JDJIX vs. WTMF
Compare and contrast key facts about JHancock Diversified Macro Fund (JDJIX) and WisdomTree Managed Futures Strategy Fund (WTMF).
JDJIX is managed by John Hancock. It was launched on Jul 28, 2019. 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.
Performance
JDJIX vs. WTMF - Performance Comparison
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JDJIX vs. WTMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
JDJIX JHancock Diversified Macro Fund | 4.93% | -7.68% | 2.59% | 2.77% | 12.26% | -2.19% | -2.24% | 1.59% |
WTMF WisdomTree Managed Futures Strategy Fund | 4.38% | 12.17% | 3.20% | 16.72% | -6.52% | 9.48% | 0.48% | -0.38% |
Returns By Period
In the year-to-date period, JDJIX achieves a 4.93% return, which is significantly higher than WTMF's 4.38% return.
JDJIX
- 1D
- 0.23%
- 1M
- -2.46%
- YTD
- 4.93%
- 6M
- 2.06%
- 1Y
- -4.81%
- 3Y*
- 0.41%
- 5Y*
- 2.58%
- 10Y*
- —
WTMF
- 1D
- 0.93%
- 1M
- 0.14%
- YTD
- 4.38%
- 6M
- 7.96%
- 1Y
- 19.83%
- 3Y*
- 9.85%
- 5Y*
- 6.55%
- 10Y*
- 3.04%
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JDJIX vs. WTMF - Expense Ratio Comparison
JDJIX has a 1.39% expense ratio, which is higher than WTMF's 0.65% expense ratio.
Return for Risk
JDJIX vs. WTMF — Risk / Return Rank
JDJIX
WTMF
JDJIX vs. WTMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JHancock Diversified Macro Fund (JDJIX) 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.
| JDJIX | WTMF | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.52 | 2.10 | -2.62 |
Sortino ratioReturn per unit of downside risk | -0.61 | 2.87 | -3.49 |
Omega ratioGain probability vs. loss probability | 0.91 | 1.39 | -0.48 |
Calmar ratioReturn relative to maximum drawdown | -0.40 | 4.66 | -5.06 |
Martin ratioReturn relative to average drawdown | -0.59 | 17.86 | -18.45 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JDJIX | WTMF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.52 | 2.10 | -2.62 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.29 | 0.69 | -0.39 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.38 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.18 | 0.12 | +0.06 |
Correlation
The correlation between JDJIX and WTMF is 0.35, 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.
Dividends
JDJIX vs. WTMF - Dividend Comparison
JDJIX's dividend yield for the trailing twelve months is around 0.29%, less than WTMF's 2.92% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
JDJIX JHancock Diversified Macro Fund | 0.29% | 0.31% | 0.43% | 3.99% | 11.26% | 3.46% | 2.11% | 3.79% | 0.00% |
WTMF WisdomTree Managed Futures Strategy Fund | 2.92% | 3.04% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% |
Drawdowns
JDJIX vs. WTMF - Drawdown Comparison
The maximum JDJIX drawdown since its inception was -19.58%, smaller than the maximum WTMF drawdown of -30.79%. Use the drawdown chart below to compare losses from any high point for JDJIX and WTMF.
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Drawdown Indicators
| JDJIX | WTMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.58% | -30.79% | +11.21% |
Max Drawdown (1Y)Largest decline over 1 year | -10.53% | -4.11% | -6.42% |
Max Drawdown (5Y)Largest decline over 5 years | -19.58% | -13.21% | -6.37% |
Max Drawdown (10Y)Largest decline over 10 years | — | -15.99% | — |
Current DrawdownCurrent decline from peak | -14.53% | -1.25% | -13.28% |
Average DrawdownAverage peak-to-trough decline | -7.27% | -17.91% | +10.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.10% | 1.07% | +6.03% |
Volatility
JDJIX vs. WTMF - Volatility Comparison
The current volatility for JHancock Diversified Macro Fund (JDJIX) is 1.66%, while WisdomTree Managed Futures Strategy Fund (WTMF) has a volatility of 3.38%. This indicates that JDJIX 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.
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Volatility by Period
| JDJIX | WTMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.66% | 3.38% | -1.72% |
Volatility (6M)Calculated over the trailing 6-month period | 4.94% | 7.51% | -2.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.30% | 9.49% | -1.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.90% | 9.59% | -0.69% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.20% | 8.10% | +1.10% |