FMF vs. TFFI

Last updated Aug 2, 2026

FMF (First Trust Managed Futures Strategy Fund) and TFFI (Chesapeake Trend-Following Fixed Income ETF) are both exchange-traded funds - FMF is a Systematic Trend fund actively managed by First Trust, while TFFI is a Actively Managed fund actively managed by Chesapeake. Both are actively managed. Their 0.31 correlation means their historical movements had little consistent relationship. FMF charges 0.95%/yr vs 1.01%/yr for TFFI.

Performance

FMF vs. TFFI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Managed Futures Strategy Fund (FMF) and Chesapeake Trend-Following Fixed Income ETF (TFFI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

FMF

• 1D: 0.30%
• 1M: 1.46%
• 6M: 5.09%
• YTD: 7.57%
• 1Y: 15.06%
• 3Y*: 5.15%
• 5Y*: 4.42%
• 10Y*: 2.77%
• ALL TIME*: 1.85%

TFFI

• 1D: 0.85%
• 1M: 2.92%
• 6M: —
• YTD: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: —

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
FMF First Trust Managed Futures Strategy Fund	$1.63M	$1.43M	$2.63M
TFFI Chesapeake Trend-Following Fixed Income ETF	$125.11K	$114.17K	$131.97K

FMF vs. TFFI - Yearly Performance Comparison

	2026 (YTD)
FMF First Trust Managed Futures Strategy Fund	1.38%
TFFI Chesapeake Trend-Following Fixed Income ETF	1.50%

Correlation

The correlation between FMF and TFFI is 0.31, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (All Time) Calculated using the full available price history since Feb 24, 2026	0.31

Return for Risk

FMF vs. TFFI — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

FMF

FMF Risk / Return Rank: 71
FMF Sharpe Ratio Rank: 67
FMF Sortino Ratio Rank: 68
FMF Omega Ratio Rank: 65
FMF Calmar Ratio Rank: 85
FMF Martin Ratio Rank: 71

TFFI

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

FMF vs. TFFI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and Chesapeake Trend-Following Fixed Income ETF (TFFI). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	FMF	TFFI	Difference
Sharpe ratio: Return per unit of total volatility	1.53	—	—
Sortino ratio: Return per unit of downside risk	2.22	—	—
Omega ratio: Gain probability vs. loss probability	1.28	—	—
Calmar ratio: Return relative to maximum drawdown	3.23	—	—
Martin ratio: Return relative to average drawdown	8.80	—	—

Drawdowns

FMF vs. TFFI - Drawdown Comparison

The maximum FMF drawdown since its inception was -22.21%, which is greater than TFFI's maximum drawdown of -4.23%. Use the drawdown chart below to compare losses from any high point for FMF and TFFI.

Drawdown Indicators

	FMF	TFFI	Difference
Max Drawdown Largest peak-to-trough decline	-22.21%	-4.23%	-17.98%
Max Drawdown (1Y) Largest decline over 1 year	-4.51%	—	—
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	-3.12%	-0.64%	-2.48%
Average Drawdown Average peak-to-trough decline	-9.77%	-1.61%	-8.16%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.65%	—	—

Volatility

Volatility by Period

	FMF	TFFI	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.03%	—	—
Volatility (6M) Calculated over the trailing 6-month period	7.51%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	9.56%	7.78%	+1.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.73%	7.78%	+2.95%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.55%	7.78%	+3.77%

FMF vs. TFFI - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is lower than TFFI's 1.01% expense ratio.

Dividends

FMF vs. TFFI - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 5.03%, while TFFI has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
FMF First Trust Managed Futures Strategy Fund	5.03%	5.60%	4.85%	3.09%	0.41%	3.29%	0.02%	1.05%	1.56%	0.82%
TFFI Chesapeake Trend-Following Fixed Income ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FMF and TFFI in my portfolio?

FMF and TFFI have a correlation of 0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, FMF or TFFI?

On fees, FMF is cheaper at 0.95% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, FMF or TFFI?

FMF is cheaper with a 0.95% expense ratio, compared with 1.01% for TFFI.

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

FMF has the higher dividend yield at 5.03%, compared with 0.00% for TFFI.

What is the main difference between FMF and TFFI?

FMF is categorized as Systematic Trend, while TFFI is Actively Managed. They also come from different issuers: First Trust and Chesapeake. Their fees differ too: 0.95% for FMF and 1.01% for TFFI.