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

Key characteristics


FMFKMLM
YTD Return5.52%1.01%
1Y Return3.67%-5.82%
3Y Return (Ann)2.07%5.06%
Sharpe Ratio0.44-0.52
Daily Std Dev7.62%11.93%
Max Drawdown-20.32%-24.15%
Current Drawdown-7.07%-21.45%

Correlation

-0.50.00.51.00.4

The correlation between FMF and KMLM is 0.43, 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.

Performance

FMF vs. KMLM - Performance Comparison

In the year-to-date period, FMF achieves a 5.52% return, which is significantly higher than KMLM's 1.01% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%December2024FebruaryMarchAprilMay
17.46%
33.57%
FMF
KMLM

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


First Trust Managed Futures Strategy Fund

KFA Mount Lucas Index Strategy ETF

FMF vs. KMLM - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is higher than KMLM's 0.90% 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 KMLM: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%

Risk-Adjusted Performance

FMF vs. KMLM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and KFA Mount Lucas Index Strategy ETF (KMLM). 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 0.44, compared to the broader market0.002.004.000.44
Sortino ratio
The chart of Sortino ratio for FMF, currently valued at 0.66, compared to the broader market0.005.0010.000.66
Omega ratio
The chart of Omega ratio for FMF, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.001.08
Calmar ratio
The chart of Calmar ratio for FMF, currently valued at 0.28, compared to the broader market0.005.0010.0015.000.28
Martin ratio
The chart of Martin ratio for FMF, currently valued at 1.23, compared to the broader market0.0020.0040.0060.0080.00100.001.23
KMLM
Sharpe ratio
The chart of Sharpe ratio for KMLM, currently valued at -0.52, compared to the broader market0.002.004.00-0.52
Sortino ratio
The chart of Sortino ratio for KMLM, currently valued at -0.62, compared to the broader market0.005.0010.00-0.62
Omega ratio
The chart of Omega ratio for KMLM, currently valued at 0.92, compared to the broader market0.501.001.502.002.503.000.92
Calmar ratio
The chart of Calmar ratio for KMLM, currently valued at -0.26, compared to the broader market0.005.0010.0015.00-0.26
Martin ratio
The chart of Martin ratio for KMLM, currently valued at -0.81, compared to the broader market0.0020.0040.0060.0080.00100.00-0.81

FMF vs. KMLM - Sharpe Ratio Comparison

The current FMF Sharpe Ratio is 0.44, which is higher than the KMLM Sharpe Ratio of -0.52. The chart below compares the 12-month rolling Sharpe Ratio of FMF and KMLM.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.50December2024FebruaryMarchAprilMay
0.44
-0.52
FMF
KMLM

Dividends

FMF vs. KMLM - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 3.09%, while KMLM has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
FMF
First Trust Managed Futures Strategy Fund
3.09%3.09%0.41%3.29%0.02%1.05%1.56%0.82%0.00%0.00%2.43%2.38%
KMLM
KFA Mount Lucas Index Strategy ETF
0.00%0.00%8.12%6.94%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FMF vs. KMLM - Drawdown Comparison

The maximum FMF drawdown since its inception was -20.32%, smaller than the maximum KMLM drawdown of -24.15%. Use the drawdown chart below to compare losses from any high point for FMF and KMLM. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%December2024FebruaryMarchAprilMay
-7.07%
-21.45%
FMF
KMLM

Volatility

FMF vs. KMLM - Volatility Comparison

The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 1.92%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.00%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than KMLM 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
1.92%
4.00%
FMF
KMLM