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FMF vs. PFIX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

Performance

FMF vs. PFIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Managed Futures Strategy Fund (FMF) and Simplify Interest Rate Hedge ETF (PFIX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, FMF achieves a 10.96% return, which is significantly higher than PFIX's -2.55% 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%

PFIX

1D
0.36%
1M
-3.76%
YTD
-2.55%
6M
1.53%
1Y
-15.57%
3Y*
14.54%
5Y*
16.86%
10Y*
*Multi-year figures are annualized to reflect compound growth (CAGR)

FMF vs. PFIX - Yearly Performance Comparison


2026 (YTD)20252024202320222021
FMF
First Trust Managed Futures Strategy Fund
10.96%4.54%8.17%-0.18%5.24%-5.18%
PFIX
Simplify Interest Rate Hedge ETF
-2.55%0.42%35.94%5.67%92.05%-24.95%

Correlation

The correlation between FMF and PFIX is 0.07, 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

0.07

Correlation (3Y)
Calculated over the trailing 3-year period

0.07

Correlation (5Y)
Calculated over the trailing 5-year period

0.12

Correlation (All Time)
Calculated using the full available price history since May 12, 2021

0.12

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Return for Risk

FMF vs. PFIX — Risk / Return Rank

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

FMF
FMF Risk / Return Rank: 7878
Overall Rank
FMF Sharpe Ratio Rank: 7070
Sharpe Ratio Rank
FMF Sortino Ratio Rank: 7272
Sortino Ratio Rank
FMF Omega Ratio Rank: 6868
Omega Ratio Rank
FMF Calmar Ratio Rank: 9393
Calmar Ratio Rank
FMF Martin Ratio Rank: 8686
Martin Ratio Rank

PFIX
PFIX Risk / Return Rank: 44
Overall Rank
PFIX Sharpe Ratio Rank: 44
Sharpe Ratio Rank
PFIX Sortino Ratio Rank: 44
Sortino Ratio Rank
PFIX Omega Ratio Rank: 44
Omega Ratio Rank
PFIX Calmar Ratio Rank: 44
Calmar Ratio Rank
PFIX Martin Ratio Rank: 44
Martin Ratio Rank
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. PFIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and Simplify Interest Rate Hedge ETF (PFIX). 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.


FMFPFIXDifference
Sharpe ratioReturn per unit of total volatility

+2.83

Sortino ratioReturn per unit of downside risk

+3.89

Omega ratioGain probability vs. loss probability

1.42

0.93

+0.48

Calmar ratioReturn relative to maximum drawdown

6.52

-0.61

+7.13

Martin ratioReturn relative to average drawdown

18.49

-0.96

+19.44

FMF vs. PFIX - Sharpe Ratio Comparison

The current FMF Sharpe Ratio is 2.31, which is higher than the PFIX Sharpe Ratio of -0.52. The chart below compares the historical Sharpe Ratios of FMF and PFIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Sharpe Ratios by Period


FMFPFIXDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.31

-0.52

+2.83

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.43

0.44

-0.01

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

0.39

-0.22

Drawdowns

FMF vs. PFIX - Drawdown Comparison

The maximum FMF drawdown since its inception was -22.21%, smaller than the maximum PFIX drawdown of -36.17%. Use the drawdown chart below to compare losses from any high point for FMF and PFIX.


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Drawdown Indicators


FMFPFIXDifference

Max Drawdown

Largest peak-to-trough decline

-22.21%

-36.17%

+13.96%

Max Drawdown (1Y)

Largest decline over 1 year

-3.42%

-25.64%

+22.22%

Max Drawdown (3Y)

Largest decline over 3 years

-7.25%

-36.17%

+28.92%

Max Drawdown (5Y)

Largest decline over 5 years

-14.98%

-36.17%

+21.19%

Max Drawdown (10Y)

Largest decline over 10 years

-16.89%

Current Drawdown

Current decline from peak

-0.07%

-19.65%

+19.58%

Average Drawdown

Average peak-to-trough decline

-9.86%

-17.13%

+7.27%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.20%

16.35%

-15.15%

Volatility

FMF vs. PFIX - Volatility Comparison

The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 1.89%, while Simplify Interest Rate Hedge ETF (PFIX) has a volatility of 7.51%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than PFIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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Volatility by Period


FMFPFIXDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.89%

7.51%

-5.62%

Volatility (6M)

Calculated over the trailing 6-month period

7.11%

20.89%

-13.78%

Volatility (1Y)

Calculated over the trailing 1-year period

9.66%

30.32%

-20.66%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

10.74%

38.50%

-27.76%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

11.72%

38.35%

-26.63%

FMF vs. PFIX - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is higher than PFIX's 0.50% expense ratio.


Dividends

FMF vs. PFIX - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 4.96%, less than PFIX's 9.96% yield.


PositionTTM202520242023202220212020201920182017
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%
PFIX
Simplify Interest Rate Hedge ETF
9.96%9.92%3.40%87.92%0.63%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions


FMF and PFIX have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

PFIX has higher volatility (7.51%) compared to FMF (1.89%). In terms of maximum drawdown, FMF dropped -22.21% vs PFIX's -36.17%.

On 5-year performance, PFIX leads with 16.86% vs 4.62% for FMF. On fees, PFIX is cheaper at 0.50% per year. On volatility, FMF has been the lower-risk option at 1.89%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, PFIX has performed better with a 16.86% return vs 4.62%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

PFIX is cheaper with a 0.50% expense ratio, compared with 0.95% for FMF.

PFIX has the higher dividend yield at 9.96%, compared with 4.96% for FMF.

They also come from different issuers: First Trust and Simplify. Their fees differ too: 0.95% for FMF and 0.50% for PFIX.

FMF currently has the higher Sharpe Ratio (2.31 vs -0.52), 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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