MRSK vs. FMF
Compare and contrast key facts about Agility Shares Managed Risk ETF (MRSK) and First Trust Managed Futures Strategy Fund (FMF).
MRSK and FMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MRSK is an actively managed fund by Toews Corp.. It was launched on Jun 25, 2020. FMF is an actively managed fund by First Trust. It was launched on Aug 1, 2013.
Performance
MRSK vs. FMF - Performance Comparison
Loading graphics...
MRSK vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
MRSK Agility Shares Managed Risk ETF | -4.57% | 11.93% | 14.62% | 13.29% | -11.86% | 20.74% | 16.42% |
FMF First Trust Managed Futures Strategy Fund | 8.34% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 1.38% |
Returns By Period
In the year-to-date period, MRSK achieves a -4.57% return, which is significantly lower than FMF's 8.34% return.
MRSK
- 1D
- -0.62%
- 1M
- -5.52%
- YTD
- -4.57%
- 6M
- -1.23%
- 1Y
- 11.20%
- 3Y*
- 9.34%
- 5Y*
- 6.95%
- 10Y*
- —
FMF
- 1D
- 0.32%
- 1M
- 0.62%
- YTD
- 8.34%
- 6M
- 8.62%
- 1Y
- 15.95%
- 3Y*
- 7.16%
- 5Y*
- 4.92%
- 10Y*
- 2.64%
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
MRSK vs. FMF - Expense Ratio Comparison
MRSK has a 0.99% expense ratio, which is higher than FMF's 0.95% expense ratio.
Return for Risk
MRSK vs. FMF — Risk / Return Rank
MRSK
FMF
MRSK vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Agility Shares Managed Risk ETF (MRSK) 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.
| MRSK | FMF | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.93 | 1.61 | -0.68 |
Sortino ratioReturn per unit of downside risk | 1.37 | 2.30 | -0.94 |
Omega ratioGain probability vs. loss probability | 1.18 | 1.28 | -0.10 |
Calmar ratioReturn relative to maximum drawdown | 1.46 | 4.67 | -3.21 |
Martin ratioReturn relative to average drawdown | 6.32 | 9.47 | -3.16 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading graphics...
Sharpe Ratios by Period
| MRSK | FMF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.93 | 1.61 | -0.68 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.60 | 0.46 | +0.14 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.22 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.83 | 0.16 | +0.67 |
Correlation
The correlation between MRSK and FMF is 0.10, 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.
Dividends
MRSK vs. FMF - Dividend Comparison
MRSK's dividend yield for the trailing twelve months is around 0.39%, less than FMF's 5.08% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MRSK Agility Shares Managed Risk ETF | 0.39% | 0.37% | 0.44% | 0.60% | 1.11% | 14.20% | 4.29% | 0.00% | 0.00% | 0.00% |
FMF First Trust Managed Futures Strategy Fund | 5.08% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
Drawdowns
MRSK vs. FMF - Drawdown Comparison
The maximum MRSK drawdown since its inception was -14.70%, smaller than the maximum FMF drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for MRSK and FMF.
Loading graphics...
Drawdown Indicators
| MRSK | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.70% | -22.21% | +7.51% |
Max Drawdown (1Y)Largest decline over 1 year | -7.82% | -3.47% | -4.35% |
Max Drawdown (5Y)Largest decline over 5 years | -14.70% | -14.98% | +0.28% |
Max Drawdown (10Y)Largest decline over 10 years | — | -16.89% | — |
Current DrawdownCurrent decline from peak | -6.66% | -0.35% | -6.31% |
Average DrawdownAverage peak-to-trough decline | -3.64% | -9.99% | +6.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.81% | 1.71% | +0.10% |
Volatility
MRSK vs. FMF - Volatility Comparison
Agility Shares Managed Risk ETF (MRSK) has a higher volatility of 4.68% compared to First Trust Managed Futures Strategy Fund (FMF) at 3.52%. This indicates that MRSK'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.
Loading graphics...
Volatility by Period
| MRSK | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.68% | 3.52% | +1.16% |
Volatility (6M)Calculated over the trailing 6-month period | 8.85% | 7.40% | +1.45% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.10% | 9.94% | +2.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.64% | 10.76% | +0.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.91% | 11.83% | +0.08% |