FMF vs. KMLM
Compare and contrast key facts about First Trust Managed Futures Strategy Fund (FMF) and KFA Mount Lucas Index Strategy ETF (KMLM).
FMF and KMLM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FMF is an actively managed fund by First Trust. It was launched on Aug 1, 2013. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FMF or KMLM.
Performance
FMF vs. KMLM - Performance Comparison
Returns By Period
In the year-to-date period, FMF achieves a 5.68% return, which is significantly higher than KMLM's -2.43% return.
FMF
5.68%
0.05%
-0.88%
3.01%
3.62%
1.20%
KMLM
-2.43%
-1.68%
-4.74%
-8.43%
N/A
N/A
Key characteristics
| FMF | KMLM | |
|---|---|---|
| Sharpe Ratio | 0.40 | -0.80 |
| Sortino Ratio | 0.61 | -1.03 |
| Omega Ratio | 1.07 | 0.88 |
| Calmar Ratio | 0.23 | -0.33 |
| Martin Ratio | 0.80 | -1.28 |
| Ulcer Index | 3.47% | 6.59% |
| Daily Std Dev | 7.08% | 10.56% |
| Max Drawdown | -20.32% | -25.42% |
| Current Drawdown | -6.93% | -24.12% |
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FMF vs. KMLM - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than KMLM's 0.90% expense ratio.
Correlation
The correlation between FMF and KMLM is 0.44, 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.
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.
Dividends
FMF vs. KMLM - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 2.89%, while KMLM has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 2.89% | 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 -25.42%. Use the drawdown chart below to compare losses from any high point for FMF and KMLM. For additional features, visit the drawdowns tool.
Volatility
FMF vs. KMLM - Volatility Comparison
First Trust Managed Futures Strategy Fund (FMF) and KFA Mount Lucas Index Strategy ETF (KMLM) have volatilities of 3.04% and 3.05%, 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.