FMF vs. VTI
FMF (First Trust Managed Futures Strategy Fund) and VTI (Vanguard Total Stock Market ETF) are both exchange-traded funds - FMF is a Hedge Fund fund actively managed by First Trust, while VTI is a Large Cap Blend Equities fund tracking the CRSP US Total Market Index. FMF is actively managed, while VTI is passively managed. Over the past 10 years, FMF returned 3.17%/yr vs 15.05%/yr for VTI. At a 0.13 correlation, their price movements are largely independent. FMF charges 0.95%/yr vs 0.03%/yr for VTI.
Performance
FMF vs. VTI - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with FMF having a 10.96% return and VTI slightly higher at 11.20%. Over the past 10 years, FMF has underperformed VTI with an annualized return of 3.17%, while VTI has yielded a comparatively higher 15.05% 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%
VTI
- 1D
- -0.72%
- 1M
- 4.99%
- YTD
- 11.20%
- 6M
- 11.09%
- 1Y
- 28.18%
- 3Y*
- 22.07%
- 5Y*
- 12.69%
- 10Y*
- 15.05%
FMF vs. VTI - 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% |
VTI Vanguard Total Stock Market ETF | 11.20% | 17.10% | 23.81% | 26.05% | -19.52% | 25.68% | 21.08% | 30.67% | -5.23% | 21.21% |
Correlation
The correlation between FMF and VTI 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 | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.07 |
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 VTI shifts across timeframes, from 0.07 (5 years) to 0.24 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FMF vs. VTI — Risk / Return Rank
FMF
VTI
FMF vs. VTI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and Vanguard Total Stock Market ETF (VTI). 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 | VTI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.12 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.42 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 6.52 | 3.17 | +3.35 |
| Martin ratioReturn relative to average drawdown | 18.49 | 14.62 | +3.86 |
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 | VTI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.31 | 2.33 | -0.02 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.43 | 0.73 | -0.30 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.27 | 0.82 | -0.55 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.17 | 0.51 | -0.34 |
Drawdowns
FMF vs. VTI - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, smaller than the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for FMF and VTI.
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Drawdown Indicators
| FMF | VTI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -55.45% | +33.24% |
Max Drawdown (1Y)Largest decline over 1 year | -3.42% | -8.92% | +5.50% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -19.30% | +12.05% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -25.36% | +10.38% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | -35.00% | +18.11% |
Current DrawdownCurrent decline from peak | -0.07% | -0.72% | +0.65% |
Average DrawdownAverage peak-to-trough decline | -9.86% | -8.03% | -1.83% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.20% | 1.93% | -0.73% |
Volatility
FMF vs. VTI - Volatility Comparison
The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 1.89%, while Vanguard Total Stock Market ETF (VTI) has a volatility of 2.96%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | VTI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.89% | 2.96% | -1.07% |
Volatility (6M)Calculated over the trailing 6-month period | 7.11% | 9.13% | -2.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.66% | 12.17% | -2.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.74% | 17.40% | -6.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.72% | 18.30% | -6.58% |
FMF vs. VTI - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than VTI's 0.03% expense ratio.
Dividends
FMF vs. VTI - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 4.96%, more than VTI's 1.01% 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% |
VTI Vanguard Total Stock Market ETF | 1.01% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
Frequently Asked Questions
FMF and VTI 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.
VTI has higher volatility (2.96%) compared to FMF (1.89%). In terms of maximum drawdown, FMF dropped -22.21% vs VTI's -55.45%.
On 10-year performance, VTI leads with 15.05% vs 3.17% for FMF. On fees, VTI is cheaper at 0.03% 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, VTI has performed better with a 15.05% return vs 3.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VTI 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 1.01% for VTI.
FMF is categorized as Hedge Fund, while VTI is Large Cap Blend Equities. They also come from different issuers: First Trust and Vanguard. Their fees differ too: 0.95% for FMF and 0.03% for VTI.
VTI currently has the higher Sharpe Ratio (2.33 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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