FMF vs. FVC
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 3.17%/yr vs 8.62%/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
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Returns By Period
In the year-to-date period, FMF achieves a 10.96% return, which is significantly lower than FVC's 17.30% return. Over the past 10 years, FMF has underperformed FVC with an annualized return of 3.17%, while FVC has yielded a comparatively higher 8.62% 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%
FVC
- 1D
- 1.40%
- 1M
- 11.30%
- YTD
- 17.30%
- 6M
- 17.97%
- 1Y
- 23.41%
- 3Y*
- 10.91%
- 5Y*
- 4.98%
- 10Y*
- 8.62%
FMF vs. FVC - 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% |
FVC First Trust Dorsey Wright Dynamic Focus 5 ETF | 17.30% | 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 0.19, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
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 21, 2016 | 0.18 |
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Return for Risk
FMF vs. FVC — Risk / Return Rank
FMF
FVC
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.
| FMF | FVC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.49 | ||
| Sortino ratioReturn per unit of downside risk | +0.76 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.37 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 6.52 | 1.77 | +4.76 |
| Martin ratioReturn relative to average drawdown | 18.49 | 6.94 | +11.55 |
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 | FVC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.31 | 1.82 | +0.49 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.43 | 0.31 | +0.12 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.27 | 0.49 | -0.22 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.17 | 0.50 | -0.33 |
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.
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Drawdown Indicators
| FMF | FVC | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | -0.07% | 0.00% | -0.07% |
Average DrawdownAverage peak-to-trough decline | -9.86% | -7.06% | -2.80% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.20% | 3.38% | -2.18% |
Volatility
FMF vs. FVC - Volatility Comparison
The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 1.89%, while First Trust Dorsey Wright Dynamic Focus 5 ETF (FVC) has a volatility of 4.29%. 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.
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Volatility by Period
| FMF | FVC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.89% | 4.29% | -2.40% |
Volatility (6M)Calculated over the trailing 6-month period | 7.11% | 12.37% | -5.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.66% | 12.94% | -3.28% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.74% | 16.30% | -5.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.72% | 17.61% | -5.89% |
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 4.96%, more than FVC's 1.92% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
FVC First Trust Dorsey Wright Dynamic Focus 5 ETF | 1.92% | 2.57% | 0.78% | 1.89% | 1.50% | 0.09% | 0.21% | 1.07% | 0.24% | 0.63% | 0.67% |
Frequently Asked Questions
FMF and FVC have a correlation of 0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FVC has higher volatility (4.29%) compared to FMF (1.89%). In terms of maximum drawdown, FMF dropped -22.21% vs FVC's -30.96%.
On 10-year performance, FVC leads with 8.62% vs 3.17% for FMF. On fees, FVC is cheaper at 0.71% per year. On volatility, FMF has been the lower-risk option at 1.89%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FVC has performed better with a 8.62% return vs 3.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FVC is cheaper with a 0.71% expense ratio, compared with 0.95% for FMF.
FMF has the higher dividend yield at 4.96%, compared with 1.92% for FVC.
Their fees differ too: 0.95% for FMF and 0.71% for FVC.
FMF currently has the higher Sharpe Ratio (2.31 vs 1.82), 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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