FMF vs. ROMO
FMF (First Trust Managed Futures Strategy Fund) and ROMO (Strategy Shares Newfound/ReSolve Robust Momentum ETF) are both exchange-traded funds - FMF is a Systematic Trend fund actively managed by First Trust, while ROMO is a Momentum fund tracking the Newfound/ReSolve Robust Equity Momentum Index. FMF is actively managed, while ROMO is passively managed. Over the past 5 years, FMF returned 4.42%/yr vs 6.47%/yr for ROMO. Their 0.19 correlation means their historical movements had little consistent relationship. FMF charges 0.95%/yr vs 0.82%/yr for ROMO.
Performance
FMF vs. ROMO - Performance Comparison
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Returns By Period
In the year-to-date period, FMF achieves a 7.57% return, which is significantly higher than ROMO's 6.82% 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%
ROMO
- 1D
- 0.28%
- 1M
- 0.49%
- 6M
- 3.56%
- YTD
- 6.82%
- 1Y
- 17.25%
- 3Y*
- 12.91%
- 5Y*
- 6.47%
- 10Y*
- —
- ALL TIME*
- 6.73%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.63M | $1.43M | $2.63M | |
| $20.73K | $35.75K | $74.68K |
FMF vs. ROMO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 7.57% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -1.75% |
ROMO Strategy Shares Newfound/ReSolve Robust Momentum ETF | 6.82% | 9.29% | 20.68% | 11.05% | -18.88% | 21.41% | -3.48% | 4.25% |
Correlation
The correlation between FMF and ROMO is 0.23, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.23 |
Correlation (3Y) Balances recent behavior with more history. | 0.21 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.14 |
Correlation (All Time) Calculated using the full available price history since Nov 4, 2019 | 0.19 |
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Return for Risk
FMF vs. ROMO — Risk / Return Rank
FMF
ROMO
FMF vs. ROMO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO). 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 | ROMO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.35 | ||
| Sortino ratioReturn per unit of downside risk | +0.53 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.22 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 3.23 | 1.50 | +1.74 |
| Martin ratioReturn relative to average drawdown | 8.80 | 5.25 | +3.55 |
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Drawdowns
FMF vs. ROMO - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, smaller than the maximum ROMO drawdown of -28.66%. Use the drawdown chart below to compare losses from any high point for FMF and ROMO.
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Drawdown Indicators
| FMF | ROMO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -28.66% | +6.45% |
Max Drawdown (1Y)Largest decline over 1 year | -4.51% | -11.16% | +6.65% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -14.09% | +6.84% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -20.26% | +5.28% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | — | — |
Current DrawdownCurrent decline from peak | -3.12% | -1.16% | -1.96% |
Average DrawdownAverage peak-to-trough decline | -9.77% | -8.16% | -1.61% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.65% | 3.17% | -1.52% |
Volatility
FMF vs. ROMO - Volatility Comparison
The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 3.03%, while Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO) has a volatility of 3.76%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than ROMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | ROMO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.03% | 3.76% | -0.73% |
Volatility (6M)Calculated over the trailing 6-month period | 7.51% | 12.00% | -4.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.56% | 14.15% | -4.59% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.73% | 12.17% | -1.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.55% | 14.45% | -2.90% |
FMF vs. ROMO - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than ROMO's 0.82% expense ratio.
Dividends
FMF vs. ROMO - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 5.03%, less than ROMO's 8.31% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
ROMO Strategy Shares Newfound/ReSolve Robust Momentum ETF | 8.31% | 8.87% | 0.76% | 2.42% | 0.77% | 0.56% | 0.97% | 0.58% | 0.00% | 0.00% |
Frequently Asked Questions
FMF and ROMO have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ROMO has higher volatility (3.76%) compared to FMF (3.03%). In terms of maximum drawdown, FMF dropped -22.21% vs ROMO's -28.66%.
On 5-year performance, ROMO leads with 6.47% vs 4.42% for FMF. On fees, ROMO is cheaper at 0.82% per year. On volatility, FMF has been the lower-risk option at 3.03%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, ROMO has performed better with a 6.47% return vs 4.42%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ROMO is cheaper with a 0.82% expense ratio, compared with 0.95% for FMF.
ROMO has the higher dividend yield at 8.31%, compared with 5.03% for FMF.
FMF is categorized as Systematic Trend, while ROMO is Momentum. They also come from different issuers: First Trust and Strategy Shares. Their fees differ too: 0.95% for FMF and 0.82% for ROMO.
FMF currently has the higher Sharpe Ratio (1.53 vs 1.18), 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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