FMF vs. RLY
FMF (First Trust Managed Futures Strategy Fund) and RLY (State Street Multi-Asset Real Return ETF) are both exchange-traded funds - FMF is a Systematic Trend fund actively managed by First Trust, while RLY is a Global Allocation fund tracking the Bloomberg U.S. Government Inflation-Linked Bond Index. FMF is actively managed, while RLY is passively managed. Over the past 10 years, FMF returned 2.77%/yr vs 8.27%/yr for RLY. Their 0.21 correlation means their historical movements had little consistent relationship. FMF charges 0.95%/yr vs 0.50%/yr for RLY.
Performance
FMF vs. RLY - Performance Comparison
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Returns By Period
In the year-to-date period, FMF achieves a 7.57% return, which is significantly lower than RLY's 15.77% return. Over the past 10 years, FMF has underperformed RLY with an annualized return of 2.77%, while RLY has yielded a comparatively higher 8.27% annualized return.
FMF
- 1D
- 0.30%
- 1M
- 1.46%
- 6M
- 5.09%
- YTD
- 7.57%
- 1Y
- 15.06%
- 3Y*
- 5.15%
- 5Y*
- 4.42%
- 10Y*
- 2.77%
- ALL TIME*
- 1.85%
RLY
- 1D
- -0.46%
- 1M
- 4.07%
- 6M
- 7.44%
- YTD
- 15.77%
- 1Y
- 27.64%
- 3Y*
- 12.72%
- 5Y*
- 10.48%
- 10Y*
- 8.27%
- ALL TIME*
- 4.79%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.63M | $1.43M | $2.63M | |
| $4.60M | $7.84M | $7.75M |
FMF vs. RLY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 7.57% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -5.16% | -2.64% | 1.70% |
RLY State Street Multi-Asset Real Return ETF | 15.77% | 20.26% | 2.53% | 2.56% | 7.86% | 22.85% | -0.59% | 15.63% | -11.72% | 10.40% |
Correlation
The correlation between FMF and RLY is 0.46, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.46 |
Correlation (3Y) Balances recent behavior with more history. | 0.25 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.21 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.27 |
Correlation (All Time) Calculated using the full available price history since Aug 2, 2013 | 0.21 |
Over the past year, FMF and RLY have become more correlated (0.46) than their long-term average of 0.21, meaning their price movements have been converging.
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Return for Risk
FMF vs. RLY — Risk / Return Rank
FMF
RLY
FMF vs. RLY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and State Street Multi-Asset Real Return ETF (RLY). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FMF | RLY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.08 | ||
| Sortino ratioReturn per unit of downside risk | -1.33 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.48 | -0.20 |
| Calmar ratioReturn relative to maximum drawdown | 3.23 | 3.66 | -0.42 |
| Martin ratioReturn relative to average drawdown | 8.80 | 12.77 | -3.97 |
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Drawdowns
FMF vs. RLY - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, smaller than the maximum RLY drawdown of -37.75%. Use the drawdown chart below to compare losses from any high point for FMF and RLY.
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Drawdown Indicators
| FMF | RLY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -37.75% | +15.54% |
Max Drawdown (1Y)Largest decline over 1 year | -4.51% | -7.54% | +3.03% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -10.08% | +2.83% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -18.94% | +3.96% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | -34.17% | +17.28% |
Current DrawdownCurrent decline from peak | -3.12% | -2.74% | -0.38% |
Average DrawdownAverage peak-to-trough decline | -9.77% | -9.40% | -0.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.65% | 2.16% | -0.51% |
Volatility
FMF vs. RLY - Volatility Comparison
First Trust Managed Futures Strategy Fund (FMF) has a higher volatility of 3.03% compared to State Street Multi-Asset Real Return ETF (RLY) at 2.68%. This indicates that FMF's price experiences larger fluctuations and is considered to be riskier than RLY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | RLY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.03% | 2.68% | +0.35% |
Volatility (6M)Calculated over the trailing 6-month period | 7.51% | 8.44% | -0.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.56% | 10.60% | -1.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.73% | 13.46% | -2.73% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.55% | 13.80% | -2.25% |
FMF vs. RLY - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than RLY's 0.50% expense ratio.
Dividends
FMF vs. RLY - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 5.03%, more than RLY's 3.06% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 5.03% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% | 0.00% | 0.00% |
RLY State Street Multi-Asset Real Return ETF | 3.06% | 3.24% | 3.31% | 3.71% | 5.66% | 12.15% | 2.16% | 3.45% | 2.76% | 1.85% | 2.07% | 1.80% |
Frequently Asked Questions
FMF and RLY have a correlation of 0.46, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMF has higher volatility (3.03%) compared to RLY (2.68%). In terms of maximum drawdown, FMF dropped -22.21% vs RLY's -37.75%.
On 10-year performance, RLY leads with 8.27% vs 2.77% for FMF. On fees, RLY is cheaper at 0.50% per year. On volatility, RLY has been the lower-risk option at 2.68%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, RLY has performed better with a 8.27% return vs 2.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
RLY is cheaper with a 0.50% expense ratio, compared with 0.95% for FMF.
FMF has the higher dividend yield at 5.03%, compared with 3.06% for RLY.
FMF is categorized as Systematic Trend, while RLY is Global Allocation. They also come from different issuers: First Trust and State Street. Their fees differ too: 0.95% for FMF and 0.50% for RLY.
RLY currently has the higher Sharpe Ratio (2.61 vs 1.53), 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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