FTLS vs. FMF
FTLS (First Trust Long/Short Equity ETF) and FMF (First Trust Managed Futures Strategy Fund) are both exchange-traded funds - FTLS is a Long-Short fund actively managed by First Trust, while FMF is a Hedge Fund fund actively managed by First Trust. Both are actively managed. Over the past 10 years, FTLS returned 9.81%/yr vs 3.14%/yr for FMF. At a 0.13 correlation, their price movements are largely independent. FTLS charges 1.60%/yr vs 0.95%/yr for FMF.
Performance
FTLS vs. FMF - Performance Comparison
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Returns By Period
In the year-to-date period, FTLS achieves a 5.21% return, which is significantly lower than FMF's 10.60% return. Over the past 10 years, FTLS has outperformed FMF with an annualized return of 9.81%, while FMF has yielded a comparatively lower 3.14% annualized return.
FTLS
- 1D
- 0.67%
- 1M
- 1.31%
- YTD
- 5.21%
- 6M
- 4.51%
- 1Y
- 14.78%
- 3Y*
- 14.27%
- 5Y*
- 10.33%
- 10Y*
- 9.81%
FMF
- 1D
- -0.13%
- 1M
- 0.70%
- YTD
- 10.60%
- 6M
- 11.04%
- 1Y
- 21.48%
- 3Y*
- 6.66%
- 5Y*
- 4.59%
- 10Y*
- 3.14%
FTLS vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FTLS First Trust Long/Short Equity ETF | 5.21% | 9.09% | 18.80% | 16.94% | -5.56% | 19.65% | 2.56% | 16.16% | -4.81% | 14.41% |
FMF First Trust Managed Futures Strategy Fund | 10.60% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -5.16% | -2.64% | 1.70% |
Correlation
The correlation between FTLS and FMF is 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.08 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.15 |
Correlation (All Time) Calculated using the full available price history since Sep 11, 2014 | 0.13 |
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Return for Risk
FTLS vs. FMF — Risk / Return Rank
FTLS
FMF
FTLS vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Long/Short Equity ETF (FTLS) and First Trust Managed Futures Strategy Fund (FMF). 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.
| FTLS | FMF | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.81 | 2.23 | -0.42 |
Sortino ratioReturn per unit of downside risk | 2.64 | 3.21 | -0.57 |
Omega ratioGain probability vs. loss probability | 1.33 | 1.40 | -0.07 |
Calmar ratioReturn relative to maximum drawdown | 3.96 | 6.37 | -2.41 |
Martin ratioReturn relative to average drawdown | 12.34 | 18.09 | -5.75 |
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
| FTLS | FMF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.81 | 2.23 | -0.42 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.98 | 0.43 | +0.55 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.87 | 0.27 | +0.60 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.81 | 0.17 | +0.64 |
Drawdowns
FTLS vs. FMF - Drawdown Comparison
The maximum FTLS drawdown since its inception was -20.54%, smaller than the maximum FMF drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for FTLS and FMF.
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Drawdown Indicators
| FTLS | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.54% | -22.21% | +1.67% |
Max Drawdown (1Y)Largest decline over 1 year | -3.79% | -3.42% | -0.37% |
Max Drawdown (3Y)Largest decline over 3 years | -11.69% | -7.25% | -4.44% |
Max Drawdown (5Y)Largest decline over 5 years | -11.69% | -14.98% | +3.29% |
Max Drawdown (10Y)Largest decline over 10 years | -20.54% | -16.89% | -3.65% |
Current DrawdownCurrent decline from peak | -0.15% | -0.39% | +0.24% |
Average DrawdownAverage peak-to-trough decline | -2.69% | -9.86% | +7.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.21% | 1.20% | +0.01% |
Volatility
FTLS vs. FMF - Volatility Comparison
First Trust Long/Short Equity ETF (FTLS) and First Trust Managed Futures Strategy Fund (FMF) have volatilities of 1.93% and 1.87%, 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.
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Volatility by Period
| FTLS | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.93% | 1.87% | +0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 5.65% | 7.11% | -1.46% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.19% | 9.66% | -1.47% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.55% | 10.75% | -0.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.30% | 11.72% | -0.42% |
FTLS vs. FMF - Expense Ratio Comparison
FTLS has a 1.60% expense ratio, which is higher than FMF's 0.95% expense ratio.
Dividends
FTLS vs. FMF - Dividend Comparison
FTLS's dividend yield for the trailing twelve months is around 0.90%, less than FMF's 4.97% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 4.97% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% | 0.00% | 0.00% |
FTLS First Trust Long/Short Equity ETF | 0.90% | 1.07% | 1.50% | 1.49% | 0.81% | 0.01% | 0.44% | 0.83% | 0.87% | 0.43% | 1.04% | 0.49% |
Frequently Asked Questions
FTLS and FMF have a correlation of 0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FTLS has higher volatility (1.93%) compared to FMF (1.87%). In terms of maximum drawdown, FTLS dropped -20.54% vs FMF's -22.21%.
On 10-year performance, FTLS leads with 9.81% vs 3.14% for FMF. On fees, FMF is cheaper at 0.95% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FTLS has performed better with a 9.81% return vs 3.14%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FMF is cheaper with a 0.95% expense ratio, compared with 1.60% for FTLS.
FMF has the higher dividend yield at 4.97%, compared with 0.90% for FTLS.
FTLS is categorized as Long-Short, while FMF is Hedge Fund. Their fees differ too: 1.60% for FTLS and 0.95% for FMF.
FMF currently has the higher Sharpe Ratio (2.23 vs 1.81), 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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