First Trust Managed Futures Strategy Fund (FMF) Performance
FMF total return
Distributions reinvested · as of Oct 23, 2026- YTD
- +11.8% since Dec 31, 2025
- 1 year
- +10.9% total return
- 5 years
- +5.3% a year
- 10 years
- +2.8% a year
- Since first price
- +2.3% a year since 2013
FMF trailing returns vs SPY, QQQ, AGG
| Period | FMF total return | Price only | S&P 500 (SPY) | Nasdaq-100 (QQQ) | U.S. bonds (AGG) |
|---|---|---|---|---|---|
| 1 month | −0.9% | −1.4% | −1.0% | −5.0% | +0.9% |
| 3 months | +3.6% | +3.1% | +3.2% | +1.9% | −0.4% |
| 6 months | +2.0% | +1.1% | +7.8% | +8.4% | −1.5% |
| YTD | +11.8% | +10.4% | +12.3% | +15.1% | −1.0% |
| 1 year | +10.9% | +5.4% | +14.4% | +15.9% | −1.1% |
| 3 years | +21.5%+6.7%/yr | +7.3% | +87.4%+23.3%/yr | +101.4%+26.3%/yr | +16.6%+5.2%/yr |
| 5 years | +29.3%+5.3%/yr | +7.8% | +79.3%+12.4%/yr | +94.0%+14.2%/yr | −0.8%−0.2%/yr |
| 10 years | +31.8%+2.8%/yr | +6.2% | +315.9%+15.3%/yr | +538.9%+20.4%/yr | +14.0%+1.3%/yr |
| Since inceptionAug 2, 2013 | +35.1%+2.3%/yr | +3.8% | — | — | — |
Total return from adjusted closes (distributions reinvested, before tax). Periods of 3 years or more are also shown annualized. Price only excludes distributions.
Growth of $10,000: FMF vs SPY
From Aug 2, 2013: FMF grew to $13,511, SPY to $55,576.
Year-end values with distributions reinvested, no taxes or trading costs. Start: first common trading day of both funds.
FMF returns by calendar year
7 of 12 full years positive. Best 2024 (+8.2%), worst 2019 (−5.2%). 2026 is year to date.
FMF annual returns table
| Year | FMF | Largest drop | SPY | QQQ | AGG |
|---|---|---|---|---|---|
| 2026YTD | +11.8% | −4.5% | +12.3% | +15.1% | −1.0% |
| 2025 | +4.5% | −6.9% | +17.7% | +20.8% | +7.2% |
| 2024 | +8.2% | −6.6% | +24.9% | +25.6% | +1.3% |
| 2023 | −0.2% | −6.3% | +26.2% | +54.9% | +5.7% |
| 2022 | +5.2% | −13.7% | −18.2% | −32.6% | −13.0% |
| 2021 | +3.6% | −7.9% | +28.7% | +27.4% | −1.8% |
| 2020 | +5.7% | −6.4% | +18.3% | +48.6% | +7.5% |
| 2019 | −5.2% | −5.5% | +31.2% | +39.0% | +8.5% |
| 2018 | −2.6% | −8.6% | −4.6% | −0.1% | +0.1% |
| 2017 | +1.7% | −7.6% | +21.7% | +32.7% | +3.6% |
| 2016 | −4.1% | −8.2% | +12.0% | +7.1% | +2.4% |
| 2015 | −0.7% | −9.2% | +1.2% | +9.4% | +0.5% |
| 2014 | +0.4% | −11.7% | +13.5% | +19.2% | +6.0% |
Largest drop = deepest fall from a high within that calendar year.
Calendar-year return vs largest drop within the year
Most years include a sizable fall at some point even when the year ends higher.
FMF largest drawdowns
Now 1.6% below the high| Peak | Decline | Bottom | Recovered | Fall | Underwater |
|---|---|---|---|---|---|
| Apr 2, 2014 | −20.3% | Mar 24, 2020 | Mar 7, 2022 | 6.0 years | 7.9 years |
| Jun 14, 2022 | −15.0% | Mar 15, 2023 | Oct 6, 2025 | 9 months | 3.3 years |
Declines from a closing high (distributions reinvested) of 10% or more. Underwater = time from the peak until the old high was regained.
FMF risk statistics
| Statistic | 3 years | 5 years | 10 years | Since 2013 |
|---|---|---|---|---|
| Annualized return | +6.5% | +5.7% | +3.2% | +2.5% |
| Volatility (annualized) | 7.4% | 7.9% | 7.5% | 7.3% |
| Sharpe ratio | 0.30 | 0.28 | 0.16 | 0.14 |
| Sortino ratio | 0.48 | 0.42 | 0.22 | 0.21 |
| Best month | +4.7% | +5.3% | +5.3% | +5.3% |
| Worst month | −2.8% | −6.4% | −6.4% | −6.4% |
| Best 12 months | +21.1% | +21.1% | +21.1% | +21.1% |
| Worst 12 months | −4.6% | −5.6% | −10.3% | −10.5% |
| Positive months | 58% | 62% | 58% | 58% |
| Beta vs S&P 500 | 0.13 | -0.05 | 0.03 | — |
| Correlation with S&P 500 | 0.22 | -0.10 | 0.06 | — |
From monthly total returns. Sharpe and Sortino use 1–3 month T-bills (BIL) as the risk-free rate, so they need history from 2007 on.
FMF rolling returns
| Holding period | Periods | Worst | Median | Best | Positive |
|---|---|---|---|---|---|
| 1-year | 147 | −10.5% | +1.9% | +21.1% | 59% |
| 3-year (a year) | 123 | −3.6% | +0.8% | +7.3% | 57% |
| 5-year (a year) | 99 | −2.9% | +1.4% | +5.7% | 72% |
| 10-year (a year) | 39 | +0.0% | +1.2% | +3.2% | 100% |
Every holding period starting at a month-end since 2013. Returns for 3 years and longer are annualized.
FMF performance overview
First Trust Managed Futures Strategy Fund (FMF) returned +10.9% over the past year and +2.8% a year over ten years, with distributions reinvested. Since its first recorded price in 2013 it has returned +2.3% a year, turning $10,000 into about $13,511. Over the same year S&P 500 (SPY) returned +14.4%.
The deepest decline was −20.3%, from Apr 2, 2014 to Mar 24, 2020, and it took 2.0 years to get back to the old high. FMF finished 7 of its 12 full calendar years with a gain; the best year was 2024 (+8.2%) and the worst 2019 (−5.2%). Volatility has been 7.3% a year.
Related: FMF chart, FMF dividends. See the FMF overview for the latest quote and fund facts.
FMF performance FAQ
What is the FMF return over the past year?
FMF returned +10.9% over the 12 months to October 23, 2026, including reinvested distributions. On price alone it rose 5.4%.
What is the average annual return of FMF?
FMF has returned +5.3% a year over 5 years, +2.8% a year over 10 years, +2.3% a year since August 2, 2013 (total return, distributions reinvested).
How much would $10,000 invested in FMF be worth?
$10,000 invested in FMF at its first recorded close on August 2, 2013 would be worth about $13,511 on October 23, 2026 with distributions reinvested.
What was the worst year for FMF?
The worst calendar year was 2019, with a total return of −5.2%. The best was 2024 at +8.2%.
What is the biggest drawdown of FMF?
The largest peak-to-trough decline was −20.3% between April 2, 2014 and March 24, 2020. It recovered to the old high on March 7, 2022, 2.0 years after the bottom.
How volatile is FMF?
Over the past 3 years FMF had an annualized volatility of 7.4% and a Sharpe ratio of 0.30 (excess return over 1–3 month T-bills per unit of risk).