WTMF vs. ASMF

Last updated Aug 2, 2026

WTMF (WisdomTree Managed Futures Strategy Fund) and ASMF (Virtus AlphaSimplex Managed Futures ETF) are both Systematic Trend funds. WTMF is passively managed, while ASMF is actively managed. Over the past year, WTMF returned 18.77% vs 16.60% for ASMF. Their 0.48 correlation means their historical movements had little consistent relationship. WTMF charges 0.65%/yr vs 0.80%/yr for ASMF.

Performance

WTMF vs. ASMF - Performance Comparison

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

Returns By Period

The year-to-date returns for both stocks are quite close, with WTMF having a 8.10% return and ASMF slightly lower at 7.73%.

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%

ASMF

• 1D: 0.77%
• 1M: 1.36%
• 6M: 3.31%
• YTD: 7.73%
• 1Y: 16.60%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 2.24%

*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)
ASMF Virtus AlphaSimplex Managed Futures ETF	$131.02K	$83.29K	$68.36K
WTMF WisdomTree Managed Futures Strategy Fund	$1.17M	$1.17M	$1.11M

WTMF vs. ASMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024
WTMF WisdomTree Managed Futures Strategy Fund	8.10%	12.17%	-1.76%
ASMF Virtus AlphaSimplex Managed Futures ETF	7.73%	1.16%	-3.65%

Correlation

The correlation between WTMF and ASMF is 0.56, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.56
Correlation (All Time) Calculated using the full available price history since May 16, 2024	0.48

The correlation between WTMF and ASMF has been stable across timeframes, ranging from 0.48 to 0.56 - a consistent structural relationship.

Return for Risk

WTMF vs. ASMF — Risk / Return Rank

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

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

ASMF

ASMF Risk / Return Rank: 65
ASMF Sharpe Ratio Rank: 61
ASMF Sortino Ratio Rank: 58
ASMF Omega Ratio Rank: 61
ASMF Calmar Ratio Rank: 85
ASMF Martin Ratio Rank: 62

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.

WTMF vs. ASMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and Virtus AlphaSimplex Managed Futures ETF (ASMF). 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.

	WTMF	ASMF	Difference
Sharpe ratio: Return per unit of total volatility	1.94	1.43	+0.51
Sortino ratio: Return per unit of downside risk	2.65	1.99	+0.66
Omega ratio: Gain probability vs. loss probability	1.37	1.27	+0.10
Calmar ratio: Return relative to maximum drawdown	4.38	3.26	+1.12
Martin ratio: Return relative to average drawdown	16.87	7.54	+9.33

WTMF vs. ASMF - Sharpe Ratio Comparison

The current WTMF Sharpe Ratio is 1.94, which is higher than the ASMF Sharpe Ratio of 1.43. The chart below compares the historical Sharpe Ratios of WTMF and ASMF, 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

WTMF vs. ASMF - Drawdown Comparison

The maximum WTMF drawdown since its inception was -30.79%, which is greater than ASMF's maximum drawdown of -15.31%. Use the drawdown chart below to compare losses from any high point for WTMF and ASMF.

Drawdown Indicators

	WTMF	ASMF	Difference
Max Drawdown Largest peak-to-trough decline	-30.79%	-15.31%	-15.48%
Max Drawdown (1Y) Largest decline over 1 year	-4.04%	-5.02%	+0.98%
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	-0.87%	-2.83%	+1.96%
Average Drawdown Average peak-to-trough decline	-17.53%	-7.27%	-10.26%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.05%	2.17%	-1.12%

Volatility

WTMF vs. ASMF - Volatility Comparison

WisdomTree Managed Futures Strategy Fund (WTMF) and Virtus AlphaSimplex Managed Futures ETF (ASMF) have volatilities of 2.19% and 2.26%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	WTMF	ASMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.19%	2.26%	-0.07%
Volatility (6M) Calculated over the trailing 6-month period	7.17%	9.19%	-2.02%
Volatility (1Y) Calculated over the trailing 1-year period	9.13%	11.49%	-2.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.37%	10.90%	-1.53%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.12%	10.90%	-2.78%

WTMF vs. ASMF - Expense Ratio Comparison

WTMF has a 0.65% expense ratio, which is lower than ASMF's 0.80% expense ratio.

Dividends

WTMF vs. ASMF - Dividend Comparison

WTMF's dividend yield for the trailing twelve months is around 2.82%, more than ASMF's 0.20% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
ASMF Virtus AlphaSimplex Managed Futures ETF	0.20%	0.22%	1.66%	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 WTMF and ASMF in my portfolio?

WTMF and ASMF have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, WTMF or ASMF?

ASMF has higher volatility (2.26%) compared to WTMF (2.19%). In terms of maximum drawdown, WTMF dropped -30.79% vs ASMF's -15.31%.

Which ETF is better, WTMF or ASMF?

On 1-year performance, WTMF leads with 18.77% vs 16.60% for ASMF. On fees, WTMF is cheaper at 0.65% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, WTMF or ASMF?

Over the 1-year period, WTMF has performed better with a 18.77% return vs 16.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, WTMF or ASMF?

WTMF is cheaper with a 0.65% expense ratio, compared with 0.80% for ASMF.

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

WTMF has the higher dividend yield at 2.82%, compared with 0.20% for ASMF.

What is the main difference between WTMF and ASMF?

They also come from different issuers: WisdomTree and Virtus. Their fees differ too: 0.65% for WTMF and 0.80% for ASMF.

Which has better risk-adjusted returns?

WTMF currently has the higher Sharpe Ratio (1.94 vs 1.43), 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.