SPY vs. WTMF

Last updated Jun 9, 2026

SPY (State Street SPDR S&P 500 ETF) and WTMF (WisdomTree Managed Futures Strategy Fund) are both exchange-traded funds - SPY is a S&P 500 fund tracking the S&P 500 Index, while WTMF is a Hedge Fund fund tracking the WisdomTree Managed Futures Index. Both are passively managed. Over the past 10 years, SPY returned 15.27%/yr vs 3.07%/yr for WTMF. At a 0.14 correlation, their price movements are largely independent. SPY charges 0.09%/yr vs 0.65%/yr for WTMF.

Performance

SPY vs. WTMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street SPDR S&P 500 ETF (SPY) 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, SPY achieves a 8.70% return, which is significantly higher than WTMF's 6.94% return. Over the past 10 years, SPY has outperformed WTMF with an annualized return of 15.27%, while WTMF has yielded a comparatively lower 3.07% annualized return.

SPY

• 1D: 0.23%
• 1M: 0.22%
• YTD: 8.70%
• 6M: 8.75%
• 1Y: 24.79%
• 3Y*: 21.35%
• 5Y*: 13.42%
• 10Y*: 15.27%

WTMF

• 1D: 0.52%
• 1M: -0.47%
• YTD: 6.94%
• 6M: 6.94%
• 1Y: 19.47%
• 3Y*: 9.27%
• 5Y*: 5.92%
• 10Y*: 3.07%

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

SPY vs. WTMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SPY State Street SPDR S&P 500 ETF	8.70%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%
WTMF WisdomTree Managed Futures Strategy Fund	6.94%	12.17%	3.20%	16.72%	-6.52%	9.48%	0.48%	-2.75%	0.24%	-3.40%

Correlation

The correlation between SPY and WTMF is 0.51, 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	0.51
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	0.23
Correlation (All Time) Calculated using the full available price history since Jan 5, 2011	0.14

Over the past year, SPY and WTMF have become more correlated (0.51) than their long-term average of 0.14, meaning their price movements have been converging.

SPY vs. WTMF - Sectors Allocation Comparison

Sectors	SPY	WTMF
Technology	35.9%	17.0%
Financial Services	11.8%	15.8%
Communication Services	11.3%	2.4%
Consumer Cyclical	10.3%	8.4%
Healthcare	8.4%	16.5%
Industrials	7.8%	17.7%
Consumer Defensive	4.8%	2.4%
Energy	3.6%	6.1%
Utilities	2.4%	2.9%
Real Estate	1.9%	6.1%
Basic Materials	1.8%	4.8%

Return for Risk

SPY vs. WTMF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SPY

SPY Risk / Return Rank: 69
SPY Sharpe Ratio Rank: 70
SPY Sortino Ratio Rank: 67
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

WTMF

WTMF Risk / Return Rank: 82
WTMF Sharpe Ratio Rank: 76
WTMF Sortino Ratio Rank: 75
WTMF Omega Ratio Rank: 80
WTMF Calmar Ratio Rank: 89
WTMF Martin Ratio Rank: 92

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SPY vs. WTMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street SPDR S&P 500 ETF (SPY) 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.

	SPY	WTMF	Difference
Sharpe ratio: Return per unit of total volatility	2.06	2.21	-0.15
Sortino ratio: Return per unit of downside risk	2.78	3.01	-0.23
Omega ratio: Gain probability vs. loss probability	1.38	1.43	-0.05
Calmar ratio: Return relative to maximum drawdown	2.80	4.85	-2.04
Martin ratio: Return relative to average drawdown	12.93	21.30	-8.37
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SPY vs. WTMF - Sharpe Ratio Comparison

The current SPY Sharpe Ratio is 2.06, which is comparable to the WTMF Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of SPY 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.

Sharpe Ratios by Period

	SPY	WTMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.06	2.21	-0.15
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.79	0.63	+0.16
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.85	0.38	+0.47
Sharpe Ratio (All Time) Calculated using the full available price history	0.58	0.14	+0.44

Drawdowns

SPY vs. WTMF - Drawdown Comparison

The maximum SPY drawdown since its inception was -55.19%, which is greater than WTMF's maximum drawdown of -30.79%. Use the drawdown chart below to compare losses from any high point for SPY and WTMF.

Drawdown Indicators

	SPY	WTMF	Difference
Max Drawdown Largest peak-to-trough decline	-55.19%	-30.79%	-24.40%
Max Drawdown (1Y) Largest decline over 1 year	-8.88%	-4.04%	-4.84%
Max Drawdown (3Y) Largest decline over 3 years	-18.76%	-9.93%	-8.83%
Max Drawdown (5Y) Largest decline over 5 years	-24.50%	-13.21%	-11.29%
Max Drawdown (10Y) Largest decline over 10 years	-33.72%	-15.62%	-18.10%
Current Drawdown Current decline from peak	-2.68%	-1.56%	-1.12%
Average Drawdown Average peak-to-trough decline	-9.04%	-17.69%	+8.65%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.92%	0.92%	+1.00%

Volatility

SPY vs. WTMF - Volatility Comparison

State Street SPDR S&P 500 ETF (SPY) has a higher volatility of 3.72% compared to WisdomTree Managed Futures Strategy Fund (WTMF) at 2.52%. This indicates that SPY'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.

Volatility by Period

	SPY	WTMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.72%	2.52%	+1.20%
Volatility (6M) Calculated over the trailing 6-month period	9.31%	7.10%	+2.21%
Volatility (1Y) Calculated over the trailing 1-year period	12.10%	8.85%	+3.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.09%	9.49%	+7.60%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.96%	8.09%	+9.87%

SPY vs. WTMF - Expense Ratio Comparison

SPY has a 0.09% expense ratio, which is lower than WTMF's 0.65% expense ratio.

Dividends

SPY vs. WTMF - Dividend Comparison

SPY's dividend yield for the trailing twelve months is around 1.00%, less than WTMF's 2.85% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SPY State Street SPDR S&P 500 ETF	1.00%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%
WTMF WisdomTree Managed Futures Strategy Fund	2.85%	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

Can I hold both SPY and WTMF in my portfolio?

SPY and WTMF have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SPY or WTMF?

SPY has higher volatility (3.72%) compared to WTMF (2.52%). In terms of maximum drawdown, SPY dropped -55.19% vs WTMF's -30.79%.

Which ETF is better, SPY or WTMF?

On 10-year performance, SPY leads with 15.27% vs 3.07% for WTMF. On fees, SPY is cheaper at 0.09% per year. On volatility, WTMF has been the lower-risk option at 2.52%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SPY or WTMF?

Over the 10-year period, SPY has performed better with a 15.27% return vs 3.07%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SPY or WTMF?

SPY is cheaper with a 0.09% expense ratio, compared with 0.65% for WTMF.

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

WTMF has the higher dividend yield at 2.85%, compared with 1.00% for SPY.

What is the main difference between SPY and WTMF?

SPY is categorized as S&P 500, while WTMF is Hedge Fund. SPY tracks S&P 500 Index, while WTMF tracks WisdomTree Managed Futures Index. They also come from different issuers: State Street and WisdomTree. Their fees differ too: 0.09% for SPY and 0.65% for WTMF.

Which has better risk-adjusted returns?

WTMF currently has the higher Sharpe Ratio (2.21 vs 2.06), 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.