First Trust Managed Futures Strategy Fund chart

Last update: 2022-12-30
Key statistics and financials
Three year average return 1.91%
YTD return 0.86%
Beta 3Y 0.12
Total Assets 65.64M
Annual report expense ratio 0.95%

Company description

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. Under normal market conditions, the fund and a wholly-owned subsidiary of the fund organized under the laws of the Cayman Islands, invest significantly in a portfolio of exchange-listed futures.

Sector: N/A - Industry: N/A


Insider Transactions

Here are the insider transactions of stock shares related to First Trust Managed Futures Strategy Fund:

Filer Name Transaction Text Ownership Date Filer Relation Shares
NO DATA

Insider transaction explanations

Insider buying is the legal purchase of shares by a senior executive or director of a company. "Filer Name" corresponds to the name of the stock buyer or seller. "Transaction Text" describes the transaction. "Ownership" gives information about the transaction type. "Date" is the reported transaction date. "Filer Relation" gives the role of the insider in the company. "Shares" is the value of the transaction. You will find the complete description of the General Transaction Codes on the SEC dedicated page


Investment strategy backtesting

These are the result of three automatic investment systems applied to First Trust Managed Futures Strategy Fund. You will find the performance of an systematic investment system, a momentum strategy, and a buy the dip trading strategy.


Systematic investment results on First Trust Managed Futures Strategy Fund

Here is the result of two systematic investment strategies applied to First Trust Managed Futures Strategy Fund. The first strategy automatically buys the first day of the month, and the second strategy buys the fifteenth day of the month.

Systematic investment equity curve on First Trust Managed Futures Strategy Fund

The following chart shows the equity curve of the two systematic investment strategies applied to First Trust Managed Futures Strategy Fund:

First Trust Managed Futures Strategy Fund automated entries

The systematic investment strategy that buys the first day of the month would give a performance of 6.26% on the backtest period.

Performance at glance

Performance

6.26 %

Latent gain

127.36 $

Invested capital

2035.34 $

Annualized return

1.51 %
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Momentum strategy results on First Trust Managed Futures Strategy Fund

This is the result of two momentum investment strategies applied to First Trust Managed Futures Strategy Fund. The first strategy uses a momentum signal calculated on one quarter, and the second uses a momentum signal calculated on two quarters.

Momentum entry openings on First Trust Managed Futures Strategy Fund

The following chart shows all the entries opened by the momentum investment system on First Trust Managed Futures Strategy Fund:

First Trust Managed Futures Strategy Fund momentum entries
  • The first momentum investment strategy would give 5.72% of return on First Trust Managed Futures Strategy Fund. That represents 231.31$ of latent gain with 4046.03$ of employed capital.
  • The second momentum investment strategy would give 7.05% of return on First Trust Managed Futures Strategy Fund. That represents 199.39$ of latent gain with 2828.39$ of employed capital.
Performance at glance (1Q Momentum)

Performance

5.72 %

Latent gain

231.31 $

Invested capital

4046.03 $

Annualized return

5.66 %
Performance at glance (2Q Momentum)

Performance

7.05 %

Latent gain

199.39 $

Invested capital

2828.39 $

Annualized return

1.93 %

Momentum equity curve on First Trust Managed Futures Strategy Fund

The following chart shows the equity curve of the two momentum strategies applied to First Trust Managed Futures Strategy Fund:

First Trust Managed Futures Strategy Fund momentum equity

Note: the dividends potentially given by First Trust Managed Futures Strategy Fund are not integrated into the calculation of the equity curve neither the performance of the strategy. The integration of the dividends will be available soon.


Employed capital on First Trust Managed Futures Strategy Fund

The following chart shows the employed capital evolution of the two momentum strategies on First Trust Managed Futures Strategy Fund since the beginning:

First Trust Managed Futures Strategy Fund

Note: the algorithm buys for a maximum of 250$ per entry. If the stock price is greater than 250$, the system buys only one stock per entry. The investment system stops automatically when the financial exposure reaches 10000$.


Buy the dip strategy result on First Trust Managed Futures Strategy Fund

Buy the dip entry openings on First Trust Managed Futures Strategy Fund

First Trust Managed Futures Strategy Fund

The performance achieved by the robo-advisor on First Trust Managed Futures Strategy Fund is 12.12%. That represents 31.17$ of latent gain with 257.19$ of employed capital. The following chart shows First Trust Managed Futures Strategy Fund stock price with all the entries opened by the automated investment system.

