FMF — First Trust Morningstar Managed Futures Strategy Fund
Data updated: 2026-08-21
FMF — First Trust Morningstar Managed Futures Strategy Fund. Commodity · $272.27M AUM · 0.98% expense ratio. Holdings, fees, performance and SEC 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: $272.27M
- 1-year return: 16.1%
- 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 | 28.56% |
| Dreyfus Government Cash Management Funds | 28.56% |
| United States Of America - Bureau Of The Public Debt | 10.99% |
| United States Of America - Bureau Of The Public Debt | 9.17% |
| United States Of America - Bureau Of The Public Debt | 7.31% |
| United States Of America - Bureau Of The Public Debt | 7.30% |
| Chicago Mercantile Exchange | 0.44% |
| Osaka Exchange,Inc | 0.19% |
| Ice Futures Europe | 0.14% |
| New York Mercantile Exchange | 0.13% |
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 | 57.1% |
| Fixed Income | 34.8% |
| Derivatives | 0.2% |
FMF Performance
Total returns for FMF (as of 2026-09-01), from SEC filings.
| Period | Total return |
|---|---|
| YTD | 7.5% |
| 1 year | 16.1% |
| 3 years (annualised) | 5.8% |
| 5 years (annualised) | 4.3% |
FMF Risk Information
Risk metrics for FMF, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 6.8%
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 2026-06, First Trust Morningstar Managed Futures Strategy Fund had net inflows of $95.29M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2026-06 | $20.34M |
| 2026-05 | −$5.11M |
| 2026-04 | $7.67M |
| 2026-03 | $7.53M |
| 2026-02 | $7.42M |
| 2026-01 | $14.34M |
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 Of America - Bureau Of The Public Debt | 10.99% |
| United States Of America - Bureau Of The Public Debt | 9.17% |
| United States Of America - Bureau Of The Public Debt | 7.31% |
| United States Of America - Bureau Of The Public Debt | 7.30% |
FMF Prospectus and SEC Filings
Official First Trust Morningstar Managed Futures Strategy Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2026-04-30
- Prospectus (485BPOS) — filed 2025-04-30
- Prospectus (485BPOS) — filed 2024-04-29
- Portfolio holdings (N-PORT) — filed 2026-08-21
- Portfolio holdings (N-PORT) — filed 2026-05-28
- Portfolio holdings (N-PORT) — filed 2026-02-23
- Annual census (N-CEN) — filed 2026-03-12
- Annual census (N-CEN) — filed 2025-03-07
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.