FMF Performance — First Trust Managed Futures Strategy Fund
Data updated: 2026-08-21
FMF returned +7.45% year to date and +16.13% over one year to Jun 2026. Annualised returns are +5.78% over 3 years and +4.27% over 5 years. The fund trailed its Commodities category average: $100 invested three years ago grew to $118, against $165 for the category, and to $116 over one year, against $130. Volatility over the past three years was 7.04% a year. In the 12 months to Jun 2026 the fund took in a net $95.3M, and assets reached $272.27M.
FMF Growth of $100
What $100 invested in First Trust Managed Futures Strategy Fund grew to, compounded from monthly returns reported on SEC Form N-PORT, against the Commodities category average over the same months.
| Period | FMF | Category average |
|---|---|---|
| 1 year (Jul 2025 – Jun 2026) | $116 | $130 |
| 3 years (Jul 2023 – Jun 2026) | $118 | $165 |
| 5 years (Jul 2021 – Jun 2026) | $123 | $171 |
| Since data start (Jul 2019 – Jun 2026) | $137 | $213 |
FMF Trailing Returns
Total returns to Jun 2026, from SEC N-PORT.
| Period | Total return |
|---|---|
| YTD | +7.45% |
| 1 year | +16.13% |
| 3 years (annualised) | +5.78% |
| 5 years (annualised) | +4.27% |
FMF Annual Returns
Calendar-year total returns of First Trust Managed Futures Strategy Fund, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2026 (Jan–Jun) | +7.45% |
| 2025 | +4.04% |
| 2024 | +8.16% |
| 2023 | +0.22% |
| 2022 | +5.42% |
| 2021 | +3.89% |
| 2020 | +4.88% |
| 2019 (Jul–Dec) | −1.25% |
FMF Monthly Returns
Monthly total returns as reported on SEC Form N-PORT.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | +2.6% | +4.7% | +0.8% | +2.0% | −0.3% | −2.4% | — | — | — | — | — | — |
| 2025 | +1.5% | −2.9% | −1.2% | −1.5% | −0.9% | +1.3% | +1.8% | +3.1% | +3.0% | −0.8% | +0.7% | +0.1% |
| 2024 | +3.5% | +3.9% | +2.5% | −2.1% | −1.9% | +1.0% | −0.2% | −1.6% | −0.3% | −1.0% | +3.8% | +0.7% |
| 2023 | −0.5% | +0.4% | −0.7% | +1.8% | +1.1% | +0.2% | +1.6% | +0.1% | +1.2% | −1.4% | −1.3% | −2.4% |
| 2022 | +0.3% | +2.1% | +5.4% | +5.3% | +0.2% | −0.3% | −3.6% | +1.6% | +1.9% | +0.1% | −5.5% | −1.6% |
| 2021 | +0.9% | +2.4% | +1.1% | +2.1% | +1.6% | −0.6% | −0.9% | −1.6% | −0.5% | +1.6% | −3.3% | +1.1% |
| 2020 | +0.1% | −1.3% | +2.0% | −0.1% | +1.3% | +0.4% | +1.2% | +0.5% | −3.2% | −1.0% | +1.7% | +3.1% |
| 2019 | — | — | — | — | — | — | +1.3% | +1.8% | −1.7% | −0.7% | −0.6% | −1.3% |
FMF Risk
Risk measures from monthly returns over Jul 2023 – Jun 2026.
- 3-year volatility (annualised): 7.04%
- 3-year Sharpe ratio: 0.18 (vs 4.5% risk-free rate)
- Best month: +4.66% (Feb 2026)
- Worst month: −2.90% (Feb 2025)
FMF Fund Flows
Monthly money in and out of First Trust Managed Futures Strategy Fund, from SEC Form N-PORT.
- 12-month net flow: $95.3M
- 12-month gross sales (incl. reinvestments): $118.1M
- Sales ÷ redemptions: 5.18×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| Jun 2026 | $20.3M | $0 | $20.3M |
| May 2026 | $12.9M | $18.0M | −$5.1M |
| Apr 2026 | $7.7M | $0 | $7.7M |
| Mar 2026 | $7.5M | $0 | $7.5M |
| Feb 2026 | $7.4M | $0 | $7.4M |
| Jan 2026 | $14.3M | $0 | $14.3M |
| Dec 2025 | $7.2M | $2.3M | $4.9M |
| Nov 2025 | $19.3M | $0 | $19.3M |
| Oct 2025 | $7.3M | $2.5M | $4.9M |
| Sep 2025 | $4.8M | $0 | $4.8M |
| Aug 2025 | $4.7M | $0 | $4.7M |
| Jul 2025 | $4.6M | $0 | $4.6M |
FMF Assets Under Management
Net assets of First Trust Managed Futures Strategy Fund by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2026-06-30 | $272.27M |
| 2026-03-31 | $252.89M |
| 2025-12-31 | $206.31M |
| 2025-09-30 | $185.10M |
| 2025-06-30 | $158.70M |
| 2025-03-31 | $154.57M |
| 2024-12-31 | $152.46M |
| 2024-09-30 | $236.80M |
| 2024-06-30 | $138.56M |
| 2024-03-31 | $144.14M |
| 2023-12-31 | $140.87M |
| 2023-09-30 | $164.29M |
For information only. Not investment advice: figures are as reported in SEC filings and may contain errors or be out of date. Past performance does not guarantee future results.