FMF vs. SPY
FMF (First Trust Managed Futures Strategy Fund) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - FMF is a Hedge Fund fund actively managed by First Trust, while SPY is a S&P 500 fund tracking the S&P 500 Index. FMF is actively managed, while SPY is passively managed. Over the past 10 years, FMF returned 3.17%/yr vs 15.49%/yr for SPY. At a 0.13 correlation, their price movements are largely independent. FMF charges 0.95%/yr vs 0.09%/yr for SPY.
Performance
FMF vs. SPY - Performance Comparison
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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%
FMF vs. SPY - 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% |
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
FMF
SPY
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.
| FMF | SPY | Difference | |
|---|---|---|---|
| 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 |
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 | SPY | Difference | |
|---|---|---|---|
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
| FMF | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | -0.07% | -0.70% | +0.63% |
Average DrawdownAverage peak-to-trough decline | -9.86% | -9.05% | -0.81% |
Ulcer IndexDepth 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
| FMF | SPY | Difference | |
|---|---|---|---|
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.
| 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% |
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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