QUAL vs. WTMF
QUAL (iShares MSCI USA Quality Factor ETF) and WTMF (WisdomTree Managed Futures Strategy Fund) are both exchange-traded funds - QUAL is a Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index, while WTMF is a Hedge Fund fund tracking the WisdomTree Managed Futures Index. Both are passively managed. Over the past 10 years, QUAL returned 14.46%/yr vs 3.15%/yr for WTMF. At a 0.17 correlation, their price movements are largely independent. QUAL charges 0.15%/yr vs 0.65%/yr for WTMF.
Performance
QUAL vs. WTMF - Performance Comparison
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Returns By Period
In the year-to-date period, QUAL achieves a 9.44% return, which is significantly higher than WTMF's 7.65% return. Over the past 10 years, QUAL has outperformed WTMF with an annualized return of 14.46%, while WTMF has yielded a comparatively lower 3.15% annualized return.
QUAL
- 1D
- 0.47%
- 1M
- 2.14%
- YTD
- 9.44%
- 6M
- 9.29%
- 1Y
- 22.87%
- 3Y*
- 19.30%
- 5Y*
- 11.97%
- 10Y*
- 14.46%
WTMF
- 1D
- 0.59%
- 1M
- -0.91%
- YTD
- 7.65%
- 6M
- 7.62%
- 1Y
- 20.55%
- 3Y*
- 9.45%
- 5Y*
- 6.05%
- 10Y*
- 3.15%
QUAL vs. WTMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QUAL iShares MSCI USA Quality Factor ETF | 9.44% | 12.65% | 22.29% | 30.88% | -20.50% | 26.94% | 17.04% | 33.89% | -5.70% | 22.26% |
WTMF WisdomTree Managed Futures Strategy Fund | 7.65% | 12.17% | 3.20% | 16.72% | -6.52% | 9.48% | 0.48% | -2.75% | 0.24% | -3.40% |
Correlation
The correlation between QUAL and WTMF is 0.54, 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 | 0.54 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.52 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.42 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.22 |
Correlation (All Time) Calculated using the full available price history since Jul 18, 2013 | 0.17 |
Over the past year, QUAL and WTMF have become more correlated (0.54) than their long-term average of 0.17, meaning their price movements have been converging.
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Return for Risk
QUAL vs. WTMF — Risk / Return Rank
QUAL
WTMF
QUAL vs. WTMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Quality Factor ETF (QUAL) 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.
| QUAL | WTMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.55 | ||
| Sortino ratioReturn per unit of downside risk | -0.65 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.44 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 2.32 | 5.05 | -2.72 |
| Martin ratioReturn relative to average drawdown | 10.60 | 21.53 | -10.93 |
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Drawdowns
QUAL vs. WTMF - Drawdown Comparison
The maximum QUAL drawdown since its inception was -34.06%, which is greater than WTMF's maximum drawdown of -30.79%. Use the drawdown chart below to compare losses from any high point for QUAL and WTMF.
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Drawdown Indicators
| QUAL | WTMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.06% | -30.79% | -3.27% |
Max Drawdown (1Y)Largest decline over 1 year | -9.03% | -4.04% | -4.99% |
Max Drawdown (3Y)Largest decline over 3 years | -18.00% | -9.93% | -8.07% |
Max Drawdown (5Y)Largest decline over 5 years | -28.23% | -13.21% | -15.02% |
Max Drawdown (10Y)Largest decline over 10 years | -34.06% | -15.62% | -18.44% |
Current DrawdownCurrent decline from peak | -0.19% | -0.91% | +0.72% |
Average DrawdownAverage peak-to-trough decline | -4.10% | -17.67% | +13.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.99% | 0.94% | +1.05% |
Volatility
QUAL vs. WTMF - Volatility Comparison
iShares MSCI USA Quality Factor ETF (QUAL) has a higher volatility of 3.63% compared to WisdomTree Managed Futures Strategy Fund (WTMF) at 2.76%. This indicates that QUAL'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
| QUAL | WTMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.63% | 2.76% | +0.87% |
Volatility (6M)Calculated over the trailing 6-month period | 9.43% | 7.21% | +2.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.10% | 8.93% | +3.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.36% | 9.51% | +7.85% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.11% | 8.10% | +10.01% |
QUAL vs. WTMF - Expense Ratio Comparison
QUAL has a 0.15% expense ratio, which is lower than WTMF's 0.65% expense ratio.
Dividends
QUAL vs. WTMF - Dividend Comparison
QUAL's dividend yield for the trailing twelve months is around 0.87%, less than WTMF's 2.83% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QUAL iShares MSCI USA Quality Factor ETF | 0.87% | 0.94% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% |
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
QUAL and WTMF have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QUAL has higher volatility (3.63%) compared to WTMF (2.76%). In terms of maximum drawdown, QUAL dropped -34.06% vs WTMF's -30.79%.
On 10-year performance, QUAL leads with 14.46% vs 3.15% for WTMF. On fees, QUAL is cheaper at 0.15% per year. On volatility, WTMF has been the lower-risk option at 2.76%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, QUAL has performed better with a 14.46% return vs 3.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
QUAL is cheaper with a 0.15% expense ratio, compared with 0.65% for WTMF.
WTMF has the higher dividend yield at 2.83%, compared with 0.87% for QUAL.
QUAL is categorized as Large Cap Blend Equities, while WTMF is Hedge Fund. QUAL tracks MSCI USA Sector Neutral Quality Index, while WTMF tracks WisdomTree Managed Futures Index. They also come from different issuers: iShares and WisdomTree. Their fees differ too: 0.15% for QUAL and 0.65% for WTMF.
WTMF currently has the higher Sharpe Ratio (2.28 vs 1.74), 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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