Note: The blue line represents the weekly stock price of First Trust Managed Futures Strategy Fund, and the green triangles represent the entry openings. The artificall robo-advisor needs at least 100 weeks of trading history to work.

Performance at glance

Performance

12.12 %

Latent gain

31.17 $

Invested capital

257.19 $

Annualized return

5.66 %

Equity curve of the strategy applied to First Trust Managed Futures Strategy Fund

The following chart shows the result of the investment strategy applied to First Trust Managed Futures Strategy Fund:

First Trust Managed Futures Strategy Fund

Note: the dividends potentially given by First Trust Managed Futures Strategy Fund are not integrated into the calculation of the equity curve neither the performance of the strategy. The integration of the dividends will be available soon.


Employed capital on First Trust Managed Futures Strategy Fund

The following chart shows the employed capital evolution since the beginning of the investment strategy on First Trust Managed Futures Strategy Fund:

First Trust Managed Futures Strategy Fund

Note: the algorithm buys for a maximum of 250$ per entry. If the stock price is greater than 250$, the system buys only one stock per entry. The investment system stops automatically when the financial exposure reaches 10000$.


Investment strategies comparison on First Trust Managed Futures Strategy Fund

In this section, I will compare the three previous investment strategies applied to First Trust Managed Futures Strategy Fund.

Equity curve comparison on First Trust Managed Futures Strategy Fund

The following chart shows the equity curve of the artificall advisor, the trend folowing and the automatic investment strategies:

First Trust Managed Futures Strategy Fund investment strategy comparison

Employed capital comparison on First Trust Managed Futures Strategy Fund

First Trust Managed Futures Strategy Fund investment comparison

Performance comparison on First Trust Managed Futures Strategy Fund

Strategy Latent Profit Growth Employed capital CAGR
Automatic investment 6.26% 127.36$ 2035.34$ 1.51%
Momentum 1 quarter 5.72% 231.31$ 4046.03$ 1.47%
Momentum 2 quarters 7.05% 199.39$ 2828.39$ 1.93%
Non-directional 12.12% 31.17$ 257.19$ 5.66%
Annualized return comparison

Automatic investment

1.51 %

Momentum 1Q

1.93 %

Momentum 2Q

1.93 %

Non-directional

5.66 %

Correlated stocks

Here are the most positively and negatively correlated stocks with First Trust Managed Futures Strategy Fund:

Positive correlations

Most correlated stocks this year

  • First Trust Managed Futures Strategy Fund

  • Most correlated stocks last 3 months

  • First Trust Managed Futures Strategy Fund
  • QVC Inc
  • NICE Ltd

  • Negative correlation

    Most negatively correlated stocks this year


    Most negatively correlated stocks last 3 months

  • METALLIANCE
  • WORLD HOUSEWARE

  • Note: The algorithm computes the probability of correlation between First Trust Managed Futures Strategy Fund and the other stocks. There may be false positives or some missing correlated stocks. If the price of First Trust Managed Futures Strategy Fund does not vary for 36 weeks, the correlation calculation result will be wrong.


    Company information

    Company name First Trust Managed Futures Strategy Fund
    Country
    City
    Address
    Phone
    Website
    FullTime employees
    Industry
    Sector
    Exchange ARCX
    Ticker FMF
    Market

    First Trust Managed Futures Strategy Fund ESG Scores

    Environment scores

    Environment ESG Factors Scores
    Environment Score 0
    Peer Environment Performance unknown
    Environment Percentile unknown
    Palm Oil unknown
    Nuclear unknown
    Fur Leather unknown
    GMO unknown
    Coal unknown
    Pesticides unknown
    Animal Testing unknown

    Social scores

    Social ESG Factors Scores
    Social Score 0
    Peer Social Performance unknown
    Social Percentile unknown
    Highest Controversy unknown
    Peer Highest Controversy Performance unknown
    Adult unknown
    Gambling unknown
    Alcoholic unknown
    Tobacco unknown
    Catholic unknown
    Controversial Weapons unknown
    Small Arms unknown
    Military Contract unknown
    Peer Count unknown

    Related Controversy:


    Governance scores

    Governance ESG Factors Scores
    Governance Score 0
    Peer Governance Performance unknown
    Governance Percentile unknown

    ESG at glance
    Total ESG Scores: unknown
    Environment Score: 0
    Social Score: 0
    Governance Score: 0

    ESG Performance: unknown

    Peer Group: unknown

    Peer Esg Score Performance: unknown

    Rating Year: unknown

    Rating Month: unknown

    Max Age: unknown

    Percentile: unknown