FMF vs. RYLD
FMF (First Trust Managed Futures Strategy Fund) and RYLD (Global X Russell 2000 Covered Call ETF) are both exchange-traded funds - FMF is a Hedge Fund fund actively managed by First Trust, while RYLD is a Derivative Income fund tracking the CBOE Russell 2000 BuyWrite Index. FMF is actively managed, while RYLD is passively managed. Over the past 5 years, FMF returned 4.19%/yr vs 2.48%/yr for RYLD. At a 0.15 correlation, their price movements are largely independent. FMF charges 0.95%/yr vs 0.60%/yr for RYLD.
Performance
FMF vs. RYLD - Performance Comparison
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Returns By Period
In the year-to-date period, FMF achieves a 6.65% return, which is significantly lower than RYLD's 9.72% return.
FMF
- 1D
- -0.67%
- 1M
- -3.68%
- YTD
- 6.65%
- 6M
- 7.45%
- 1Y
- 16.85%
- 3Y*
- 6.17%
- 5Y*
- 4.19%
- 10Y*
- 2.74%
RYLD
- 1D
- 0.19%
- 1M
- 2.32%
- YTD
- 9.72%
- 6M
- 8.44%
- 1Y
- 20.23%
- 3Y*
- 8.79%
- 5Y*
- 2.48%
- 10Y*
- —
FMF vs. RYLD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 6.65% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -3.27% |
RYLD Global X Russell 2000 Covered Call ETF | 9.72% | 5.65% | 10.13% | 0.27% | -13.03% | 22.13% | -0.44% | 8.86% |
Correlation
The correlation between FMF and RYLD is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.27 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.21 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.08 |
Correlation (All Time) Calculated using the full available price history since Apr 22, 2019 | 0.15 |
The correlation between FMF and RYLD shifts across timeframes, from 0.08 (5 years) to 0.27 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FMF vs. RYLD — Risk / Return Rank
FMF
RYLD
FMF vs. RYLD - 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 Russell 2000 Covered Call ETF (RYLD). 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 | RYLD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.16 | ||
| Sortino ratioReturn per unit of downside risk | -0.15 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.40 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 4.29 | 3.23 | +1.06 |
| Martin ratioReturn relative to average drawdown | 13.19 | 13.04 | +0.15 |
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Drawdowns
FMF vs. RYLD - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, smaller than the maximum RYLD drawdown of -41.53%. Use the drawdown chart below to compare losses from any high point for FMF and RYLD.
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Drawdown Indicators
| FMF | RYLD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -41.53% | +19.32% |
Max Drawdown (1Y)Largest decline over 1 year | -3.95% | -6.29% | +2.34% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -19.05% | +11.80% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -21.33% | +6.35% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | — | — |
Current DrawdownCurrent decline from peak | -3.95% | -0.32% | -3.63% |
Average DrawdownAverage peak-to-trough decline | -9.82% | -8.77% | -1.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.28% | 1.55% | -0.27% |
Volatility
FMF vs. RYLD - Volatility Comparison
First Trust Managed Futures Strategy Fund (FMF) has a higher volatility of 2.67% compared to Global X Russell 2000 Covered Call ETF (RYLD) at 2.00%. This indicates that FMF's price experiences larger fluctuations and is considered to be riskier than RYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | RYLD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.67% | 2.00% | +0.67% |
Volatility (6M)Calculated over the trailing 6-month period | 7.35% | 7.75% | -0.40% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.67% | 10.65% | -0.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.75% | 14.05% | -3.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.66% | 17.15% | -5.49% |
FMF vs. RYLD - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than RYLD's 0.60% expense ratio.
Dividends
FMF vs. RYLD - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 5.16%, less than RYLD's 11.71% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 5.16% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
RYLD Global X Russell 2000 Covered Call ETF | 11.71% | 12.00% | 12.03% | 12.64% | 13.49% | 12.35% | 10.76% | 6.43% | 0.00% | 0.00% |
Frequently Asked Questions
FMF and RYLD have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMF has higher volatility (2.67%) compared to RYLD (2.00%). In terms of maximum drawdown, FMF dropped -22.21% vs RYLD's -41.53%.
On 5-year performance, FMF leads with 4.19% vs 2.48% for RYLD. On fees, RYLD is cheaper at 0.60% per year. On volatility, RYLD has been the lower-risk option at 2.00%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, FMF has performed better with a 4.19% return vs 2.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
RYLD is cheaper with a 0.60% expense ratio, compared with 0.95% for FMF.
RYLD has the higher dividend yield at 11.71%, compared with 5.16% for FMF.
FMF is categorized as Hedge Fund, while RYLD is Derivative Income. They also come from different issuers: First Trust and Global X. Their fees differ too: 0.95% for FMF and 0.60% for RYLD.
RYLD currently has the higher Sharpe Ratio (1.91 vs 1.75), 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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