IMF vs. WTMF

Last updated Aug 1, 2026

IMF (Invesco Managed Futures Strategy ETF) and WTMF (WisdomTree Managed Futures Strategy Fund) are both Systematic Trend funds. IMF is actively managed, while WTMF is passively managed. Over the past year, IMF returned 22.59% vs 18.77% for WTMF. Their 0.43 correlation means their historical movements had little consistent relationship. Both charge a 0.65% expense ratio.

Performance

IMF vs. WTMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Managed Futures Strategy ETF (IMF) and WisdomTree Managed Futures Strategy Fund (WTMF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, IMF achieves a 13.08% return, which is significantly higher than WTMF's 8.10% return.

IMF

• 1D: 0.41%
• 1M: 2.23%
• 6M: 9.83%
• YTD: 13.08%
• 1Y: 22.59%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 2.79%

WTMF

• 1D: -0.05%
• 1M: 0.96%
• 6M: 8.70%
• YTD: 8.10%
• 1Y: 18.77%
• 3Y*: 9.32%
• 5Y*: 6.09%
• 10Y*: 3.47%
• ALL TIME*: 1.16%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
IMF Invesco Managed Futures Strategy ETF	$99.09K	$127.43K	$386.40K
WTMF WisdomTree Managed Futures Strategy Fund	$1.17M	$1.17M	$1.11M

IMF vs. WTMF - Yearly Performance Comparison

	2026 (YTD)	2025
IMF Invesco Managed Futures Strategy ETF	13.08%	-8.17%
WTMF WisdomTree Managed Futures Strategy Fund	8.10%	14.87%

Correlation

The correlation between IMF and WTMF is 0.49, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.49
Correlation (All Time) Calculated using the full available price history since Mar 19, 2025	0.43

Return for Risk

IMF vs. WTMF — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

IMF

IMF Risk / Return Rank: 87
IMF Sharpe Ratio Rank: 85
IMF Sortino Ratio Rank: 80
IMF Omega Ratio Rank: 88
IMF Calmar Ratio Rank: 94
IMF Martin Ratio Rank: 89

WTMF

WTMF Risk / Return Rank: 87
WTMF Sharpe Ratio Rank: 84
WTMF Sortino Ratio Rank: 82
WTMF Omega Ratio Rank: 85
WTMF Calmar Ratio Rank: 93
WTMF Martin Ratio Rank: 93

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

IMF vs. WTMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Managed Futures Strategy ETF (IMF) 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.

	IMF	WTMF	Difference
Sharpe ratio: Return per unit of total volatility	2.01	1.94	+0.08
Sortino ratio: Return per unit of downside risk	2.59	2.65	-0.05
Omega ratio: Gain probability vs. loss probability	1.39	1.37	+0.03
Calmar ratio: Return relative to maximum drawdown	4.70	4.38	+0.32
Martin ratio: Return relative to average drawdown	13.84	16.87	-3.03

IMF vs. WTMF - Sharpe Ratio Comparison

The current IMF Sharpe Ratio is 2.01, which is comparable to the WTMF Sharpe Ratio of 1.94. The chart below compares the historical Sharpe Ratios of IMF and WTMF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

IMF vs. WTMF - Drawdown Comparison

The maximum IMF drawdown since its inception was -15.29%, smaller than the maximum WTMF drawdown of -30.79%. Use the drawdown chart below to compare losses from any high point for IMF and WTMF.

Drawdown Indicators

	IMF	WTMF	Difference
Max Drawdown Largest peak-to-trough decline	-15.29%	-30.79%	+15.50%
Max Drawdown (1Y) Largest decline over 1 year	-4.54%	-4.04%	-0.50%
Max Drawdown (3Y) Largest decline over 3 years	—	-9.93%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-13.21%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-14.83%	—
Current Drawdown Current decline from peak	-1.69%	-0.87%	-0.82%
Average Drawdown Average peak-to-trough decline	-7.87%	-17.53%	+9.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.54%	1.05%	+0.49%

Volatility

IMF vs. WTMF - Volatility Comparison

The current volatility for Invesco Managed Futures Strategy ETF (IMF) is 2.08%, while WisdomTree Managed Futures Strategy Fund (WTMF) has a volatility of 2.19%. This indicates that IMF experiences smaller price fluctuations and is considered to be less risky than WTMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	IMF	WTMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.08%	2.19%	-0.11%
Volatility (6M) Calculated over the trailing 6-month period	8.95%	7.17%	+1.78%
Volatility (1Y) Calculated over the trailing 1-year period	10.65%	9.13%	+1.52%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.17%	9.37%	+2.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.17%	8.12%	+4.05%

IMF vs. WTMF - Expense Ratio Comparison

Both IMF and WTMF have an expense ratio of 0.65%.

Dividends

IMF vs. WTMF - Dividend Comparison

IMF's dividend yield for the trailing twelve months is around 0.89%, less than WTMF's 2.82% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
IMF Invesco Managed Futures Strategy ETF	0.89%	1.01%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
WTMF WisdomTree Managed Futures Strategy Fund	2.82%	3.04%	3.57%	4.74%	5.29%	14.71%	0.47%	1.63%	3.59%

Frequently Asked Questions

Can I hold both IMF and WTMF in my portfolio?

IMF and WTMF have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, IMF or WTMF?

WTMF has higher volatility (2.19%) compared to IMF (2.08%). In terms of maximum drawdown, IMF dropped -15.29% vs WTMF's -30.79%.

Which ETF is better, IMF or WTMF?

On 1-year performance, IMF leads with 22.59% vs 18.77% for WTMF. Both ETFs have the same 0.65% expense ratio. On volatility, IMF has been the lower-risk option at 2.08%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, IMF or WTMF?

Over the 1-year period, IMF has performed better with a 22.59% return vs 18.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, IMF or WTMF?

IMF and WTMF have the same expense ratio: 0.65% per year.

Which ETF pays a higher dividend yield, IMF or WTMF?

WTMF has the higher dividend yield at 2.82%, compared with 0.89% for IMF.

What is the main difference between IMF and WTMF?

They also come from different issuers: Invesco and WisdomTree.

Which has better risk-adjusted returns?

IMF currently has the higher Sharpe Ratio (2.01 vs 1.94), 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.