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First Trust Managed Futures Strategy Fund (FMF)
Investment Objective/Strategy - The First Trust Managed Futures Strategy Fund (the "Fund") seeks to provide investors with positive returns. The Fund is an actively managed exchange-traded fund that seeks to achieve positive returns that are not directly correlated to broad market equity or fixed income returns by investing, under normal market conditions, in a portfolio of exchange-listed futures.
There can be no assurance that the Fund's investment objectives will be achieved.
Fund Overview
Fund TypeAlternative Investments
Investment AdvisorFirst Trust Advisors L.P.
Investor Servicing AgentBrown Brothers Harriman
Fiscal Year-End12/31
ExchangeNYSE Arca
Inception Price$50.00
Inception NAV$50.00
Rebalance FrequencyQuarterly
Expense Ratio0.95%
Current Fund Data (as of 4/12/2021)
Closing NAV1$46.83
Closing Market Price2$47.14
Bid/Ask Midpoint$47.14
Bid/Ask Premium0.66%
30-Day Median Bid/Ask Spread31.25%
Total Net Assets$53,953,222
Outstanding Shares1,152,000
Daily Volume6,288
Average 30-Day Daily Volume6,293
Closing Market Price 52-Week High/Low$47.86 / $42.82
Closing NAV 52-Week High/Low$47.51 / $42.85
NAV History (Since Inception)
Past performance is not indicative of future results.
Fund Exposure (as of 4/12/2021)
Long Exposure82.17%
Short Exposure-51.44%
Net Exposure30.73%
Bid/Ask Premium/Discount (as of 4/12/2021)
  2020 Q1 2021 Q2 2021 Q3 2021
Days Traded at Premium 209 61 7 ---
Days Traded at Discount 44 0 0 ---
Month End Performance (as of 3/31/2021)
  3 Month YTD 1 Year 3 Year 5 Year 10 Year Since
Fund Performance *
Net Asset Value (NAV) 4.36% 4.36% 8.58% 0.48% 0.20% N/A -0.08%
After Tax Held 4.36% 4.36% 8.57% 0.13% -0.09% N/A -0.39%
After Tax Sold 2.58% 2.58% 5.08% 0.21% 0.03% N/A -0.20%
Market Price 4.53% 4.53% 9.02% 0.73% 0.58% N/A 0.04%
Index Performance **
S&P 500 Index 6.17% 6.17% 56.35% 16.78% 16.29% N/A 13.93%
ICE BofA 3-month U.S. Treasury Bill Index 0.02% 0.02% 0.12% 1.50% 1.19% N/A 0.80%
Morningstar® Diversified Futures IndexSM 6.59% 6.59% 6.79% -3.04% -1.38% N/A -0.76%
Quarter End Performance (as of 3/31/2021)
  3 Month YTD 1 Year 3 Year 5 Year 10 Year Since
Fund Performance *
Net Asset Value (NAV) 4.36% 4.36% 8.58% 0.48% 0.20% N/A -0.08%
After Tax Held 4.36% 4.36% 8.57% 0.13% -0.09% N/A -0.39%
After Tax Sold 2.58% 2.58% 5.08% 0.21% 0.03% N/A -0.20%
Market Price 4.53% 4.53% 9.02% 0.73% 0.58% N/A 0.04%
Index Performance **
S&P 500 Index 6.17% 6.17% 56.35% 16.78% 16.29% N/A 13.93%
ICE BofA 3-month U.S. Treasury Bill Index 0.02% 0.02% 0.12% 1.50% 1.19% N/A 0.80%
Morningstar® Diversified Futures IndexSM 6.59% 6.59% 6.79% -3.04% -1.38% N/A -0.76%
3-Year Statistics (as of 3/31/2021)
  Standard Deviation Alpha Beta Sharpe Ratio Correlation
FMF 5.92% 0.71 0.37 -0.14 0.51
S&P 500 Index 18.40% 21.16 1.27 0.85 0.58
Morningstar® Diversified Futures IndexSM 8.44% --- 1.00 -0.49 1.00
Standard Deviation is a measure of price variability (risk). Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.Beta is a measure of price variability relative to the market. Sharpe Ratio is a measure of excess reward per unit of volatility. Correlation is a measure of the similarity of performance.

*Performance data quoted represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate and shares when sold or redeemed, may be worth more or less than their original cost.

After Tax Held returns represent return after taxes on distributions. Assumes shares have not been sold. After Tax Sold returns represent the return after taxes on distributions and the sale of fund shares. Returns do not represent the returns you would receive if you traded shares at other times. Market Price returns are determined by using the midpoint of the national best bid offer price ("NBBO") as of the time that the fund's NAV is calculated. Returns are average annualized total returns, except those for periods of less than one year, which are cumulative.

After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown. The after-tax returns shown are not relevant to investors who hold their fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts.

**Indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index.

S&P 500 Index - The Index is an unmanaged index of 500 stocks used to measure large-cap U.S. stock market performance.

ICE BofA 3-month U.S. Treasury Bill Index - The Index contains short-term U.S. Government securities with a remaining term to final maturity of about 90 days.

Morningstar® Diversified Futures IndexSM - The Index contains 35 different futures positions consisting of 20 commodities, 9 equity indexes and 6 currencies and has the ability to go long, short or flat, providing greater flexibility and the potential to capture both upward and downward movements in price.*

*The long position agrees to buy the asset when the contract expires and stands to profit if the underlying asset price goes up. The short position agrees to sell the asset when the contract expires and stands to profit as long as the underlying asset price goes down. The flat position is when you have neither a long position nor a short position.

