FVC vs. FMF
FVC (First Trust Dorsey Wright Dynamic Focus 5 ETF) and FMF (First Trust Managed Futures Strategy Fund) are both Hedge Fund funds from First Trust. FVC is passively managed, while FMF is actively managed. Over the past 10 years, FVC returned 8.10%/yr vs 2.56%/yr for FMF. At a 0.19 correlation, their price movements are largely independent. FVC charges 0.71%/yr vs 0.95%/yr for FMF.
Performance
FVC vs. FMF - Performance Comparison
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Returns By Period
In the year-to-date period, FVC achieves a 15.77% return, which is significantly higher than FMF's 6.99% return. Over the past 10 years, FVC has outperformed FMF with an annualized return of 8.10%, while FMF has yielded a comparatively lower 2.56% annualized return.
FVC
- 1D
- -0.75%
- 1M
- 2.32%
- 6M
- 10.28%
- YTD
- 15.77%
- 1Y
- 19.97%
- 3Y*
- 9.19%
- 5Y*
- 4.51%
- 10Y*
- 8.10%
FMF
- 1D
- -0.20%
- 1M
- -1.16%
- 6M
- 4.35%
- YTD
- 6.99%
- 1Y
- 15.41%
- 3Y*
- 5.70%
- 5Y*
- 4.11%
- 10Y*
- 2.56%
FVC vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FVC First Trust Dorsey Wright Dynamic Focus 5 ETF | 15.77% | 2.12% | 12.43% | -4.59% | -6.03% | 21.92% | 12.71% | 19.28% | -8.60% | 19.74% |
FMF First Trust Managed Futures Strategy Fund | 6.99% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -5.16% | -2.64% | 1.70% |
Correlation
The correlation between FVC and FMF is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.27 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.20 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.15 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Mar 18, 2016 | 0.19 |
The correlation between FVC and FMF shifts across timeframes, from 0.15 (5 years) to 0.27 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FVC vs. FMF — Risk / Return Rank
FVC
FMF
FVC vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Dorsey Wright Dynamic Focus 5 ETF (FVC) 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.
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.
| FVC | FMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.29 | ||
| Sortino ratioReturn per unit of downside risk | -0.50 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.28 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 1.51 | 3.43 | -1.93 |
| Martin ratioReturn relative to average drawdown | 5.74 | 10.37 | -4.64 |
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Drawdowns
FVC vs. FMF - Drawdown Comparison
The maximum FVC drawdown since its inception was -30.96%, which is greater than FMF's maximum drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for FVC and FMF.
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Drawdown Indicators
| FVC | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.96% | -22.21% | -8.75% |
Max Drawdown (1Y)Largest decline over 1 year | -13.32% | -4.51% | -8.81% |
Max Drawdown (3Y)Largest decline over 3 years | -14.75% | -7.25% | -7.50% |
Max Drawdown (5Y)Largest decline over 5 years | -22.62% | -14.98% | -7.64% |
Max Drawdown (10Y)Largest decline over 10 years | -30.96% | -16.89% | -14.07% |
Current DrawdownCurrent decline from peak | -3.87% | -3.64% | -0.23% |
Average DrawdownAverage peak-to-trough decline | -7.01% | -9.80% | +2.79% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.49% | 1.49% | +2.00% |
Volatility
FVC vs. FMF - Volatility Comparison
First Trust Dorsey Wright Dynamic Focus 5 ETF (FVC) has a higher volatility of 7.56% compared to First Trust Managed Futures Strategy Fund (FMF) at 3.32%. This indicates that FVC's price experiences larger fluctuations and is considered to be riskier than FMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FVC | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.56% | 3.32% | +4.24% |
Volatility (6M)Calculated over the trailing 6-month period | 14.60% | 7.67% | +6.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.53% | 9.84% | +5.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.66% | 10.78% | +5.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.73% | 11.63% | +6.10% |
FVC vs. FMF - Expense Ratio Comparison
FVC has a 0.71% expense ratio, which is lower than FMF's 0.95% expense ratio.
Dividends
FVC vs. FMF - Dividend Comparison
FVC's dividend yield for the trailing twelve months is around 1.31%, less than FMF's 5.05% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 5.05% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% | 0.00% |
FVC First Trust Dorsey Wright Dynamic Focus 5 ETF | 1.31% | 2.57% | 0.78% | 1.89% | 1.50% | 0.09% | 0.21% | 1.07% | 0.24% | 0.63% | 0.67% |
Frequently Asked Questions
FVC and FMF have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FVC has higher volatility (7.56%) compared to FMF (3.32%). In terms of maximum drawdown, FVC dropped -30.96% vs FMF's -22.21%.
On 10-year performance, FVC leads with 8.10% vs 2.56% for FMF. On fees, FVC is cheaper at 0.71% per year. On volatility, FMF has been the lower-risk option at 3.32%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FVC has performed better with a 8.10% return vs 2.56%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FVC is cheaper with a 0.71% expense ratio, compared with 0.95% for FMF.
FMF has the higher dividend yield at 5.05%, compared with 1.31% for FVC.
Their fees differ too: 0.71% for FVC and 0.95% for FMF.
FMF currently has the higher Sharpe Ratio (1.58 vs 1.29), 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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