SABA vs FMF

Comparison between Saba Capital Income & Opportunities Fund II (SABA, ETF) and FIRST TRUST MANAGED FUTURES STRATEGY FUND (FMF, ETF).

5-Year PerformanceFMF has outperformed SABA, delivering a return of +4.2% compared to +3.3%

SABA vs FMF - Performance Comparison

Log

Key Characteristics

Financial metrics and valuation ratios

Metric	SABA(ETF)	FMF(ETF)
Net Assets	$266M	$266M
Expense Ratio	N/A	0.98%
Max Drawdown	67.26%	24.79%
Sharpe Ratio	0.23	1.52
5Y Beta	0.40	0.10
5Y Dividends CAGR	14.46%	228.25%

Net Assets

Winner

SABA

$266M

FMF

$266M

Expense Ratio

SABA

N/A

FMF

0.98%

Max Drawdown

SABA

67.26%

Winner

FMF

24.79%

Sharpe Ratio

SABA

0.23

Winner

FMF

1.52

5Y Beta

SABA

0.40

Winner

FMF

0.10

5Y Dividends CAGR

SABA

14.46%

Winner

FMF

228.25%

SABA vs FMF - Historical Returns

Returns include dividend reinvestment.

Period	SABA	FMF
1 month	-1.33%	-1.07%
3 months	+4.09%	+1.23%
6 months	+0.22%	+9.42%
1 year	+4.36%	+18.71%
5 years(CAGR)	+3.31%	+4.23%
10 years(CAGR)	+2.81%	+2.80%
Max(CAGR)	+6.98%	+1.97%

SABA

-1.33%

Winner

FMF

-1.07%

Winner

SABA

+4.09%

FMF

+1.23%

SABA

+0.22%

Winner

FMF

+9.42%

SABA

+4.36%

Winner

FMF

+18.71%

5Y(CAGR)

SABA

+3.31%

Winner

FMF

+4.23%

10Y(CAGR)

Winner

SABA

+2.81%

FMF

+2.80%

Max(CAGR)

Winner

SABA

+6.98%

FMF

+1.97%

SABA vs FMF - Annual Returns (1999 - 2026)

Returns include dividend reinvestment.

Year	SABA	FMF
2026	+4.05%	+8.02%
2025	-0.36%	+4.23%
2024	+30.60%	+7.67%
2023	-2.49%	-0.38%
2022	-10.03%	+4.68%
2021	+0.85%	+3.45%
2020	-6.97%	+5.25%
2019	+7.83%	-5.32%
2018	-1.09%	-2.31%
2017	+4.29%	+2.33%
2016	+7.19%	-4.09%
2015	-8.97%	-0.47%
2014	-1.42%	-1.10%
2013	-10.00%	+3.46%
2012	+8.19%	N/A
2011	-1.92%	N/A
2010	+28.24%	N/A
2009	+28.22%	N/A
2008	+5.53%	N/A
2007	+1.68%	N/A
2006	+27.46%	N/A
2005	-10.92%	N/A
2004	+15.00%	N/A
2003	+32.39%	N/A
2002	+30.60%	N/A
2001	+9.30%	N/A
2000	+14.21%	N/A
1999	-6.31%	N/A

SABA vs FMF Drawdown Comparison

The maximum drawdown for SABA was -32.40%, occurring on Mar 18, 2020. Recovery took 2975 trading sessions.

The maximum drawdown for FMF was -22.22%, occurring on Mar 24, 2020. Recovery took 2001 trading sessions.

The current SABA drawdown is -4.38%. The current FMF drawdown is -1.91%.

Rank	SABA	FMF
#1	-32.40% Feb 1, 2013 - Nov 26, 2024	-22.22% Apr 2, 2014 - Mar 14, 2022
#2	-27.20% Mar 13, 2008 - May 8, 2009	-14.98% Jun 14, 2022 - Oct 6, 2025
#3	-22.25% Dec 29, 2003 - Oct 22, 2004	-7.98% Mar 14, 2022 - Jun 9, 2022
#4	-18.81% Aug 30, 2011 - Jan 8, 2013	-3.58% Dec 30, 2013 - Mar 27, 2014
#5	-18.65% Mar 8, 2005 - May 2, 2006	-3.42% Mar 12, 2026 - Apr 2, 2026
#6	-14.99% Jan 30, 2025 - Jun 16, 2025	-3.12% Oct 15, 2025 - Jan 9, 2026
#7	-13.59% Jul 25, 2007 - Sep 28, 2007	-2.31% Feb 11, 2026 - Feb 19, 2026
#8	-12.36% Jun 28, 2002 - Dec 13, 2002	-2.22% Aug 2, 2013 - Oct 10, 2013
#9	-11.95% Apr 20, 2010 - Jul 30, 2010	-1.91% May 18, 2026 - Jun 5, 2026
#10	-10.96% Nov 2, 1999 - Jun 26, 2000	-1.69% Feb 4, 2026 - Feb 6, 2026
#11	-10.59% Nov 8, 2007 - Jan 10, 2008	-1.56% Jan 15, 2026 - Feb 3, 2026
#12	-10.47% Aug 13, 2025 - Feb 6, 2026	-1.47% Oct 22, 2013 - Nov 14, 2013
#13	-10.17% May 27, 2003 - Oct 2, 2003	-1.28% Apr 29, 2026 - May 12, 2026
#14	-9.64% Oct 19, 2009 - Nov 20, 2009	-1.27% Mar 2, 2026 - Mar 4, 2026
#15	-9.53% Aug 3, 2011 - Aug 30, 2011	-1.18% Oct 8, 2025 - Oct 13, 2025

Correlation

Correlation between SABA and FMF is 0.43 which considered as a weak positive correlation - the stocks show a slight tendency to move together.

0.43

-101

Dividend Comparison (1999 - 2026)

SABA vs FMF dividend yield comparison.

Year	SABA	FMF
2026	3.48%	0.37%
2025	9.65%	5.60%
2024	8.32%	4.85%
2023	11.43%	3.09%
2022	9.14%	0.41%
2021	7.19%	3.29%
2020	4.00%	0.02%
2019	6.68%	1.05%
2018	5.81%	1.56%
2017	4.44%	0.82%
2016	4.63%	0.00%
2015	4.72%	0.00%
2014	9.27%	0.00%
2013	8.43%	2.38%
2012	7.98%	0.00%
2011	12.28%	0.00%
2010	12.58%	0.00%
2009	5.31%	0.00%
2008	17.28%	0.00%
2007	12.69%	0.00%
2006	9.37%	0.00%
2005	9.87%	0.00%
2004	6.30%	0.00%
2003	5.71%	0.00%
2002	7.66%	0.00%
2001	9.26%	0.00%
2000	8.89%	0.00%
1999	1.70%	0.00%