FMF vs. JDJIX
Compare and contrast key facts about First Trust Managed Futures Strategy Fund (FMF) and JHancock Diversified Macro Fund (JDJIX).
FMF is an actively managed fund by First Trust. It was launched on Aug 1, 2013. JDJIX is managed by John Hancock. It was launched on Jul 28, 2019.
Performance
FMF vs. JDJIX - Performance Comparison
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FMF vs. JDJIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 8.00% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -2.77% |
JDJIX JHancock Diversified Macro Fund | 4.93% | -7.68% | 2.59% | 2.77% | 12.26% | -2.19% | -2.24% | 1.59% |
Returns By Period
In the year-to-date period, FMF achieves a 8.00% return, which is significantly higher than JDJIX's 4.93% return.
FMF
- 1D
- 0.26%
- 1M
- 0.77%
- YTD
- 8.00%
- 6M
- 8.42%
- 1Y
- 15.86%
- 3Y*
- 7.05%
- 5Y*
- 4.85%
- 10Y*
- 2.60%
JDJIX
- 1D
- 0.23%
- 1M
- -2.46%
- YTD
- 4.93%
- 6M
- 2.06%
- 1Y
- -4.81%
- 3Y*
- 0.41%
- 5Y*
- 2.58%
- 10Y*
- —
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FMF vs. JDJIX - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is lower than JDJIX's 1.39% expense ratio.
Return for Risk
FMF vs. JDJIX — Risk / Return Rank
FMF
JDJIX
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 ratioReturn per unit of total volatility | 1.60 | -0.52 | +2.12 |
Sortino ratioReturn per unit of downside risk | 2.29 | -0.61 | +2.90 |
Omega ratioGain probability vs. loss probability | 1.28 | 0.91 | +0.37 |
Calmar ratioReturn relative to maximum drawdown | 4.55 | -0.40 | +4.94 |
Martin ratioReturn relative to average drawdown | 9.22 | -0.59 | +9.82 |
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 | JDJIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.60 | -0.52 | +2.12 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.45 | 0.29 | +0.16 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.22 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.16 | 0.18 | -0.02 |
Correlation
The correlation between FMF and JDJIX is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
FMF vs. JDJIX - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 5.09%, more than JDJIX's 0.29% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 5.09% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
JDJIX JHancock Diversified Macro Fund | 0.29% | 0.31% | 0.43% | 3.99% | 11.26% | 3.46% | 2.11% | 3.79% | 0.00% | 0.00% |
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.
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Drawdown Indicators
| FMF | JDJIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -19.58% | -2.63% |
Max Drawdown (1Y)Largest decline over 1 year | -3.47% | -10.53% | +7.06% |
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 DrawdownCurrent decline from peak | -0.66% | -14.53% | +13.87% |
Average DrawdownAverage peak-to-trough decline | -9.99% | -7.27% | -2.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.71% | 7.10% | -5.39% |
Volatility
FMF vs. JDJIX - Volatility Comparison
First Trust Managed Futures Strategy Fund (FMF) has a higher volatility of 3.76% compared to JHancock Diversified Macro Fund (JDJIX) at 1.66%. This indicates that FMF's price experiences larger fluctuations and is considered to be riskier than JDJIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | JDJIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.76% | 1.66% | +2.10% |
Volatility (6M)Calculated over the trailing 6-month period | 7.41% | 4.94% | +2.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.94% | 8.30% | +1.64% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.76% | 8.90% | +1.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.83% | 9.20% | +2.63% |