FMF vs. SPTS
FMF (First Trust Managed Futures Strategy Fund) and SPTS (SPDR Portfolio Short Term Treasury ETF) are both exchange-traded funds - FMF is a Hedge Fund fund actively managed by First Trust, while SPTS is a Government Bonds fund tracking the Bloomberg U.S. Treasury 1-3 Year Index. FMF is actively managed, while SPTS is passively managed. Over the past 10 years, FMF returned 3.17%/yr vs 1.67%/yr for SPTS. At a correlation of -0.09, they often move in opposite directions. FMF charges 0.95%/yr vs 0.03%/yr for SPTS.
Performance
FMF vs. SPTS - Performance Comparison
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Returns By Period
In the year-to-date period, FMF achieves a 10.96% return, which is significantly higher than SPTS's 0.45% return. Over the past 10 years, FMF has outperformed SPTS with an annualized return of 3.17%, while SPTS has yielded a comparatively lower 1.67% annualized 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%
SPTS
- 1D
- -0.07%
- 1M
- 0.05%
- YTD
- 0.45%
- 6M
- 0.77%
- 1Y
- 3.45%
- 3Y*
- 4.18%
- 5Y*
- 1.81%
- 10Y*
- 1.67%
FMF vs. SPTS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 10.96% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -5.16% | -2.64% | 1.70% |
SPTS SPDR Portfolio Short Term Treasury ETF | 0.45% | 5.05% | 4.20% | 4.27% | -3.86% | -0.72% | 3.23% | 3.56% | 1.08% | 0.59% |
Correlation
The correlation between FMF and SPTS is -0.17, 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 | -0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.12 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.17 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.10 |
Correlation (All Time) Calculated using the full available price history since Aug 5, 2013 | -0.09 |
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Return for Risk
FMF vs. SPTS — Risk / Return Rank
FMF
SPTS
FMF vs. SPTS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and SPDR Portfolio Short Term Treasury ETF (SPTS). 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 | SPTS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.32 | ||
| Sortino ratioReturn per unit of downside risk | -1.16 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.55 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 6.52 | 4.13 | +2.40 |
| Martin ratioReturn relative to average drawdown | 18.49 | 16.52 | +1.96 |
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 | SPTS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.31 | 2.63 | -0.32 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.43 | 0.92 | -0.49 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.27 | 0.98 | -0.71 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.17 | 0.49 | -0.32 |
Drawdowns
FMF vs. SPTS - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, which is greater than SPTS's maximum drawdown of -5.83%. Use the drawdown chart below to compare losses from any high point for FMF and SPTS.
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Drawdown Indicators
| FMF | SPTS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -5.83% | -16.38% |
Max Drawdown (1Y)Largest decline over 1 year | -3.42% | -0.84% | -2.58% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -0.96% | -6.29% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -5.71% | -9.27% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | -5.71% | -11.18% |
Current DrawdownCurrent decline from peak | -0.07% | -0.28% | +0.21% |
Average DrawdownAverage peak-to-trough decline | -9.86% | -1.72% | -8.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.20% | 0.21% | +0.99% |
Volatility
FMF vs. SPTS - Volatility Comparison
First Trust Managed Futures Strategy Fund (FMF) has a higher volatility of 1.89% compared to SPDR Portfolio Short Term Treasury ETF (SPTS) at 0.34%. This indicates that FMF's price experiences larger fluctuations and is considered to be riskier than SPTS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | SPTS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.89% | 0.34% | +1.55% |
Volatility (6M)Calculated over the trailing 6-month period | 7.11% | 0.86% | +6.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.66% | 1.32% | +8.34% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.74% | 1.98% | +8.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.72% | 1.72% | +10.00% |
FMF vs. SPTS - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than SPTS's 0.03% expense ratio.
Dividends
FMF vs. SPTS - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 4.96%, more than SPTS's 3.91% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% |
SPTS SPDR Portfolio Short Term Treasury ETF | 3.91% | 3.99% | 4.25% | 3.61% | 1.27% | 0.19% | 0.70% | 2.21% | 2.04% | 1.20% | 0.95% | 0.83% |
Frequently Asked Questions
FMF and SPTS have a correlation of -0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMF has higher volatility (1.89%) compared to SPTS (0.34%). In terms of maximum drawdown, FMF dropped -22.21% vs SPTS's -5.83%.
On 10-year performance, FMF leads with 3.17% vs 1.67% for SPTS. On fees, SPTS is cheaper at 0.03% per year. On volatility, SPTS has been the lower-risk option at 0.34%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FMF has performed better with a 3.17% return vs 1.67%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPTS is cheaper with a 0.03% expense ratio, compared with 0.95% for FMF.
FMF has the higher dividend yield at 4.96%, compared with 3.91% for SPTS.
FMF is categorized as Hedge Fund, while SPTS is Government Bonds. They also come from different issuers: First Trust and State Street. Their fees differ too: 0.95% for FMF and 0.03% for SPTS.
SPTS currently has the higher Sharpe Ratio (2.63 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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