ERTH vs. WTMF
Compare and contrast key facts about Invesco MSCI Sustainable Future ETF (ERTH) and WisdomTree Managed Futures Strategy Fund (WTMF).
ERTH and WTMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ERTH is a passively managed fund by Invesco that tracks the performance of the MSCI Global Environment Select Index. It was launched on Oct 24, 2006. WTMF is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree Managed Futures Index. It was launched on Jan 5, 2011. Both ERTH and WTMF are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ERTH or WTMF.
Key characteristics
| ERTH | WTMF | |
|---|---|---|
| YTD Return | -10.44% | 2.91% |
| 1Y Return | 2.52% | 7.10% |
| 3Y Return (Ann) | -15.56% | 3.08% |
| 5Y Return (Ann) | 1.48% | 4.59% |
| 10Y Return (Ann) | 5.92% | 1.06% |
| Sharpe Ratio | 0.05 | 0.97 |
| Sortino Ratio | 0.23 | 1.45 |
| Omega Ratio | 1.03 | 1.17 |
| Calmar Ratio | 0.02 | 0.53 |
| Martin Ratio | 0.10 | 2.31 |
| Ulcer Index | 10.67% | 3.21% |
| Daily Std Dev | 21.09% | 7.64% |
| Max Drawdown | -64.46% | -30.78% |
| Current Drawdown | -41.07% | -7.92% |
Correlation
The correlation between ERTH and WTMF is 0.07, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
ERTH vs. WTMF - Performance Comparison
In the year-to-date period, ERTH achieves a -10.44% return, which is significantly lower than WTMF's 2.91% return. Over the past 10 years, ERTH has outperformed WTMF with an annualized return of 5.92%, while WTMF has yielded a comparatively lower 1.06% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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ERTH vs. WTMF - Expense Ratio Comparison
ERTH has a 0.55% expense ratio, which is lower than WTMF's 0.65% expense ratio.
Risk-Adjusted Performance
ERTH vs. WTMF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco MSCI Sustainable Future ETF (ERTH) and WisdomTree Managed Futures Strategy Fund (WTMF). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Dividends
ERTH vs. WTMF - Dividend Comparison
ERTH's dividend yield for the trailing twelve months is around 1.21%, less than WTMF's 3.28% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ERTH Invesco MSCI Sustainable Future ETF | 1.21% | 1.28% | 1.22% | 15.33% | 0.21% | 0.50% | 0.61% | 0.87% | 1.06% | 0.79% | 0.83% | 0.85% |
WTMF WisdomTree Managed Futures Strategy Fund | 3.28% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
ERTH vs. WTMF - Drawdown Comparison
The maximum ERTH drawdown since its inception was -64.46%, which is greater than WTMF's maximum drawdown of -30.78%. Use the drawdown chart below to compare losses from any high point for ERTH and WTMF. For additional features, visit the drawdowns tool.
Volatility
ERTH vs. WTMF - Volatility Comparison
Invesco MSCI Sustainable Future ETF (ERTH) has a higher volatility of 6.12% compared to WisdomTree Managed Futures Strategy Fund (WTMF) at 3.06%. This indicates that ERTH's price experiences larger fluctuations and is considered to be riskier than WTMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.