PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FMF vs. WTMF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FMFWTMF
YTD Return5.65%4.99%
1Y Return2.56%11.65%
3Y Return (Ann)2.04%4.78%
5Y Return (Ann)3.49%4.09%
10Y Return (Ann)0.81%1.84%
Sharpe Ratio0.541.79
Daily Std Dev7.61%6.51%
Max Drawdown-20.32%-30.78%
Current Drawdown-6.96%-6.05%

Correlation

-0.50.00.51.00.3

The correlation between FMF and WTMF is 0.29, 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.

Performance

FMF vs. WTMF - Performance Comparison

In the year-to-date period, FMF achieves a 5.65% return, which is significantly higher than WTMF's 4.99% return. Over the past 10 years, FMF has underperformed WTMF with an annualized return of 0.81%, while WTMF has yielded a comparatively higher 1.84% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


6.00%8.00%10.00%12.00%14.00%16.00%18.00%December2024FebruaryMarchAprilMay
13.00%
15.65%
FMF
WTMF

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


First Trust Managed Futures Strategy Fund

WisdomTree Managed Futures Strategy Fund

FMF vs. WTMF - Expense Ratio Comparison

FMF has a 0.95% expense ratio, which is higher than WTMF's 0.65% expense ratio.


FMF
First Trust Managed Futures Strategy Fund
Expense ratio chart for FMF: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for WTMF: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%

Risk-Adjusted Performance

FMF vs. WTMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and WisdomTree Managed Futures Strategy Fund (WTMF). 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
Sharpe ratio
The chart of Sharpe ratio for FMF, currently valued at 0.54, compared to the broader market0.002.004.006.000.54
Sortino ratio
The chart of Sortino ratio for FMF, currently valued at 0.80, compared to the broader market0.005.0010.000.80
Omega ratio
The chart of Omega ratio for FMF, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.10
Calmar ratio
The chart of Calmar ratio for FMF, currently valued at 0.34, compared to the broader market0.005.0010.0015.000.34
Martin ratio
The chart of Martin ratio for FMF, currently valued at 1.49, compared to the broader market0.0020.0040.0060.0080.00100.001.49
WTMF
Sharpe ratio
The chart of Sharpe ratio for WTMF, currently valued at 1.79, compared to the broader market0.002.004.006.001.79
Sortino ratio
The chart of Sortino ratio for WTMF, currently valued at 2.63, compared to the broader market0.005.0010.002.63
Omega ratio
The chart of Omega ratio for WTMF, currently valued at 1.31, compared to the broader market0.501.001.502.002.503.001.31
Calmar ratio
The chart of Calmar ratio for WTMF, currently valued at 2.58, compared to the broader market0.005.0010.0015.002.58
Martin ratio
The chart of Martin ratio for WTMF, currently valued at 10.10, compared to the broader market0.0020.0040.0060.0080.00100.0010.10

FMF vs. WTMF - Sharpe Ratio Comparison

The current FMF Sharpe Ratio is 0.54, which is lower than the WTMF Sharpe Ratio of 1.79. The chart below compares the 12-month rolling Sharpe Ratio of FMF and WTMF.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00December2024FebruaryMarchAprilMay
0.54
1.79
FMF
WTMF

Dividends

FMF vs. WTMF - Dividend Comparison

FMF's dividend yield for the trailing twelve months is around 3.08%, less than WTMF's 4.52% yield.


TTM20232022202120202019201820172016201520142013
FMF
First Trust Managed Futures Strategy Fund
3.08%3.09%0.41%3.29%0.02%1.05%1.56%0.82%0.00%0.00%2.43%2.38%
WTMF
WisdomTree Managed Futures Strategy Fund
4.52%4.74%5.29%14.71%0.47%1.63%3.59%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FMF vs. WTMF - Drawdown Comparison

The maximum FMF drawdown since its inception was -20.32%, smaller than the maximum WTMF drawdown of -30.78%. Use the drawdown chart below to compare losses from any high point for FMF and WTMF. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-6.96%
-1.89%
FMF
WTMF

Volatility

FMF vs. WTMF - Volatility Comparison

First Trust Managed Futures Strategy Fund (FMF) and WisdomTree Managed Futures Strategy Fund (WTMF) have volatilities of 1.94% and 1.97%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%December2024FebruaryMarchAprilMay
1.94%
1.97%
FMF
WTMF