WTMF vs. DBE
WTMF (WisdomTree Managed Futures Strategy Fund) and DBE (Invesco DB Energy Fund) are both exchange-traded funds - WTMF is a Hedge Fund fund tracking the WisdomTree Managed Futures Index, while DBE is a Oil & Gas fund tracking the DBIQ Optimum Yield Energy Index. Both are passively managed. Over the past 10 years, WTMF returned 3.26%/yr vs 12.03%/yr for DBE. At a 0.14 correlation, their price movements are largely independent. WTMF charges 0.65%/yr vs 0.78%/yr for DBE.
Performance
WTMF vs. DBE - Performance Comparison
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Returns By Period
In the year-to-date period, WTMF achieves a 8.50% return, which is significantly lower than DBE's 83.68% return. Over the past 10 years, WTMF has underperformed DBE with an annualized return of 3.26%, while DBE has yielded a comparatively higher 12.03% annualized return.
WTMF
- 1D
- -0.02%
- 1M
- 1.05%
- YTD
- 8.50%
- 6M
- 8.44%
- 1Y
- 22.55%
- 3Y*
- 9.77%
- 5Y*
- 6.17%
- 10Y*
- 3.26%
DBE
- 1D
- 2.33%
- 1M
- -5.45%
- YTD
- 83.68%
- 6M
- 74.95%
- 1Y
- 84.41%
- 3Y*
- 23.42%
- 5Y*
- 19.66%
- 10Y*
- 12.03%
WTMF vs. DBE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
WTMF WisdomTree Managed Futures Strategy Fund | 8.50% | 12.17% | 3.20% | 16.72% | -6.52% | 9.48% | 0.48% | -2.75% | 0.24% | -3.40% |
DBE Invesco DB Energy Fund | 83.68% | -2.17% | 2.96% | -12.14% | 33.77% | 57.56% | -25.91% | 19.72% | -12.95% | 5.21% |
Correlation
The correlation between WTMF and DBE is -0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.09 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.10 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since Jan 6, 2011 | 0.14 |
The correlation between WTMF and DBE shifts across timeframes, from -0.09 (1 year) to 0.17 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
WTMF vs. DBE — Risk / Return Rank
WTMF
DBE
WTMF vs. DBE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and Invesco DB Energy Fund (DBE). 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.
| WTMF | DBE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.20 | ||
| Sortino ratioReturn per unit of downside risk | +0.65 | ||
| Omega ratioGain probability vs. loss probability | 1.51 | 1.40 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 5.61 | 5.89 | -0.28 |
| Martin ratioReturn relative to average drawdown | 25.08 | 11.53 | +13.55 |
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
| WTMF | DBE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.62 | 2.43 | +0.20 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.66 | 0.67 | -0.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.41 | 0.43 | -0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.15 | 0.09 | +0.06 |
Drawdowns
WTMF vs. DBE - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.79%, smaller than the maximum DBE drawdown of -86.69%. Use the drawdown chart below to compare losses from any high point for WTMF and DBE.
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Drawdown Indicators
| WTMF | DBE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.79% | -86.69% | +55.90% |
Max Drawdown (1Y)Largest decline over 1 year | -4.04% | -14.41% | +10.37% |
Max Drawdown (3Y)Largest decline over 3 years | -9.93% | -23.89% | +13.96% |
Max Drawdown (5Y)Largest decline over 5 years | -13.21% | -38.74% | +25.53% |
Max Drawdown (10Y)Largest decline over 10 years | -15.99% | -60.84% | +44.85% |
Current DrawdownCurrent decline from peak | -0.13% | -30.27% | +30.14% |
Average DrawdownAverage peak-to-trough decline | -17.71% | -57.31% | +39.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.90% | 7.35% | -6.45% |
Volatility
WTMF vs. DBE - Volatility Comparison
The current volatility for WisdomTree Managed Futures Strategy Fund (WTMF) is 1.61%, while Invesco DB Energy Fund (DBE) has a volatility of 12.95%. This indicates that WTMF experiences smaller price fluctuations and is considered to be less risky than DBE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| WTMF | DBE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.61% | 12.95% | -11.34% |
Volatility (6M)Calculated over the trailing 6-month period | 6.84% | 30.86% | -24.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.63% | 34.97% | -26.34% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.46% | 29.39% | -19.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.07% | 28.33% | -20.26% |
WTMF vs. DBE - Expense Ratio Comparison
WTMF has a 0.65% expense ratio, which is lower than DBE's 0.78% expense ratio.
Dividends
WTMF vs. DBE - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 2.80%, more than DBE's 2.10% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
DBE Invesco DB Energy Fund | 2.10% | 3.86% | 6.32% | 3.87% | 0.75% | 0.00% | 0.00% | 1.79% | 1.67% |
WTMF WisdomTree Managed Futures Strategy Fund | 2.80% | 3.04% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% |
Frequently Asked Questions
WTMF and DBE have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DBE has higher volatility (12.95%) compared to WTMF (1.61%). In terms of maximum drawdown, WTMF dropped -30.79% vs DBE's -86.69%.
On 10-year performance, DBE leads with 12.03% vs 3.26% for WTMF. On fees, WTMF is cheaper at 0.65% per year. On volatility, WTMF has been the lower-risk option at 1.61%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, DBE has performed better with a 12.03% return vs 3.26%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
WTMF is cheaper with a 0.65% expense ratio, compared with 0.78% for DBE.
WTMF has the higher dividend yield at 2.80%, compared with 2.10% for DBE.
WTMF is categorized as Hedge Fund, while DBE is Oil & Gas. WTMF tracks WisdomTree Managed Futures Index, while DBE tracks DBIQ Optimum Yield Energy Index. They also come from different issuers: WisdomTree and Invesco. Their fees differ too: 0.65% for WTMF and 0.78% for DBE.
WTMF currently has the higher Sharpe Ratio (2.62 vs 2.43), 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.
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