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WisdomTree Managed Futures Strategy Fund (WTMF) Sharpe Ratio: 2.53

ETF · Currency in USD · Last updated Jun 23, 2026

WTMF is a passive ETF by WisdomTree tracking the investment results of the WisdomTree Managed Futures Index. WTMF launched on Jan 5, 2011 and has a 0.65% expense ratio.

WTMF's Sharpe Ratio of 2.53 indicates that for each unit of volatility, it generates 2.53 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 23, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

WTMF Sharpe Ratio Rank

WTMF Sharpe Ratio Rank: 82.582
Exceptional

WTMF ranks above 82.5% of all investments in our database based on Sharpe Ratio over the past 12 months, demonstrating exceptional risk-adjusted returns. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Suitable as a core holding given strong risk-adjusted returns
  • Monitor rank changes to detect deteriorating return-to-volatility profile
  • Exceptional Sharpe ratio supports larger position sizes
  • Compare with category peers to assess whether strength is investment-specific or category-wide

WTMF Sharpe Ratio Market Positioning

The chart shows WTMF's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.86 or lower
  • Yellow zone (middle 50%): 0.86 to 2.31
  • Green zone (top 25%): 2.31 or higher
  • Top 1%: 7.39+
  • Median: 1.67 — half of all investments score higher

How it compares to other similar ETFs

The table compares WisdomTree Managed Futures Strategy Fund's Sharpe Ratio with other ETFs in the Hedge Fund category across multiple time periods, showing how WTMF's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 23, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
MRGRProshares Merger ETF2.56
WTMFWisdomTree Managed Futures Strategy Fund2.53
GDMAGadsden Dynamic Multi-Asset ETF2.45
RLYSPDR SSgA Multi-Asset Real Return ETF2.25
FMFFirst Trust Managed Futures Strategy Fund2.09
QTRGlobal X NASDAQ 100 Tail Risk ETF2.09
QQQHNEOS Nasdaq-100 Hedged Equity Income ETF1.88
GMOMCambria Global Momentum ETF1.88
ADMEAptus Drawdown Managed Equity ETF1.87
SHUSSyntax Stratified U.S. Total Market Hedged ETF1.71

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows WTMF's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when WTMF consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

How does WTMF fit in your portfolio?

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