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

Key characteristics


FMFGLD
YTD Return5.65%12.95%
1Y Return2.56%19.82%
3Y Return (Ann)2.04%6.67%
5Y Return (Ann)3.49%12.23%
10Y Return (Ann)0.81%5.90%
Sharpe Ratio0.541.48
Daily Std Dev7.61%12.65%
Max Drawdown-20.32%-45.56%
Current Drawdown-6.96%-3.85%

Correlation

-0.50.00.51.00.0

The correlation between FMF and GLD is 0.02, 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. GLD - Performance Comparison

In the year-to-date period, FMF achieves a 5.65% return, which is significantly lower than GLD's 12.95% return. Over the past 10 years, FMF has underperformed GLD with an annualized return of 0.81%, while GLD has yielded a comparatively higher 5.90% annualized 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%December2024FebruaryMarchAprilMay
13.00%
71.77%
FMF
GLD

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First Trust Managed Futures Strategy Fund

SPDR Gold Trust

FMF vs. GLD - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is higher than GLD's 0.40% expense ratio.


FMF
First Trust Managed Futures Strategy Fund
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%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

FMF vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and SPDR Gold Trust (GLD). 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
GLD
Sharpe ratio
The chart of Sharpe ratio for GLD, currently valued at 1.48, compared to the broader market0.002.004.006.001.48
Sortino ratio
The chart of Sortino ratio for GLD, currently valued at 2.19, compared to the broader market0.005.0010.002.19
Omega ratio
The chart of Omega ratio for GLD, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.27
Calmar ratio
The chart of Calmar ratio for GLD, currently valued at 1.44, compared to the broader market0.005.0010.0015.001.44
Martin ratio
The chart of Martin ratio for GLD, currently valued at 7.07, compared to the broader market0.0020.0040.0060.0080.00100.007.07

FMF vs. GLD - Sharpe Ratio Comparison

The current FMF Sharpe Ratio is 0.54, which is lower than the GLD Sharpe Ratio of 1.48. The chart below compares the 12-month rolling Sharpe Ratio of FMF and GLD.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00December2024FebruaryMarchAprilMay
0.54
1.48
FMF
GLD

Dividends

FMF vs. GLD - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 3.08%, while GLD has not paid dividends to shareholders.


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%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FMF vs. GLD - Drawdown Comparison

The maximum FMF drawdown since its inception was -20.32%, smaller than the maximum GLD drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for FMF and GLD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-6.96%
-3.85%
FMF
GLD

Volatility

FMF vs. GLD - Volatility Comparison

The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 1.94%, while SPDR Gold Trust (GLD) has a volatility of 4.99%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than GLD 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%
4.99%
FMF
GLD