GMOM vs. WTMF
GMOM (Cambria Global Momentum ETF) and WTMF (WisdomTree Managed Futures Strategy Fund) are both exchange-traded funds - GMOM is a Momentum fund actively managed by Cambria, while WTMF is a Hedge Fund fund tracking the WisdomTree Managed Futures Index. GMOM is actively managed, while WTMF is passively managed. Over the past 10 years, GMOM returned 7.08%/yr vs 3.17%/yr for WTMF. At a 0.31 correlation, their price movements are largely independent. GMOM charges 0.96%/yr vs 0.65%/yr for WTMF.
Performance
GMOM vs. WTMF - Performance Comparison
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Returns By Period
In the year-to-date period, GMOM achieves a 6.55% return, which is significantly lower than WTMF's 7.35% return. Over the past 10 years, GMOM has outperformed WTMF with an annualized return of 7.08%, while WTMF has yielded a comparatively lower 3.17% annualized return.
GMOM
- 1D
- -2.26%
- 1M
- -4.00%
- YTD
- 6.55%
- 6M
- 5.46%
- 1Y
- 23.01%
- 3Y*
- 12.06%
- 5Y*
- 6.41%
- 10Y*
- 7.08%
WTMF
- 1D
- -1.56%
- 1M
- -0.67%
- YTD
- 7.35%
- 6M
- 6.60%
- 1Y
- 20.66%
- 3Y*
- 9.95%
- 5Y*
- 6.12%
- 10Y*
- 3.17%
GMOM vs. WTMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GMOM Cambria Global Momentum ETF | 6.55% | 20.63% | 6.75% | 0.65% | -2.82% | 19.13% | 2.42% | 8.24% | -9.61% | 20.67% |
WTMF WisdomTree Managed Futures Strategy Fund | 7.35% | 12.17% | 3.20% | 16.72% | -6.52% | 9.48% | 0.48% | -2.75% | 0.24% | -3.40% |
Correlation
The correlation between GMOM and WTMF is 0.60, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.60 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.51 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.47 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.35 |
Correlation (All Time) Calculated using the full available price history since Nov 4, 2014 | 0.31 |
Over the past year, GMOM and WTMF have become more correlated (0.60) than their long-term average of 0.31, meaning their price movements have been converging.
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Return for Risk
GMOM vs. WTMF — Risk / Return Rank
GMOM
WTMF
GMOM vs. WTMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cambria Global Momentum ETF (GMOM) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| GMOM | WTMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.70 | ||
| Sortino ratioReturn per unit of downside risk | -0.94 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.44 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | 2.41 | 5.14 | -2.73 |
| Martin ratioReturn relative to average drawdown | 8.76 | 21.97 | -13.22 |
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Drawdowns
GMOM vs. WTMF - Drawdown Comparison
The maximum GMOM drawdown since its inception was -25.03%, smaller than the maximum WTMF drawdown of -30.79%. Use the drawdown chart below to compare losses from any high point for GMOM and WTMF.
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Drawdown Indicators
| GMOM | WTMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.03% | -30.79% | +5.76% |
Max Drawdown (1Y)Largest decline over 1 year | -9.57% | -4.04% | -5.53% |
Max Drawdown (3Y)Largest decline over 3 years | -13.73% | -9.93% | -3.80% |
Max Drawdown (5Y)Largest decline over 5 years | -19.16% | -13.21% | -5.95% |
Max Drawdown (10Y)Largest decline over 10 years | -25.03% | -15.26% | -9.77% |
Current DrawdownCurrent decline from peak | -6.48% | -1.56% | -4.92% |
Average DrawdownAverage peak-to-trough decline | -7.79% | -17.65% | +9.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.63% | 0.94% | +1.69% |
Volatility
GMOM vs. WTMF - Volatility Comparison
Cambria Global Momentum ETF (GMOM) has a higher volatility of 5.20% compared to WisdomTree Managed Futures Strategy Fund (WTMF) at 3.11%. This indicates that GMOM'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.
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Volatility by Period
| GMOM | WTMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.20% | 3.11% | +2.09% |
Volatility (6M)Calculated over the trailing 6-month period | 12.12% | 7.30% | +4.82% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.45% | 9.04% | +5.41% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.50% | 9.53% | +4.97% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.91% | 8.11% | +4.80% |
GMOM vs. WTMF - Expense Ratio Comparison
GMOM has a 0.96% expense ratio, which is higher than WTMF's 0.65% expense ratio.
Dividends
GMOM vs. WTMF - Dividend Comparison
GMOM's dividend yield for the trailing twelve months is around 1.65%, less than WTMF's 2.83% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMOM Cambria Global Momentum ETF | 1.65% | 3.01% | 2.16% | 3.63% | 2.52% | 3.42% | 1.24% | 2.60% | 1.90% | 2.05% | 1.77% | 1.88% |
WTMF WisdomTree Managed Futures Strategy Fund | 2.83% | 3.04% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
GMOM and WTMF have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GMOM has higher volatility (5.20%) compared to WTMF (3.11%). In terms of maximum drawdown, GMOM dropped -25.03% vs WTMF's -30.79%.
On 10-year performance, GMOM leads with 7.08% vs 3.17% for WTMF. On fees, WTMF is cheaper at 0.65% per year. On volatility, WTMF has been the lower-risk option at 3.11%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, GMOM has performed better with a 7.08% return vs 3.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
WTMF is cheaper with a 0.65% expense ratio, compared with 0.96% for GMOM.
WTMF has the higher dividend yield at 2.83%, compared with 1.65% for GMOM.
GMOM is categorized as Momentum, while WTMF is Hedge Fund. They also come from different issuers: Cambria and WisdomTree. Their fees differ too: 0.96% for GMOM and 0.65% for WTMF.
WTMF currently has the higher Sharpe Ratio (2.30 vs 1.60), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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