1 The NAV represents the fund's net assets (assets less liabilities) divided by the fund's outstanding shares .
2 Fund shares are purchased and sold on an exchange at their market price rather than net asset value (NAV), which may cause the shares to trade at a price greater than NAV (premium) or less than NAV (discount).
3 The median bid-ask spread is calculated by identifying the national best bid and national best offer ("NBBO") for the fund as of the end of each 10 second interval during each trading day of the last 30 calendar days and dividing the difference between each such bid and offer by the midpoint of the NBBO. The median of those values is identified and that value is expressed as a percentage rounded to the nearest hundredth.
4 Inception Date is 8/1/2013

You should consider the fund's investment objectives, risks, and charges and expenses carefully before investing. You can download a prospectus or summary prospectus, or contact First Trust Portfolios L.P. at 1-800-621-1675 to request a prospectus or summary prospectus which contains this and other information about the fund. The prospectus or summary prospectus should be read carefully before investing.

ETF Characteristics

The fund lists and principally trades its shares on the NYSE Arca, Inc.

Investors buying or selling fund shares on the secondary market may incur customary brokerage commissions. Market prices may differ to some degree from the net asset value of the shares. Investors who sell fund shares may receive less than the share's net asset value. Shares may be sold throughout the day on the exchange through any brokerage account. However, unlike mutual funds, shares may only be redeemed directly from the fund by authorized participants, in very large creation/redemption units. If the fund's authorized participants are unable to proceed with creation/redemption orders and no other authorized participant is able to step forward to create or redeem, fund shares may trade at a discount to the fund's net asset value and possibly face delisting.

Risk Considerations

The fund's shares will change in value, and you could lose money by investing in the fund. One of the principal risks of investing in the fund is market risk. The trading prices of commodities futures, fixed income securities and other instruments fluctuate in response to a variety of factors. The fund's net asset value and market price may fluctuate significantly in response to these factors. As a result, an investor could lose money over short or long periods of time. In addition, the net asset value of the fund may be more volatile over short-term periods than other investment options because of the fund's significant use of financial instruments that have a leveraging effect. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. The COVID-19 pandemic may last for an extended period of time, and will continue to impact the economy for the foreseeable future.

The fund is subject to management risk because it is an actively managed portfolio. The advisor will apply investment techniques and risk analyses that may not have the desired result. There can be no assurance that the fund's investment objective will be achieved.

The fund is not obligated to invest in the same instruments included in the benchmark and may invest in certain other securities. There can be no assurance that the fund's performance will exceed the performance of the benchmark.

The fund does not invest directly in futures instruments. Rather, it invests in a wholly-owned subsidiary, which will have the same investment objective as the fund, but unlike the fund, it may invest without limitation in futures instruments. The subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. Thus, the fund, as an investor in the subsidiary, will not have all the protections offered to investors in registered investment companies.

All futures and futures-related products are highly volatile. Futures instruments may be less liquid than other types of investments. The prices of futures instruments may fluctuate quickly and dramatically and may not correlate to price movements in other asset classes.

The fund regularly purchases and sells commodity futures contracts to maintain a fully invested position. This frequent trading may increase the amount of commissions or mark-ups to broker-dealers that the fund pays when it buys and sells contracts, which may detract from the fund's performance.

The benchmark and the fund will take both long and short positions and should not be used as proxies for taking long-only positions. The fund may also be flat on some positions. The fund will lose value if a security or instrument that is the subject of a short sale increases in value. Short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment.

The fund will, under most circumstances, effect most creations and redemptions, in whole or in part for cash, rather than in-kind securities. As a result, the fund may be less tax-efficient.

The fund holds investments that are denominated in non-U.S. currencies, or in securities that provide exposure to such currencies, currency exchange rates or interest rates denominated in such currencies. Changes in currency exchange rates and the relative value of non-U.S. currencies may affect the value of the fund's investments and the value of the fund's shares. Commodity futures contracts traded on non-U.S. exchanges or with non-U.S. counterparties present risks because they may not be subject to the same degree of regulation as their U.S. counterparts.

The fund may be subject to the forces of "whipsaw" markets (as opposed to choppy or stable markets), in which significant price movements develop but then repeatedly reverse, which could cause substantial losses.

The fund is subject to additional risks including clearing broker, counterparty risk, credit risk, gap risk, interest rate risk, income risk, issuer specific risk, regulatory risk and repurchase agreement risk. The fund may be subject to additional risks pertaining to currency, interest rates and derivatives. Large inflows and outflows may impact the fund's market exposure for limited periods of time.

When a fund purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction, it creates leverage, which can result in a fund losing more than it originally invested. As a result, these investments may magnify losses to a fund, and even a small market movement may result in significant losses to a fund.

First Trust Advisors L.P. is the adviser to the fund. First Trust Advisors L.P. is an affiliate of First Trust Portfolios L.P., the fund's distributor.

First Trust Advisors L.P. is registered as a commodity pool operator and commodity trading advisor and is also a member of the National Futures Association.

Not FDIC Insured • Not Bank Guaranteed • May Lose Value
The information presented is not intended to constitute an investment recommendation for, or advice to, any specific person. By providing this information, First Trust is not undertaking to give advice in any fiduciary capacity within the meaning of ERISA, the Internal Revenue Code or any other regulatory framework. Financial professionals are responsible for evaluating investment risks independently and for exercising independent judgment in determining whether investments are appropriate for their clients.
First Trust Portfolios L.P.  Member SIPC and FINRA. (Form CRS)   •  First Trust Advisors L.P. (Form CRS)
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