JDJIX vs. WTMF
JDJIX (JHancock Diversified Macro Fund) and WTMF (WisdomTree Managed Futures Strategy Fund) are both funds - JDJIX is a Multistrategy fund managed by John Hancock, while WTMF is a Systematic Trend fund tracking the WisdomTree Managed Futures Index. Over the past 5 years, JDJIX returned 3.07%/yr vs 6.09%/yr for WTMF. Their 0.36 correlation means their historical movements had little consistent relationship. JDJIX charges 1.39%/yr vs 0.65%/yr for WTMF.
Performance
JDJIX vs. WTMF - Performance Comparison
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Returns By Period
In the year-to-date period, JDJIX achieves a 10.22% return, which is significantly higher than WTMF's 8.10% return.
JDJIX
- 1D
- -0.33%
- 1M
- 0.33%
- 6M
- 6.26%
- YTD
- 10.22%
- 1Y
- 8.73%
- 3Y*
- 0.75%
- 5Y*
- 3.07%
- 10Y*
- —
- ALL TIME*
- 2.27%
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%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $1.17M | $1.17M | $1.11M |
JDJIX vs. WTMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
JDJIX JHancock Diversified Macro Fund | 10.22% | -7.68% | 2.59% | 2.77% | 12.26% | -2.19% | -2.24% | 1.59% |
WTMF WisdomTree Managed Futures Strategy Fund | 8.10% | 12.17% | 3.20% | 16.72% | -6.52% | 9.48% | 0.48% | -0.25% |
Correlation
The correlation between JDJIX and WTMF is 0.42, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.42 |
Correlation (3Y) Balances recent behavior with more history. | 0.42 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.35 |
Correlation (All Time) Calculated using the full available price history since Jul 29, 2019 | 0.36 |
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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.
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.
| JDJIX | WTMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.09 | ||
| Sortino ratioReturn per unit of downside risk | -1.43 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 1.37 | -0.21 |
| Calmar ratioReturn relative to maximum drawdown | 1.18 | 4.38 | -3.20 |
| Martin ratioReturn relative to average drawdown | 3.29 | 16.87 | -13.58 |
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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 | -5.07% | -4.04% | -1.03% |
Max Drawdown (3Y)Largest decline over 3 years | -19.58% | -9.93% | -9.65% |
Max Drawdown (5Y)Largest decline over 5 years | -19.58% | -13.21% | -6.37% |
Max Drawdown (10Y)Largest decline over 10 years | — | -14.83% | — |
Current DrawdownCurrent decline from peak | -10.22% | -0.87% | -9.35% |
Average DrawdownAverage peak-to-trough decline | -7.45% | -17.53% | +10.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.90% | 1.05% | +0.85% |
Volatility
JDJIX vs. WTMF - Volatility Comparison
The current volatility for JHancock Diversified Macro Fund (JDJIX) is 1.77%, while WisdomTree Managed Futures Strategy Fund (WTMF) has a volatility of 2.19%. 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 | 1.77% | 2.19% | -0.42% |
Volatility (6M)Calculated over the trailing 6-month period | 5.15% | 7.17% | -2.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.09% | 9.13% | -2.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.83% | 9.37% | -0.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.12% | 8.12% | +1.00% |
JDJIX vs. WTMF - Expense Ratio Comparison
JDJIX has a 1.39% expense ratio, which is higher than WTMF's 0.65% expense ratio.
Dividends
JDJIX vs. WTMF - Dividend Comparison
JDJIX's dividend yield for the trailing twelve months is around 0.28%, less than WTMF's 2.82% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
JDJIX JHancock Diversified Macro Fund | 0.28% | 0.31% | 0.43% | 3.99% | 11.26% | 3.46% | 2.11% | 3.79% | 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
JDJIX and WTMF have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WTMF has higher volatility (2.19%) compared to JDJIX (1.77%). In terms of maximum drawdown, JDJIX dropped -19.58% vs WTMF's -30.79%.
WTMF currently has the higher Sharpe Ratio (1.94 vs 0.85), 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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