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FMF vs. SPY
Performance
Return for Risk
Drawdowns
Volatility
Dividends

Performance

FMF vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Managed Futures Strategy Fund (FMF) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

The year-to-date returns for both stocks are quite close, with FMF having a 10.96% return and SPY slightly lower at 10.91%. Over the past 10 years, FMF has underperformed SPY with an annualized return of 3.17%, while SPY has yielded a comparatively higher 15.49% 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%

SPY

1D
-0.70%
1M
5.05%
YTD
10.91%
6M
10.91%
1Y
27.98%
3Y*
22.35%
5Y*
13.83%
10Y*
15.49%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FMF vs. SPY - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
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%
SPY
State Street SPDR S&P 500 ETF
10.91%17.72%24.89%26.18%-18.18%28.73%18.33%31.22%-4.57%21.71%

Correlation

The correlation between FMF and SPY is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.24

Correlation (3Y)
Calculated over the trailing 3-year period

0.17

Correlation (5Y)
Calculated over the trailing 5-year period

0.06

Correlation (10Y)
Calculated over the trailing 10-year period

0.14

Correlation (All Time)
Calculated using the full available price history since Aug 5, 2013

0.13

The correlation between FMF and SPY shifts across timeframes, from 0.06 (5 years) to 0.24 (1 year), reflecting how their relationship changes across market environments.

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Return for Risk

FMF vs. SPY — Risk / Return Rank

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

FMF
FMF Risk / Return Rank: 7878
Overall Rank
FMF Sharpe Ratio Rank: 7070
Sharpe Ratio Rank
FMF Sortino Ratio Rank: 7272
Sortino Ratio Rank
FMF Omega Ratio Rank: 6868
Omega Ratio Rank
FMF Calmar Ratio Rank: 9393
Calmar Ratio Rank
FMF Martin Ratio Rank: 8686
Martin Ratio Rank

SPY
SPY Risk / Return Rank: 7070
Overall Rank
SPY Sharpe Ratio Rank: 7171
Sharpe Ratio Rank
SPY Sortino Ratio Rank: 6969
Sortino Ratio Rank
SPY Omega Ratio Rank: 7070
Omega Ratio Rank
SPY Calmar Ratio Rank: 6262
Calmar Ratio Rank
SPY Martin Ratio Rank: 7575
Martin Ratio Rank
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. SPY - 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 SPDR S&P 500 ETF (SPY). 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.


FMFSPYDifference
Sharpe ratioReturn per unit of total volatility

-0.07

Sortino ratioReturn per unit of downside risk

+0.07

Omega ratioGain probability vs. loss probability

1.42

1.43

-0.02

Calmar ratioReturn relative to maximum drawdown

6.52

3.16

+3.36

Martin ratioReturn relative to average drawdown

18.49

14.72

+3.77

FMF vs. SPY - Sharpe Ratio Comparison

The current FMF Sharpe Ratio is 2.31, which is comparable to the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of FMF and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Sharpe Ratios by Period


FMFSPYDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.31

2.38

-0.07

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.43

0.82

-0.38

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.27

0.87

-0.59

Sharpe Ratio (All Time)

Calculated using the full available price history

0.17

0.59

-0.41

Drawdowns

FMF vs. SPY - Drawdown Comparison

The maximum FMF drawdown since its inception was -22.21%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FMF and SPY.


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Drawdown Indicators


FMFSPYDifference

Max Drawdown

Largest peak-to-trough decline

-22.21%

-55.19%

+32.98%

Max Drawdown (1Y)

Largest decline over 1 year

-3.42%

-8.88%

+5.46%

Max Drawdown (3Y)

Largest decline over 3 years

-7.25%

-18.76%

+11.51%

Max Drawdown (5Y)

Largest decline over 5 years

-14.98%

-24.50%

+9.52%

Max Drawdown (10Y)

Largest decline over 10 years

-16.89%

-33.72%

+16.83%

Current Drawdown

Current decline from peak

-0.07%

-0.70%

+0.63%

Average Drawdown

Average peak-to-trough decline

-9.86%

-9.05%

-0.81%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.20%

1.91%

-0.71%

Volatility

FMF vs. SPY - Volatility Comparison

The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 1.89%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 2.84%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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Volatility by Period


FMFSPYDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.89%

2.84%

-0.95%

Volatility (6M)

Calculated over the trailing 6-month period

7.11%

8.90%

-1.79%

Volatility (1Y)

Calculated over the trailing 1-year period

9.66%

11.83%

-2.17%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

10.74%

17.05%

-6.31%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

11.72%

17.94%

-6.22%

FMF vs. SPY - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is higher than SPY's 0.09% expense ratio.


Dividends

FMF vs. SPY - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 4.96%, more than SPY's 0.98% yield.


PositionTTM20252024202320222021202020192018201720162015
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%
SPY
State Street SPDR S&P 500 ETF
0.98%1.07%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%

Frequently Asked Questions


FMF and SPY have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

SPY has higher volatility (2.84%) compared to FMF (1.89%). In terms of maximum drawdown, FMF dropped -22.21% vs SPY's -55.19%.

On 10-year performance, SPY leads with 15.49% vs 3.17% for FMF. On fees, SPY is cheaper at 0.09% per year. On volatility, FMF has been the lower-risk option at 1.89%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, SPY has performed better with a 15.49% return vs 3.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SPY is cheaper with a 0.09% expense ratio, compared with 0.95% for FMF.

FMF has the higher dividend yield at 4.96%, compared with 0.98% for SPY.

FMF is categorized as Hedge Fund, while SPY is S&P 500. They also come from different issuers: First Trust and State Street. Their fees differ too: 0.95% for FMF and 0.09% for SPY.

SPY currently has the higher Sharpe Ratio (2.38 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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