FMF vs. QTR
FMF (First Trust Managed Futures Strategy Fund) and QTR (Global X NASDAQ 100 Tail Risk ETF) are both exchange-traded funds - FMF is a Hedge Fund fund actively managed by First Trust, while QTR is a Nasdaq-100 fund tracking the NASDAQ-100 Quarterly Protective Put 90 Index. FMF is actively managed, while QTR is passively managed. Over the past 3 years, FMF returned 6.78%/yr vs 22.93%/yr for QTR. At a 0.05 correlation, their price movements are largely independent. FMF charges 0.95%/yr vs 0.60%/yr for QTR.
Performance
FMF vs. QTR - Performance Comparison
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Returns By Period
In the year-to-date period, FMF achieves a 10.96% return, which is significantly lower than QTR's 17.64% 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%
QTR
- 1D
- -0.24%
- 1M
- 10.52%
- YTD
- 17.64%
- 6M
- 15.72%
- 1Y
- 33.76%
- 3Y*
- 22.93%
- 5Y*
- —
- 10Y*
- —
FMF vs. QTR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 10.96% | 4.54% | 8.17% | -0.18% | 5.24% | -1.54% |
QTR Global X NASDAQ 100 Tail Risk ETF | 17.64% | 14.52% | 21.46% | 45.53% | -29.94% | 4.16% |
Correlation
The correlation between FMF and QTR is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.20 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since Aug 27, 2021 | 0.05 |
The correlation between FMF and QTR shifts across timeframes, from 0.05 (all time) to 0.20 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FMF vs. QTR — Risk / Return Rank
FMF
QTR
FMF vs. QTR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and Global X NASDAQ 100 Tail Risk ETF (QTR). 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 | QTR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.09 | ||
| Sortino ratioReturn per unit of downside risk | +0.09 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.41 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 6.52 | 2.76 | +3.76 |
| Martin ratioReturn relative to average drawdown | 18.49 | 9.47 | +9.02 |
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 | QTR | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.31 | 2.40 | -0.09 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.43 | — | — |
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 | 0.68 | -0.51 |
Drawdowns
FMF vs. QTR - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, smaller than the maximum QTR drawdown of -31.72%. Use the drawdown chart below to compare losses from any high point for FMF and QTR.
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Drawdown Indicators
| FMF | QTR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -31.72% | +9.51% |
Max Drawdown (1Y)Largest decline over 1 year | -3.42% | -12.29% | +8.87% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -18.99% | +11.74% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | — | — |
Current DrawdownCurrent decline from peak | -0.07% | -0.24% | +0.17% |
Average DrawdownAverage peak-to-trough decline | -9.86% | -8.84% | -1.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.20% | 3.57% | -2.37% |
Volatility
FMF vs. QTR - Volatility Comparison
The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 1.89%, while Global X NASDAQ 100 Tail Risk ETF (QTR) has a volatility of 4.52%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than QTR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | QTR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.89% | 4.52% | -2.63% |
Volatility (6M)Calculated over the trailing 6-month period | 7.11% | 10.68% | -3.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.66% | 14.14% | -4.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.74% | 18.10% | -7.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.72% | 18.10% | -6.38% |
FMF vs. QTR - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than QTR's 0.60% expense ratio.
Dividends
FMF vs. QTR - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 4.96%, less than QTR's 15.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
QTR Global X NASDAQ 100 Tail Risk ETF | 15.96% | 18.77% | 0.50% | 0.53% | 0.36% | 1.90% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
FMF and QTR have a correlation of 0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QTR has higher volatility (4.52%) compared to FMF (1.89%). In terms of maximum drawdown, FMF dropped -22.21% vs QTR's -31.72%.
On 3-year performance, QTR leads with 22.93% vs 6.78% for FMF. On fees, QTR is cheaper at 0.60% 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 3-year period, QTR has performed better with a 22.93% return vs 6.78%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
QTR is cheaper with a 0.60% expense ratio, compared with 0.95% for FMF.
QTR has the higher dividend yield at 15.96%, compared with 4.96% for FMF.
FMF is categorized as Hedge Fund, while QTR is Nasdaq-100. They also come from different issuers: First Trust and Global X. Their fees differ too: 0.95% for FMF and 0.60% for QTR.
QTR currently has the higher Sharpe Ratio (2.40 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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