8.56% vs 2.81% for FMF. On fees, FVC is cheaper at 0.71% per year. On volatility, FMF has been the lower-risk option at 2.64%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FMF or FVC?

Over the 10-year period, FVC has performed better with a 8.56% return vs 2.81%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FMF or FVC?

FVC is cheaper with a 0.71% expense ratio, compared with 0.95% for FMF.

Which ETF pays a higher dividend yield, FMF or FVC?

FMF has the higher dividend yield at 5.12%, compared with 1.95% for FVC.

What is the main difference between FMF and FVC?

Their fees differ too: 0.95% for FMF and 0.71% for FVC.

Which has better risk-adjusted returns?

FMF currently has the higher Sharpe Ratio (1.90 vs 1.47), 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.