SDMF vs. FMF
SDMF (Simplify DBi CTA Managed Futures Index ETF) and FMF (First Trust Managed Futures Strategy Fund) are both Systematic Trend funds. SDMF is passively managed, while FMF is actively managed. Their 0.48 correlation means their historical movements had little consistent relationship. SDMF charges 0.35%/yr vs 0.95%/yr for FMF.
Performance
SDMF vs. FMF - Performance Comparison
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Returns By Period
SDMF
- 1D
- 1.66%
- 1M
- 3.21%
- 6M
- —
- YTD
- —
- 1Y
- —
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- —
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 | |
| $589.61K | $841.42K | $693.99K |
SDMF vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | |
|---|---|
SDMF Simplify DBi CTA Managed Futures Index ETF | 3.49% |
FMF First Trust Managed Futures Strategy Fund | 2.06% |
Correlation
The correlation between SDMF and FMF is 0.48, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (All Time) Calculated using the full available price history since Feb 19, 2026 | 0.49 |
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Return for Risk
SDMF vs. FMF — Risk / Return Rank
SDMF
Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.
FMF
SDMF vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Simplify DBi CTA Managed Futures Index ETF (SDMF) 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.
| SDMF | FMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | — | |
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | — | 1.28 | — |
| Calmar ratioReturn relative to maximum drawdown | — | 3.23 | — |
| Martin ratioReturn relative to average drawdown | — | 8.80 | — |
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Drawdowns
SDMF vs. FMF - Drawdown Comparison
The maximum SDMF drawdown since its inception was -6.23%, smaller than the maximum FMF drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for SDMF and FMF.
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Drawdown Indicators
| SDMF | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -6.23% | -22.21% | +15.98% |
Max Drawdown (1Y)Largest decline over 1 year | — | -4.51% | — |
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 | -0.31% | -3.12% | +2.81% |
Average DrawdownAverage peak-to-trough decline | -2.01% | -9.77% | +7.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | — | 1.65% | — |
Volatility
SDMF vs. FMF - Volatility Comparison
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Volatility by Period
| SDMF | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | — | 3.03% | — |
Volatility (6M)Calculated over the trailing 6-month period | — | 7.51% | — |
Volatility (1Y)Calculated over the trailing 1-year period | 12.51% | 9.56% | +2.95% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.51% | 10.73% | +1.78% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.51% | 11.55% | +0.96% |
SDMF vs. FMF - Expense Ratio Comparison
SDMF has a 0.35% expense ratio, which is lower than FMF's 0.95% expense ratio.
Dividends
SDMF vs. FMF - Dividend Comparison
SDMF's dividend yield for the trailing twelve months is around 0.38%, less 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% |
SDMF Simplify DBi CTA Managed Futures Index ETF | 0.38% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
SDMF and FMF have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, SDMF is cheaper at 0.35% per year. The better choice depends on whether you care most about return, fees, risk, or income.
SDMF is cheaper with a 0.35% expense ratio, compared with 0.95% for FMF.
FMF has the higher dividend yield at 5.03%, compared with 0.38% for SDMF.
They also come from different issuers: Simplify and First Trust. Their fees differ too: 0.35% for SDMF and 0.95% for FMF.
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