FMF vs. JDJIX

Last updated Jun 4, 2026

FMF (First Trust Managed Futures Strategy Fund) and JDJIX (JHancock Diversified Macro Fund) are both funds - FMF is a Hedge Fund fund actively managed by First Trust, while JDJIX is a Macro Trading fund managed by John Hancock. Over the past 5 years, FMF returned 4.62%/yr vs 3.14%/yr for JDJIX. At a 0.47 correlation, their price movements are largely independent. FMF charges 0.95%/yr vs 1.39%/yr for JDJIX.

Performance

FMF vs. JDJIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Managed Futures Strategy Fund (FMF) and JHancock Diversified Macro Fund (JDJIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with FMF having a 10.96% return and JDJIX slightly higher at 11.06%.

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%

JDJIX

• 1D: 0.33%
• 1M: 1.99%
• YTD: 11.06%
• 6M: 10.34%
• 1Y: 8.28%
• 3Y*: 1.80%
• 5Y*: 3.14%
• 10Y*: —

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

FMF vs. JDJIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
FMF First Trust Managed Futures Strategy Fund	10.96%	4.54%	8.17%	-0.18%	5.24%	3.57%	5.69%	-2.77%
JDJIX JHancock Diversified Macro Fund	11.06%	-7.68%	2.59%	2.77%	12.26%	-2.19%	-2.24%	1.59%

Correlation

The correlation between FMF and JDJIX is 0.50, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.50
Correlation (3Y) Calculated over the trailing 3-year period	0.47
Correlation (5Y) Calculated over the trailing 5-year period	0.48
Correlation (All Time) Calculated using the full available price history since Jul 30, 2019	0.47

The correlation between FMF and JDJIX has been stable across timeframes, ranging from 0.47 to 0.50 - a consistent structural relationship.

Return for Risk

FMF vs. JDJIX — Risk / Return Rank

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

FMF

FMF Risk / Return Rank: 78
FMF Sharpe Ratio Rank: 70
FMF Sortino Ratio Rank: 72
FMF Omega Ratio Rank: 68
FMF Calmar Ratio Rank: 93
FMF Martin Ratio Rank: 86

JDJIX

JDJIX Risk / Return Rank: 19
JDJIX Sharpe Ratio Rank: 21
JDJIX Sortino Ratio Rank: 20
JDJIX Omega Ratio Rank: 21
JDJIX Calmar Ratio Rank: 18
JDJIX Martin Ratio Rank: 14

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. JDJIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and JHancock Diversified Macro Fund (JDJIX). 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	JDJIX	Difference
Sharpe ratio: Return per unit of total volatility	2.31	1.30	+1.01
Sortino ratio: Return per unit of downside risk	3.31	1.86	+1.45
Omega ratio: Gain probability vs. loss probability	1.42	1.24	+0.18
Calmar ratio: Return relative to maximum drawdown	6.52	1.54	+4.98
Martin ratio: Return relative to average drawdown	18.49	4.09	+14.40
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FMF vs. JDJIX - Sharpe Ratio Comparison

The current FMF Sharpe Ratio is 2.31, which is higher than the JDJIX Sharpe Ratio of 1.30. The chart below compares the historical Sharpe Ratios of FMF and JDJIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FMF	JDJIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.31	1.30	+1.01
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.43	0.36	+0.08
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.27	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.17	0.27	-0.10

Drawdowns

FMF vs. JDJIX - Drawdown Comparison

The maximum FMF drawdown since its inception was -22.21%, which is greater than JDJIX's maximum drawdown of -19.58%. Use the drawdown chart below to compare losses from any high point for FMF and JDJIX.

Drawdown Indicators

	FMF	JDJIX	Difference
Max Drawdown Largest peak-to-trough decline	-22.21%	-19.58%	-2.63%
Max Drawdown (1Y) Largest decline over 1 year	-3.42%	-5.72%	+2.30%
Max Drawdown (3Y) Largest decline over 3 years	-7.25%	-19.58%	+12.33%
Max Drawdown (5Y) Largest decline over 5 years	-14.98%	-19.58%	+4.60%
Max Drawdown (10Y) Largest decline over 10 years	-16.89%	—	—
Current Drawdown Current decline from peak	-0.07%	-9.54%	+9.47%
Average Drawdown Average peak-to-trough decline	-9.86%	-7.39%	-2.47%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.20%	2.15%	-0.95%

Volatility

FMF vs. JDJIX - Volatility Comparison

First Trust Managed Futures Strategy Fund (FMF) and JHancock Diversified Macro Fund (JDJIX) have volatilities of 1.89% and 1.84%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FMF	JDJIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.89%	1.84%	+0.05%
Volatility (6M) Calculated over the trailing 6-month period	7.11%	5.21%	+1.90%
Volatility (1Y) Calculated over the trailing 1-year period	9.66%	6.77%	+2.89%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.74%	8.87%	+1.87%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.72%	9.13%	+2.59%

FMF vs. JDJIX - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is lower than JDJIX's 1.39% expense ratio.

Dividends

FMF vs. JDJIX - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 4.96%, more than JDJIX's 0.28% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
JDJIX JHancock Diversified Macro Fund	0.28%	0.31%	0.43%	3.99%	11.26%	3.46%	2.11%	3.79%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FMF and JDJIX in my portfolio?

FMF and JDJIX have a correlation of 0.50, 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 JDJIX?

FMF has higher volatility (1.89%) compared to JDJIX (1.84%). In terms of maximum drawdown, FMF dropped -22.21% vs JDJIX's -19.58%.

Which has better risk-adjusted returns?

FMF currently has the higher Sharpe Ratio (2.31 vs 1.30), 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.