ISMF vs. FMF
ISMF (iShares Managed Futures Active ETF) and FMF (First Trust Managed Futures Strategy Fund) are both Systematic Trend funds. Both are actively managed. Over the past year, ISMF returned 20.45% vs 15.06% for FMF. Their 0.36 correlation means their historical movements had little consistent relationship. ISMF charges 0.80%/yr vs 0.95%/yr for FMF.
Performance
ISMF vs. FMF - Performance Comparison
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Returns By Period
In the year-to-date period, ISMF achieves a 6.88% return, which is significantly lower than FMF's 7.57% return.
ISMF
- 1D
- 0.95%
- 1M
- 1.14%
- 6M
- 3.81%
- YTD
- 6.88%
- 1Y
- 20.45%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 13.55%
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%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.63M | $1.43M | $2.63M | |
| $215.88K | $190.10K | $233.30K |
ISMF vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
ISMF iShares Managed Futures Active ETF | 6.88% | 11.53% |
FMF First Trust Managed Futures Strategy Fund | 7.57% | 7.95% |
Correlation
The correlation between ISMF and FMF is 0.40, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.40 |
Correlation (All Time) Calculated using the full available price history since Mar 13, 2025 | 0.36 |
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Return for Risk
ISMF vs. FMF — Risk / Return Rank
ISMF
FMF
ISMF vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Managed Futures Active ETF (ISMF) 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.
| ISMF | FMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.97 | ||
| Sortino ratioReturn per unit of downside risk | +1.19 | ||
| Omega ratioGain probability vs. loss probability | 1.51 | 1.28 | +0.23 |
| Calmar ratioReturn relative to maximum drawdown | 5.14 | 3.23 | +1.91 |
| Martin ratioReturn relative to average drawdown | 15.58 | 8.80 | +6.78 |
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Drawdowns
ISMF vs. FMF - Drawdown Comparison
The maximum ISMF drawdown since its inception was -4.23%, smaller than the maximum FMF drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for ISMF and FMF.
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Drawdown Indicators
| ISMF | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -4.23% | -22.21% | +17.98% |
Max Drawdown (1Y)Largest decline over 1 year | -3.94% | -4.51% | +0.57% |
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 DrawdownCurrent decline from peak | -1.38% | -3.12% | +1.74% |
Average DrawdownAverage peak-to-trough decline | -1.31% | -9.77% | +8.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.30% | 1.65% | -0.35% |
Volatility
ISMF vs. FMF - Volatility Comparison
The current volatility for iShares Managed Futures Active ETF (ISMF) is 1.93%, while First Trust Managed Futures Strategy Fund (FMF) has a volatility of 3.03%. This indicates that ISMF experiences smaller price fluctuations and is considered to be less risky 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
| ISMF | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.93% | 3.03% | -1.10% |
Volatility (6M)Calculated over the trailing 6-month period | 5.93% | 7.51% | -1.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.10% | 9.56% | -1.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.63% | 10.73% | -3.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.63% | 11.55% | -3.92% |
ISMF vs. FMF - Expense Ratio Comparison
ISMF has a 0.80% expense ratio, which is lower than FMF's 0.95% expense ratio.
Dividends
ISMF vs. FMF - Dividend Comparison
ISMF's dividend yield for the trailing twelve months is around 5.83%, more than FMF's 5.03% yield.
| 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% |
ISMF iShares Managed Futures Active ETF | 5.83% | 6.23% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
ISMF and FMF have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMF has higher volatility (3.03%) compared to ISMF (1.93%). In terms of maximum drawdown, ISMF dropped -4.23% vs FMF's -22.21%.
On 1-year performance, ISMF leads with 20.45% vs 15.06% for FMF. On fees, ISMF is cheaper at 0.80% per year. On volatility, ISMF has been the lower-risk option at 1.93%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, ISMF has performed better with a 20.45% return vs 15.06%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ISMF is cheaper with a 0.80% expense ratio, compared with 0.95% for FMF.
ISMF has the higher dividend yield at 5.83%, compared with 5.03% for FMF.
They also come from different issuers: iShares and First Trust. Their fees differ too: 0.80% for ISMF and 0.95% for FMF.
ISMF currently has the higher Sharpe Ratio (2.50 vs 1.53), 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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