RYLD vs. FMF
RYLD (Global X Russell 2000 Covered Call ETF) and FMF (First Trust Managed Futures Strategy Fund) are both Hedge Fund funds. RYLD is passively managed, while FMF is actively managed. Over the past 5 years, RYLD returned 2.69%/yr vs 4.62%/yr for FMF. At a 0.15 correlation, their price movements are largely independent. RYLD charges 0.60%/yr vs 0.95%/yr for FMF.
Performance
RYLD vs. FMF - Performance Comparison
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Returns By Period
In the year-to-date period, RYLD achieves a 8.33% return, which is significantly lower than FMF's 10.96% return.
RYLD
- 1D
- -0.19%
- 1M
- 2.78%
- YTD
- 8.33%
- 6M
- 9.14%
- 1Y
- 21.47%
- 3Y*
- 7.45%
- 5Y*
- 2.69%
- 10Y*
- —
FMF
- 1D
- 0.33%
- 1M
- 1.08%
- YTD
- 10.96%
- 6M
- 11.47%
- 1Y
- 22.22%
- 3Y*
- 6.78%
- 5Y*
- 4.62%
- 10Y*
- 3.17%
RYLD vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
RYLD Global X Russell 2000 Covered Call ETF | 8.33% | 5.65% | 10.13% | 0.27% | -13.03% | 22.13% | -0.44% | 8.92% |
FMF First Trust Managed Futures Strategy Fund | 10.96% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -3.12% |
Correlation
The correlation between RYLD 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 | 0.08 |
Correlation (All Time) Calculated using the full available price history since Apr 23, 2019 | 0.15 |
The correlation between RYLD and FMF shifts across timeframes, from 0.08 (5 years) to 0.27 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
RYLD vs. FMF — Risk / Return Rank
RYLD
FMF
RYLD vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X Russell 2000 Covered Call ETF (RYLD) 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.
| RYLD | FMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.28 | ||
| Sortino ratioReturn per unit of downside risk | -0.45 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.42 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 3.43 | 6.52 | -3.09 |
| Martin ratioReturn relative to average drawdown | 13.86 | 18.49 | -4.62 |
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
| RYLD | FMF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.03 | 2.31 | -0.28 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.19 | 0.43 | -0.24 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.27 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.32 | 0.17 | +0.14 |
Drawdowns
RYLD vs. FMF - Drawdown Comparison
The maximum RYLD drawdown since its inception was -41.53%, which is greater than FMF's maximum drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for RYLD and FMF.
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Drawdown Indicators
| RYLD | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.53% | -22.21% | -19.32% |
Max Drawdown (1Y)Largest decline over 1 year | -6.29% | -3.42% | -2.87% |
Max Drawdown (3Y)Largest decline over 3 years | -19.05% | -7.25% | -11.80% |
Max Drawdown (5Y)Largest decline over 5 years | -21.33% | -14.98% | -6.35% |
Max Drawdown (10Y)Largest decline over 10 years | — | -16.89% | — |
Current DrawdownCurrent decline from peak | -0.19% | -0.07% | -0.12% |
Average DrawdownAverage peak-to-trough decline | -8.84% | -9.86% | +1.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.55% | 1.20% | +0.35% |
Volatility
RYLD vs. FMF - Volatility Comparison
Global X Russell 2000 Covered Call ETF (RYLD) has a higher volatility of 2.02% compared to First Trust Managed Futures Strategy Fund (FMF) at 1.89%. This indicates that RYLD'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
| RYLD | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.02% | 1.89% | +0.13% |
Volatility (6M)Calculated over the trailing 6-month period | 7.60% | 7.11% | +0.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.67% | 9.66% | +1.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.03% | 10.74% | +3.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.20% | 11.72% | +5.48% |
RYLD vs. FMF - Expense Ratio Comparison
RYLD has a 0.60% expense ratio, which is lower than FMF's 0.95% expense ratio.
Dividends
RYLD vs. FMF - Dividend Comparison
RYLD's dividend yield for the trailing twelve months is around 11.65%, more than FMF's 4.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 4.96% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
RYLD Global X Russell 2000 Covered Call ETF | 11.65% | 12.00% | 12.03% | 12.64% | 13.49% | 12.35% | 10.76% | 6.43% | 0.00% | 0.00% |
Frequently Asked Questions
RYLD 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.
RYLD has higher volatility (2.02%) compared to FMF (1.89%). In terms of maximum drawdown, RYLD dropped -41.53% vs FMF's -22.21%.
On 5-year performance, FMF leads with 4.62% vs 2.69% for RYLD. On fees, RYLD is cheaper at 0.60% per year. On volatility, FMF has been the lower-risk option at 1.89%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, FMF has performed better with a 4.62% return vs 2.69%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
RYLD is cheaper with a 0.60% expense ratio, compared with 0.95% for FMF.
RYLD has the higher dividend yield at 11.65%, compared with 4.96% for FMF.
They also come from different issuers: Global X and First Trust. Their fees differ too: 0.60% for RYLD and 0.95% for FMF.
FMF currently has the higher Sharpe Ratio (2.31 vs 2.03), 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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