Data as of Nov 4, 2026.
FMF vs KMLM: Correlation to the S&P 500
Over the year to Nov 4, 2026, KMLM moved less with the S&P 500 than FMF: correlation −0.12 against +0.16.
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Net assets: $298m on Nov 3, 2026 for First Trust Managed Futures Strategy Fund, and $586m on Nov 4, 2026 for KraneShares Mount Lucas Managed Futures Index Strategy ETF.
FMF in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, FMF −0.11%.
KMLM in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, KMLM +0.18%.
Pair scorecard
KMLM costs 0.08 points a year less; their one-year returns differ by 5.4 points; KMLM is 2.0 times larger.
| Measure | FMF | KMLM |
|---|---|---|
| Return | ||
| Total return, 1 year | +11.1% | +16.5% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.98% | 0.90% |
| Net assets, as of Nov 3, 2026 | $298m | $595m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | +0.11: about 0.11% for each 1% | −0.12: about 0.12% for each 1% |
| Its average week when the S&P 500 fell | fell 0.11% | rose 0.18% |
How much it diversifies a stock portfolio, ranked against 17 systematic trend alternatives ETFs with a full year. 100 is best. How it is computed
One year of weekly moves against the S&P 500, within one strategy; it ignores what the fund returned. All alternatives ETFs ranked by it →
Risk and return
Dec 11, 2020 to Oct 30, 2026 · 307 weekly returnsFrom Dec 2020 to Oct 2026, KMLM returned more: +55.0% to +41.5%. FMF swung less: 8.1% to 13.4%. FMF fell less at its worst: −14.3% to −27.6%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | FMF | KMLM | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +41.5% | +55.0% | KMLM | Price change plus distributions, reinvested. |
| Annualized | +6.1% | +7.7% | KMLM | Total return as a yearly rate. |
| Price return | +18.0% | +21.2% | KMLM | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 8.1% | 13.4% | FMF | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 5.7% | 9.2% | FMF | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −14.3% | −27.6% | FMF | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | 0.35 | 0.37 | KMLM (slight) | Return above Treasury bills per unit of volatility. |
| Sortino | 0.50 | 0.54 | KMLM (slight) | Return above Treasury bills per unit of downside deviation. |
| Calmar | 0.42 | 0.28 | FMF | Annualized return divided by the max drawdown. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 307 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | ||
|---|---|---|
| Window | FMF | KMLM |
| 3 months | +1.8% | +3.0% |
| 6 months | −0.1% | +0.6% |
| 1 year | +11.1% | +16.5% |
| 3 years | +20.3% | −0.7% |
| Since launchNot the same days: FMF Aug 2013 · KMLM Dec 2020 | +28.7% | +49.0% |
Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
FMF and KMLM both run a managed futures strategy. Over the same 52 weeks to Nov 4, 2026, FMF’s weekly returns had a correlation of +0.16 with the S&P 500 and KMLM’s −0.12. In the 26 weeks the index fell, by 1.07% a week on average, FMF averaged −0.11% and KMLM +0.18%. Over the same weeks, FMF finished 6.9 percentage points ahead of cash and KMLM finished 12.9 points ahead of cash.
Client brief:
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FMF
FMF is a managed futures fund. ETFIQ measures what every alternatives fund is sold on: whether it moves differently from the stock market. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.16 with the S&P 500’s and a beta of +0.11, so for each 1% the index moved it moved about 0.11% the same way. The S&P 500 fell in 26 of those 52 weeks, by 1.07% on average. In the same weeks FMF fell 0.11% on average, a down-week capture of 9.9%. Over the same 52 weeks FMF returned +10.6% and a Treasury bill fund +3.7%, so it finished 6.9 percentage points ahead of cash.
KMLM
KMLM is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of −0.12 with the S&P 500’s and a beta of −0.12, so for each 1% the index moved it moved about 0.12% the other way. In the same weeks KMLM rose 0.18% on average, a down-week capture of −16.3%. Over the same 52 weeks KMLM returned +16.6% and a Treasury bill fund +3.7%, so it finished 12.9 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, FMF or KMLM?
- Over the 52 weeks to Nov 4, 2026, FMF’s weekly returns had a correlation of +0.16 with the S&P 500 and KMLM’s −0.12, so KMLM moved less with the index.
- Which did better when the S&P 500 fell, FMF or KMLM?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, FMF averaged −0.11% and KMLM +0.18%, so KMLM returned more in those weeks.
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How this is computed
It is a place in a set, not a rating or a recommendation.
Every number is an ETFIQ calculation with distributions reinvested.
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ETFIQ, FMF against KMLM, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/fmf-vs-kmlm
ETFIQ. (Nov 4, 2026). FMF against KMLM. Retrieved from https://etfiq.com/compare/alternatives/fmf-vs-kmlm
[FMF against KMLM (ETFIQ, Nov 4, 2026)](https://etfiq.com/compare/alternatives/fmf-vs-kmlm)
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