MFUT vs. FMF
MFUT (Cambria Chesapeake Pure Trend ETF) and FMF (First Trust Managed Futures Strategy Fund) are both Systematic Trend funds. Both are actively managed. Over the past year, MFUT returned 32.56% vs 15.06% for FMF. Their 0.44 correlation means their historical movements had little consistent relationship. MFUT charges 1.18%/yr vs 0.95%/yr for FMF.
Performance
MFUT vs. FMF - Performance Comparison
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Returns By Period
In the year-to-date period, MFUT achieves a 17.76% return, which is significantly higher than FMF's 7.57% return.
MFUT
- 1D
- 0.31%
- 1M
- 5.39%
- 6M
- 9.31%
- YTD
- 17.76%
- 1Y
- 32.56%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- -1.69%
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 | |
| $88.88K | $72.41K | $209.22K |
MFUT vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
MFUT Cambria Chesapeake Pure Trend ETF | 17.76% | -1.83% | -16.64% |
FMF First Trust Managed Futures Strategy Fund | 7.57% | 4.54% | 1.90% |
Correlation
The correlation between MFUT and FMF is 0.55, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.55 |
Correlation (All Time) Calculated using the full available price history since May 29, 2024 | 0.44 |
The correlation between MFUT and FMF shifts across timeframes, from 0.44 (all time) to 0.55 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
MFUT vs. FMF — Risk / Return Rank
MFUT
FMF
MFUT vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cambria Chesapeake Pure Trend ETF (MFUT) 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.
| MFUT | FMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.46 | ||
| Sortino ratioReturn per unit of downside risk | +0.25 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.28 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 3.16 | 3.23 | -0.07 |
| Martin ratioReturn relative to average drawdown | 8.45 | 8.80 | -0.35 |
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Drawdowns
MFUT vs. FMF - Drawdown Comparison
The maximum MFUT drawdown since its inception was -29.28%, which is greater than FMF's maximum drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for MFUT and FMF.
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Drawdown Indicators
| MFUT | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -29.28% | -22.21% | -7.07% |
Max Drawdown (1Y)Largest decline over 1 year | -9.89% | -4.51% | -5.38% |
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 | -4.31% | -3.12% | -1.19% |
Average DrawdownAverage peak-to-trough decline | -15.78% | -9.77% | -6.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.70% | 1.65% | +2.05% |
Volatility
MFUT vs. FMF - Volatility Comparison
Cambria Chesapeake Pure Trend ETF (MFUT) has a higher volatility of 4.07% compared to First Trust Managed Futures Strategy Fund (FMF) at 3.03%. This indicates that MFUT'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
| MFUT | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.07% | 3.03% | +1.04% |
Volatility (6M)Calculated over the trailing 6-month period | 13.11% | 7.51% | +5.60% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.72% | 9.56% | +6.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.68% | 10.73% | +2.95% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.68% | 11.55% | +2.13% |
MFUT vs. FMF - Expense Ratio Comparison
MFUT has a 1.18% expense ratio, which is higher than FMF's 0.95% expense ratio.
Dividends
MFUT vs. FMF - Dividend Comparison
MFUT has not paid dividends to shareholders, while FMF's dividend yield for the trailing twelve months is around 5.03%.
| 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% |
MFUT Cambria Chesapeake Pure Trend ETF | 0.00% | 0.00% | 0.33% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
MFUT and FMF have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MFUT has higher volatility (4.07%) compared to FMF (3.03%). In terms of maximum drawdown, MFUT dropped -29.28% vs FMF's -22.21%.
On 1-year performance, MFUT leads with 32.56% vs 15.06% for FMF. On fees, FMF is cheaper at 0.95% per year. On volatility, FMF has been the lower-risk option at 3.03%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, MFUT has performed better with a 32.56% return vs 15.06%. 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 1.18% for MFUT.
FMF has the higher dividend yield at 5.03%, compared with 0.00% for MFUT.
They also come from different issuers: Cambria and First Trust. Their fees differ too: 1.18% for MFUT and 0.95% for FMF.
MFUT currently has the higher Sharpe Ratio (1.99 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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