FMF vs. GXDW
FMF (First Trust Managed Futures Strategy Fund) and GXDW (Global X Dorsey Wright Thematic ETF) are both Systematic Trend funds. FMF is actively managed, while GXDW is passively managed. Over the past 5 years, FMF returned 4.42%/yr vs -13.25%/yr for GXDW. Their 0.08 correlation means their historical movements had little consistent relationship. FMF charges 0.95%/yr vs 0.50%/yr for GXDW.
Performance
FMF vs. GXDW - Performance Comparison
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Returns By Period
In the year-to-date period, FMF achieves a 7.57% return, which is significantly higher than GXDW's -3.37% return.
FMF
- 1D
- 0.30%
- 1M
- 1.46%
- 6M
- 5.09%
- YTD
- 7.57%
- 1Y
- 15.06%
- 3Y*
- 5.15%
- 5Y*
- 4.42%
- 10Y*
- 2.77%
- ALL TIME*
- 1.85%
GXDW
- 1D
- -1.04%
- 1M
- -8.67%
- 6M
- -7.01%
- YTD
- -3.37%
- 1Y
- -8.01%
- 3Y*
- -5.28%
- 5Y*
- -13.25%
- 10Y*
- —
- ALL TIME*
- -0.58%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.63M | $1.43M | $2.63M | |
| $66.28K | $83.18K | $192.33K |
FMF vs. GXDW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 7.57% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -1.75% |
GXDW Global X Dorsey Wright Thematic ETF | -3.37% | 3.52% | -3.55% | 10.26% | -48.08% | 3.21% | 61.07% | 4.74% |
Correlation
The correlation between FMF and GXDW is 0.24, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.24 |
Correlation (3Y) Balances recent behavior with more history. | 0.13 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.03 |
Correlation (All Time) Calculated using the full available price history since Nov 4, 2019 | 0.08 |
The correlation between FMF and GXDW shifts across timeframes, from 0.03 (5 years) to 0.24 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FMF vs. GXDW — Risk / Return Rank
FMF
GXDW
FMF vs. GXDW - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and Global X Dorsey Wright Thematic ETF (GXDW). 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 | GXDW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.84 | ||
| Sortino ratioReturn per unit of downside risk | +2.46 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 0.97 | +0.30 |
| Calmar ratioReturn relative to maximum drawdown | 3.23 | -0.34 | +3.57 |
| Martin ratioReturn relative to average drawdown | 8.80 | -0.78 | +9.58 |
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Drawdowns
FMF vs. GXDW - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, smaller than the maximum GXDW drawdown of -67.81%. Use the drawdown chart below to compare losses from any high point for FMF and GXDW.
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Drawdown Indicators
| FMF | GXDW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -67.81% | +45.60% |
Max Drawdown (1Y)Largest decline over 1 year | -4.51% | -29.14% | +24.63% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -29.14% | +21.89% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -61.17% | +46.19% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | — | — |
Current DrawdownCurrent decline from peak | -3.12% | -61.80% | +58.68% |
Average DrawdownAverage peak-to-trough decline | -9.77% | -43.41% | +33.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.65% | 12.56% | -10.91% |
Volatility
FMF vs. GXDW - Volatility Comparison
The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 3.03%, while Global X Dorsey Wright Thematic ETF (GXDW) has a volatility of 13.48%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than GXDW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | GXDW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.03% | 13.48% | -10.45% |
Volatility (6M)Calculated over the trailing 6-month period | 7.51% | 25.74% | -18.23% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.56% | 31.49% | -21.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.73% | 28.73% | -18.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.55% | 30.13% | -18.58% |
FMF vs. GXDW - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than GXDW's 0.50% expense ratio.
Dividends
FMF vs. GXDW - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 5.03%, more than GXDW's 1.55% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 5.03% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
GXDW Global X Dorsey Wright Thematic ETF | 1.55% | 1.40% | 1.08% | 1.99% | 1.48% | 1.56% | 0.48% | 0.31% | 0.00% | 0.00% |
Frequently Asked Questions
FMF and GXDW have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GXDW has higher volatility (13.48%) compared to FMF (3.03%). In terms of maximum drawdown, FMF dropped -22.21% vs GXDW's -67.81%.
On 5-year performance, FMF leads with 4.42% vs -13.25% for GXDW. On fees, GXDW is cheaper at 0.50% per year. On volatility, FMF has been the lower-risk option at 3.03%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, FMF has performed better with a 4.42% return vs -13.25%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GXDW is cheaper with a 0.50% expense ratio, compared with 0.95% for FMF.
FMF has the higher dividend yield at 5.03%, compared with 1.55% for GXDW.
They also come from different issuers: First Trust and Global X. Their fees differ too: 0.95% for FMF and 0.50% for GXDW.
FMF currently has the higher Sharpe Ratio (1.53 vs -0.31), 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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