FMF vs. SPY
Compare and contrast key facts about First Trust Managed Futures Strategy Fund (FMF) and SPDR S&P 500 ETF (SPY).
FMF and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FMF is an actively managed fund by First Trust. It was launched on Aug 1, 2013. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FMF or SPY.
Performance
FMF vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, FMF achieves a 5.68% return, which is significantly lower than SPY's 24.40% return. Over the past 10 years, FMF has underperformed SPY with an annualized return of 1.20%, while SPY has yielded a comparatively higher 13.04% annualized return.
FMF
5.68%
0.05%
-0.88%
3.01%
3.62%
1.20%
SPY
24.40%
0.59%
11.33%
31.86%
15.23%
13.04%
Key characteristics
| FMF | SPY | |
|---|---|---|
| Sharpe Ratio | 0.40 | 2.64 |
| Sortino Ratio | 0.61 | 3.53 |
| Omega Ratio | 1.07 | 1.49 |
| Calmar Ratio | 0.23 | 3.81 |
| Martin Ratio | 0.80 | 17.21 |
| Ulcer Index | 3.47% | 1.86% |
| Daily Std Dev | 7.08% | 12.15% |
| Max Drawdown | -20.32% | -55.19% |
| Current Drawdown | -6.93% | -2.17% |
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FMF vs. SPY - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than SPY's 0.09% expense ratio.
Correlation
The correlation between FMF and SPY is 0.13, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
FMF vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and 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.
Dividends
FMF vs. SPY - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 2.89%, more than SPY's 1.20% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 2.89% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% | 0.00% | 0.00% | 2.43% | 2.38% |
SPY SPDR S&P 500 ETF | 1.20% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
FMF vs. SPY - Drawdown Comparison
The maximum FMF drawdown since its inception was -20.32%, 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. For additional features, visit the drawdowns tool.
Volatility
FMF vs. SPY - Volatility Comparison
The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 3.04%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.06%. 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.