FMF vs. MRGR
FMF (First Trust Managed Futures Strategy Fund) and MRGR (Proshares Merger ETF) are both Hedge Fund funds. FMF is actively managed, while MRGR is passively managed. Over the past 10 years, FMF returned 3.17%/yr vs 3.47%/yr for MRGR. At a 0.03 correlation, their price movements are largely independent. FMF charges 0.95%/yr vs 0.75%/yr for MRGR.
Performance
FMF vs. MRGR - Performance Comparison
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Returns By Period
In the year-to-date period, FMF achieves a 10.96% return, which is significantly higher than MRGR's 1.83% return. Over the past 10 years, FMF has underperformed MRGR with an annualized return of 3.17%, while MRGR has yielded a comparatively higher 3.47% annualized return.
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%
MRGR
- 1D
- -0.33%
- 1M
- 0.80%
- YTD
- 1.83%
- 6M
- 1.48%
- 1Y
- 11.14%
- 3Y*
- 8.65%
- 5Y*
- 3.99%
- 10Y*
- 3.47%
FMF vs. MRGR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 10.96% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -5.16% | -2.64% | 1.70% |
MRGR Proshares Merger ETF | 1.83% | 11.99% | 5.32% | 4.94% | -4.81% | 6.58% | 1.99% | 4.31% | 3.42% | 2.08% |
Correlation
The correlation between FMF and MRGR is -0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.02 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.02 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.03 |
Correlation (All Time) Calculated using the full available price history since Aug 5, 2013 | 0.03 |
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Return for Risk
FMF vs. MRGR — Risk / Return Rank
FMF
MRGR
FMF vs. MRGR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and Proshares Merger ETF (MRGR). 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 | MRGR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.41 | ||
| Sortino ratioReturn per unit of downside risk | -1.33 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.56 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 6.52 | 8.65 | -2.12 |
| Martin ratioReturn relative to average drawdown | 18.49 | 23.71 | -5.22 |
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 | MRGR | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.31 | 2.72 | -0.41 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.43 | 1.05 | -0.62 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.27 | 0.68 | -0.40 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.17 | 0.36 | -0.19 |
Drawdowns
FMF vs. MRGR - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, which is greater than MRGR's maximum drawdown of -13.23%. Use the drawdown chart below to compare losses from any high point for FMF and MRGR.
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Drawdown Indicators
| FMF | MRGR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -13.23% | -8.98% |
Max Drawdown (1Y)Largest decline over 1 year | -3.42% | -1.29% | -2.13% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -2.10% | -5.15% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -8.40% | -6.58% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | -13.23% | -3.66% |
Current DrawdownCurrent decline from peak | -0.07% | -0.33% | +0.26% |
Average DrawdownAverage peak-to-trough decline | -9.86% | -3.86% | -6.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.20% | 0.47% | +0.73% |
Volatility
FMF vs. MRGR - Volatility Comparison
First Trust Managed Futures Strategy Fund (FMF) has a higher volatility of 1.89% compared to Proshares Merger ETF (MRGR) at 1.08%. This indicates that FMF's price experiences larger fluctuations and is considered to be riskier than MRGR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | MRGR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.89% | 1.08% | +0.81% |
Volatility (6M)Calculated over the trailing 6-month period | 7.11% | 2.95% | +4.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.66% | 4.11% | +5.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.74% | 3.82% | +6.92% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.72% | 5.15% | +6.57% |
FMF vs. MRGR - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than MRGR's 0.75% expense ratio.
Dividends
FMF vs. MRGR - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 4.96%, more than MRGR's 2.97% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% |
MRGR Proshares Merger ETF | 2.97% | 3.12% | 3.21% | 2.11% | 0.61% | 0.59% | 0.00% | 0.78% | 1.39% | 0.36% | 0.74% | 0.34% |
Frequently Asked Questions
FMF and MRGR have a correlation of -0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMF has higher volatility (1.89%) compared to MRGR (1.08%). In terms of maximum drawdown, FMF dropped -22.21% vs MRGR's -13.23%.
On 10-year performance, MRGR leads with 3.47% vs 3.17% for FMF. On fees, MRGR is cheaper at 0.75% per year. On volatility, MRGR has been the lower-risk option at 1.08%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, MRGR has performed better with a 3.47% return vs 3.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
MRGR is cheaper with a 0.75% expense ratio, compared with 0.95% for FMF.
FMF has the higher dividend yield at 4.96%, compared with 2.97% for MRGR.
They also come from different issuers: First Trust and ProShares. Their fees differ too: 0.95% for FMF and 0.75% for MRGR.
MRGR currently has the higher Sharpe Ratio (2.72 vs 2.31), 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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