Performance analysis of FMF (FIRST TRUST MANAGED FUTURES STRATEGY FUND)
Annual Return
Over the past 3 years, FMF has had an average annual return of +6.68%, underperforming the benchmark SPY, which returned +22.77% annual.
Over the past 5 years, FMF has had an average annual return of +4.60%, underperforming the benchmark SPY, which returned +14% annual.
Over the past 10 years, FMF has had an average annual return of +3.14%, underperforming the benchmark SPY, which returned +15.53% annual.
Since Aug 2, 2013, FMF has had an average annual return of +2.09%, underperforming the benchmark SPY, which returned +14.25% annual.
| 2026 | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| +10.59% | +4.55% | +8.16% | -0.17% | +5.24% | +3.57% | +5.69% | -5.18% | -2.64% | +1.70% | -4.12% | -0.71% |
| 2014 | 2013 | ||||||||||
| -1.97% | +3.46% |
Monthly Return
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annually Total |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | +2.36% | +4.71% | +0.76% | +1.91% | -0.05% | +0.54% | +10.59% | ||||||
| 2025 | +1.64% | -2.75% | -1.43% | -1.59% | -1.00% | +1.25% | +2.16% | +3.06% | +2.88% | -0.73% | +0.81% | +0.35% | +4.55% |
| 2024 | +3.15% | +4.42% | +2.54% | -2.39% | -2.02% | +1.42% | -0.58% | -1.58% | +0.23% | -1.31% | +3.87% | +0.45% | +8.16% |
| 2023 | -1.14% | +0.25% | +0.25% | +1.83% | +0.71% | -0.09% | +2.38% | -0.29% | +1.14% | -1.26% | -1.30% | -2.54% | -0.17% |
| 2022 | +0.19% | +1.95% | +5.27% | +4.72% | +0.68% | +0.08% | -4.31% | +1.36% | +2.99% | -0.36% | -6.37% | -0.49% | +5.24% |
| 2021 | +0.94% | +2.59% | +0.96% | +1.83% | +1.75% | -0.58% | -0.98% | -1.49% | -0.07% | +1% | -3.29% | +1.01% | +3.57% |
| 2020 | +0.02% | -1.44% | +3.35% | -0.47% | +1.71% | +0.04% | +1.05% | +0.51% | -3.01% | -1.69% | +2.41% | +3.30% | +5.69% |
| 2019 | -1.72% | -0.30% | +0.14% | +0.80% | -3.63% | +0.99% | +1.06% | +1.95% | -1.61% | -0.84% | -0.52% | -1.50% | -5.18% |
| 2018 | +1.90% | -2.76% | +0.77% | +1.29% | -0.96% | +1.74% | -1.28% | +3.91% | +1.31% | -2.84% | -2.23% | -3.23% | -2.64% |
| 2017 | -2.10% | +5.13% | -5.51% | -0.20% | +3.02% | -2.80% | -0.27% | +0.73% | +0.71% | +1.50% | +0.06% | +1.85% | +1.70% |
Drawdown analysis of FMF (FIRST TRUST MANAGED FUTURES STRATEGY FUND)
The maximum drawdown for the FMF was -22.22%, occurring on Mar 24, 2020. Recovery took 497 trading sessions.
The current FMF drawdown is -0.40%.
Since Aug 2, 2013 FMF has experienced the following drawdowns:
- 20% or more: 1 time
- 10% or more: 2 times
| Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -22.22% | Apr 2, 2014 | 1504 | Mar 24, 2020 | 497 | Mar 14, 2022 | 2001 |
| -14.98% | Jun 14, 2022 | 188 | Mar 15, 2023 | 642 | Oct 6, 2025 | 830 |
| -7.98% | Mar 14, 2022 | 4 | Mar 18, 2022 | 57 | Jun 9, 2022 | 61 |
| -3.58% | Dec 30, 2013 | 25 | Feb 5, 2014 | 35 | Mar 27, 2014 | 60 |
| -3.42% | Mar 12, 2026 | 9 | Mar 25, 2026 | 6 | Apr 2, 2026 | 15 |
| -3.13% | Oct 15, 2025 | 14 | Nov 4, 2025 | 45 | Jan 9, 2026 | 59 |
| -2.32% | Feb 11, 2026 | 1 | Feb 12, 2026 | 4 | Feb 19, 2026 | 5 |
| -2.22% | Aug 2, 2013 | 20 | Aug 30, 2013 | 28 | Oct 10, 2013 | 48 |
| -1.69% | Feb 4, 2026 | 1 | Feb 5, 2026 | 1 | Feb 6, 2026 | 2 |
| -1.55% | Jan 15, 2026 | 2 | Jan 20, 2026 | 10 | Feb 3, 2026 | 12 |
| -1.47% | Oct 22, 2013 | 12 | Nov 7, 2013 | 5 | Nov 14, 2013 | 17 |
| -1.40% | May 18, 2026 | 6 | May 27, 2026 | Ongoing | Ongoing | Ongoing |
| -1.28% | Apr 29, 2026 | 5 | May 6, 2026 | 4 | May 12, 2026 | 9 |
| -1.28% | Mar 2, 2026 | 1 | Mar 3, 2026 | 1 | Mar 4, 2026 | 2 |
| -1.18% | Oct 8, 2025 | 2 | Oct 10, 2025 | 1 | Oct 13, 2025 | 3 |
| -1.13% | Apr 7, 2026 | 8 | Apr 17, 2026 | 6 | Apr 27, 2026 | 14 |
| -0.93% | Mar 4, 2026 | 3 | Mar 9, 2026 | 2 | Mar 11, 2026 | 5 |
| -0.75% | Mar 27, 2014 | 1 | Mar 28, 2014 | 3 | Apr 2, 2014 | 4 |
| -0.70% | Oct 6, 2025 | 1 | Oct 7, 2025 | 1 | Oct 8, 2025 | 2 |
| -0.62% | Dec 2, 2013 | 9 | Dec 13, 2013 | 3 | Dec 18, 2013 | 12 |
| -0.44% | Oct 14, 2013 | 1 | Oct 15, 2013 | 1 | Oct 16, 2013 | 2 |
| -0.43% | Dec 18, 2013 | 1 | Dec 19, 2013 | 4 | Dec 26, 2013 | 5 |
| -0.37% | Nov 18, 2013 | 2 | Nov 20, 2013 | 1 | Nov 21, 2013 | 3 |
| -0.31% | May 12, 2026 | 3 | May 15, 2026 | 1 | May 18, 2026 | 4 |
| -0.29% | Oct 13, 2025 | 1 | Oct 14, 2025 | 1 | Oct 15, 2025 | 2 |