FMF — First Trust Morningstar Managed Futures Strategy Fund
Data updated: 2026-05-28
FMF — First Trust Morningstar Managed Futures Strategy Fund data: holdings, portfolio allocation, expenses, performance, cashflows, risk and SEC filings. Commodity · $252.89M AUM · 0.98% expense ratio · 15.7% 1-yr return. From SEC regulatory filings.
FMF Fund Overview
FMF — First Trust Morningstar Managed Futures Strategy Fund is a US ETF managed by First Trust Exchange-Traded Fund V, categorised as Commodity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US ETF
- Manager: First Trust Exchange-Traded Fund V
- Category: Commodity
- Assets under management: $252.89M
- 1-year return: 15.7%
- Ticker: FMF
- SEC CIK: 0001549548
- SEC series ID: S000037848
- Share class ID: C000116776
FMF Holdings
Top 10 holdings of First Trust Morningstar Managed Futures Strategy Fund by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| Morgan Stanley Institutional Liquidity Funds | 27.55% |
| Dreyfus Government Cash Management Funds | 27.55% |
| United States Treasury Bills | 11.83% |
| United States Treasury Bills | 9.87% |
| United States Treasury Bills | 9.81% |
| United States Treasury Bills | 7.86% |
| United States Treasury Bills | 5.91% |
| United States Treasury Notes | 2.75% |
| New York Mercantile Exchange, Inc. | 1.04% |
| New York Mercantile Exchange, Inc. | 0.54% |
FMF Portfolio Allocation
Asset-class allocation of First Trust Morningstar Managed Futures Strategy Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Cash & Equivalents | 55.1% |
| Fixed Income | 48.0% |
| Derivatives | 2.3% |
| Real Estate | 0.4% |
FMF Performance
Total returns for FMF (as of 2026-08-01), from SEC filings.
| Period | Total return |
|---|---|
| YTD | 8.3% |
| 1 year | 15.7% |
| 3 years (annualised) | 7.2% |
| 5 years (annualised) | 5.1% |
FMF Risk Information
Risk metrics for FMF, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 6.4%
FMF Costs and Fees
FMF costs about $98 per $10,000 invested per year in fund expenses.
- Net expense ratio: 0.98%
- Gross expense ratio: 0.98%
- Portfolio turnover: 10%
- Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)
FMF Cashflows
Over the 12 months to 2026-03, First Trust Morningstar Managed Futures Strategy Fund had net inflows of $79.12M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2026-03 | $7.53M |
| 2026-02 | $7.42M |
| 2026-01 | $14.34M |
| 2025-12 | $4.86M |
| 2025-11 | $19.32M |
| 2025-10 | $4.86M |
FMF Debt Constituents
Largest debt holdings of First Trust Morningstar Managed Futures Strategy Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Debt holding | % of net assets |
|---|---|
| United States Treasury Bills | 11.83% |
| United States Treasury Bills | 9.87% |
| United States Treasury Bills | 9.81% |
| United States Treasury Bills | 7.86% |
| United States Treasury Bills | 5.91% |
| United States Treasury Notes | 2.75% |
FMF Prospectus and SEC Filings
Official First Trust Morningstar Managed Futures Strategy Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
Related Funds
Other Commodity funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.