See what your fund actually adds
Fidelity SAI Managed Futures Fund FMFLX
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | FMFLX | Replication |
|---|---|---|
| Annualized growth | 23.0% | 19.8% |
| Annualized volatility | 7.3% | 5.6% |
| Sharpe ratio | 2.88 | 3.25 |
| Maximum drawdown | 3.6% | 3.8% |
| Replication fit (R²) | 0.48 · Tracking error 5.3% | |
Replication portfolio
The published portfolio below is the investable basket used to model FMFLX’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| BKLN | FI · Senior Bank Loans | 38.3% |
| BCI | Alternatives · Commodities | 19.2% |
| EFV | Intl · Value | 16.1% |
| XLE | Sector · Energy | 14.6% |
| DGS | EM Small Cap | 11.8% |