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

Key characteristics


FMFQQQ
YTD Return5.65%11.97%
1Y Return2.56%35.70%
3Y Return (Ann)2.04%11.93%
5Y Return (Ann)3.49%21.62%
10Y Return (Ann)0.81%18.54%
Sharpe Ratio0.542.42
Daily Std Dev7.61%16.11%
Max Drawdown-20.32%-82.98%
Current Drawdown-6.96%0.00%

Correlation

-0.50.00.51.00.1

The correlation between FMF and QQQ is 0.08, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

FMF vs. QQQ - Performance Comparison

In the year-to-date period, FMF achieves a 5.65% return, which is significantly lower than QQQ's 11.97% return. Over the past 10 years, FMF has underperformed QQQ with an annualized return of 0.81%, while QQQ has yielded a comparatively higher 18.54% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%100.00%200.00%300.00%400.00%500.00%600.00%December2024FebruaryMarchAprilMay
13.00%
554.23%
FMF
QQQ

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First Trust Managed Futures Strategy Fund

Invesco QQQ

FMF vs. QQQ - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is higher than QQQ's 0.20% 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 QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

FMF vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and Invesco QQQ (QQQ). 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 0.54, compared to the broader market0.002.004.006.000.54
Sortino ratio
The chart of Sortino ratio for FMF, currently valued at 0.80, compared to the broader market0.005.0010.000.80
Omega ratio
The chart of Omega ratio for FMF, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.003.501.10
Calmar ratio
The chart of Calmar ratio for FMF, currently valued at 0.34, compared to the broader market0.005.0010.0015.000.34
Martin ratio
The chart of Martin ratio for FMF, currently valued at 1.49, compared to the broader market0.0020.0040.0060.0080.00100.001.49
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.42, compared to the broader market0.002.004.006.002.42
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 3.28, compared to the broader market0.005.0010.003.28
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.003.501.41
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.59, compared to the broader market0.005.0010.0015.002.59
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 11.74, compared to the broader market0.0020.0040.0060.0080.00100.0011.74

FMF vs. QQQ - Sharpe Ratio Comparison

The current FMF Sharpe Ratio is 0.54, which is lower than the QQQ Sharpe Ratio of 2.42. The chart below compares the 12-month rolling Sharpe Ratio of FMF and QQQ.


Rolling 12-month Sharpe Ratio0.001.002.003.00December2024FebruaryMarchAprilMay
0.54
2.42
FMF
QQQ

Dividends

FMF vs. QQQ - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 3.08%, more than QQQ's 0.58% yield.


TTM20232022202120202019201820172016201520142013
FMF
First Trust Managed Futures Strategy Fund
3.08%3.09%0.41%3.29%0.02%1.05%1.56%0.82%0.00%0.00%2.43%2.38%
QQQ
Invesco QQQ
0.58%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%

Drawdowns

FMF vs. QQQ - Drawdown Comparison

The maximum FMF drawdown since its inception was -20.32%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for FMF and QQQ. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-6.96%
0
FMF
QQQ

Volatility

FMF vs. QQQ - Volatility Comparison

The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 1.94%, while Invesco QQQ (QQQ) has a volatility of 4.01%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than QQQ 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%6.00%December2024FebruaryMarchAprilMay
1.94%
4.01%
FMF
QQQ