FMF vs. SOFR

Last updated Jun 4, 2026

FMF (First Trust Managed Futures Strategy Fund) and SOFR (Amplify Samsung SOFR ETF) are both exchange-traded funds - FMF is a Hedge Fund fund actively managed by First Trust, while SOFR is a Multisector Bonds fund tracking the Secured Overnight Financing Rate. FMF is actively managed, while SOFR is passively managed. Over the past year, FMF returned 22.22% vs 3.90% for SOFR. At a correlation of -0.11, they often move in opposite directions. FMF charges 0.95%/yr vs 0.20%/yr for SOFR.

Performance

FMF vs. SOFR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Managed Futures Strategy Fund (FMF) and Amplify Samsung SOFR ETF (SOFR). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FMF achieves a 10.96% return, which is significantly higher than SOFR's 1.45% 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%

SOFR

• 1D: 0.00%
• 1M: 0.25%
• YTD: 1.45%
• 6M: 1.76%
• 1Y: 3.90%
• 3Y*: —
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

FMF vs. SOFR - Yearly Performance Comparison

	2026 (YTD)	2025	2024
FMF First Trust Managed Futures Strategy Fund	10.96%	4.54%	2.68%
SOFR Amplify Samsung SOFR ETF	1.45%	4.27%	1.20%

Correlation

The correlation between FMF and SOFR is -0.14, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.14
Correlation (All Time) Calculated using the full available price history since Sep 27, 2024	-0.11

Return for Risk

FMF vs. SOFR — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FMF

FMF Risk / Return Rank: 78
FMF Sharpe Ratio Rank: 70
FMF Sortino Ratio Rank: 72
FMF Omega Ratio Rank: 68
FMF Calmar Ratio Rank: 93
FMF Martin Ratio Rank: 86

SOFR

SOFR Risk / Return Rank: 97
SOFR Sharpe Ratio Rank: 97
SOFR Sortino Ratio Rank: 98
SOFR Omega Ratio Rank: 99
SOFR Calmar Ratio Rank: 96
SOFR Martin Ratio Rank: 96

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FMF vs. SOFR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and Amplify Samsung SOFR ETF (SOFR). 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	SOFR	Difference
Sharpe ratio: Return per unit of total volatility	2.31	4.66	-2.34
Sortino ratio: Return per unit of downside risk	3.31	6.86	-3.55
Omega ratio: Gain probability vs. loss probability	1.42	3.35	-1.93
Calmar ratio: Return relative to maximum drawdown	6.52	9.64	-3.12
Martin ratio: Return relative to average drawdown	18.49	39.82	-21.33
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FMF vs. SOFR - Sharpe Ratio Comparison

The current FMF Sharpe Ratio is 2.31, which is lower than the SOFR Sharpe Ratio of 4.66. The chart below compares the historical Sharpe Ratios of FMF and SOFR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FMF	SOFR	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.31	4.66	-2.34
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	4.96	-4.79

Drawdowns

FMF vs. SOFR - Drawdown Comparison

The maximum FMF drawdown since its inception was -22.21%, which is greater than SOFR's maximum drawdown of -0.41%. Use the drawdown chart below to compare losses from any high point for FMF and SOFR.

Drawdown Indicators

	FMF	SOFR	Difference
Max Drawdown Largest peak-to-trough decline	-22.21%	-0.41%	-21.80%
Max Drawdown (1Y) Largest decline over 1 year	-3.42%	-0.41%	-3.01%
Max Drawdown (3Y) Largest decline over 3 years	-7.25%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-14.98%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-16.89%	—	—
Current Drawdown Current decline from peak	-0.07%	-0.14%	+0.07%
Average Drawdown Average peak-to-trough decline	-9.86%	-0.03%	-9.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.20%	0.10%	+1.10%

Volatility

FMF vs. SOFR - Volatility Comparison

First Trust Managed Futures Strategy Fund (FMF) has a higher volatility of 1.89% compared to Amplify Samsung SOFR ETF (SOFR) at 0.24%. This indicates that FMF's price experiences larger fluctuations and is considered to be riskier than SOFR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FMF	SOFR	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.89%	0.24%	+1.65%
Volatility (6M) Calculated over the trailing 6-month period	7.11%	0.55%	+6.56%
Volatility (1Y) Calculated over the trailing 1-year period	9.66%	0.84%	+8.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.74%	0.84%	+9.90%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.72%	0.84%	+10.88%

FMF vs. SOFR - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is higher than SOFR's 0.20% expense ratio.

Dividends

FMF vs. SOFR - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 4.96%, more than SOFR's 3.95% 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%
SOFR Amplify Samsung SOFR ETF	3.95%	4.22%	1.60%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FMF and SOFR in my portfolio?

FMF and SOFR have a correlation of -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FMF or SOFR?

FMF has higher volatility (1.89%) compared to SOFR (0.24%). In terms of maximum drawdown, FMF dropped -22.21% vs SOFR's -0.41%.

Which ETF is better, FMF or SOFR?

On 1-year performance, FMF leads with 22.22% vs 3.90% for SOFR. On fees, SOFR is cheaper at 0.20% per year. On volatility, SOFR has been the lower-risk option at 0.24%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FMF or SOFR?

Over the 1-year period, FMF has performed better with a 22.22% return vs 3.90%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FMF or SOFR?

SOFR is cheaper with a 0.20% expense ratio, compared with 0.95% for FMF.

Which ETF pays a higher dividend yield, FMF or SOFR?

FMF has the higher dividend yield at 4.96%, compared with 3.95% for SOFR.

What is the main difference between FMF and SOFR?

FMF is categorized as Hedge Fund, while SOFR is Multisector Bonds. They also come from different issuers: First Trust and Amplify. Their fees differ too: 0.95% for FMF and 0.20% for SOFR.

Which has better risk-adjusted returns?

SOFR currently has the higher Sharpe Ratio (4.66 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.