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WTMF vs. DBMF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

WTMF vs. DBMF - Performance Comparison

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

10.00%20.00%30.00%40.00%50.00%60.00%70.00%JuneJulyAugustSeptemberOctoberNovember
18.12%
48.88%
WTMF
DBMF

Returns By Period

In the year-to-date period, WTMF achieves a 3.05% return, which is significantly lower than DBMF's 7.03% return.


WTMF

YTD

3.05%

1M

0.95%

6M

-2.19%

1Y

6.22%

5Y (annualized)

4.59%

10Y (annualized)

1.04%

DBMF

YTD

7.03%

1M

-2.53%

6M

-7.71%

1Y

3.21%

5Y (annualized)

6.34%

10Y (annualized)

N/A

Key characteristics


WTMFDBMF
Sharpe Ratio0.830.19
Sortino Ratio1.250.32
Omega Ratio1.141.04
Calmar Ratio0.490.11
Martin Ratio2.000.38
Ulcer Index3.26%5.42%
Daily Std Dev7.85%11.10%
Max Drawdown-30.78%-20.39%
Current Drawdown-7.79%-12.11%

Compare stocks, funds, or ETFs

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WTMF vs. DBMF - Expense Ratio Comparison

WTMF has a 0.65% expense ratio, which is lower than DBMF's 0.85% expense ratio.


DBMF
iM DBi Managed Futures Strategy ETF
Expense ratio chart for DBMF: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for WTMF: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%

Correlation

-0.50.00.51.00.3

The correlation between WTMF and DBMF is 0.26, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

WTMF vs. DBMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and iM DBi Managed Futures Strategy ETF (DBMF). 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.


Sharpe ratio
The chart of Sharpe ratio for WTMF, currently valued at 0.83, compared to the broader market0.002.004.006.000.830.19
The chart of Sortino ratio for WTMF, currently valued at 1.25, compared to the broader market-2.000.002.004.006.008.0010.0012.001.250.32
The chart of Omega ratio for WTMF, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.04
The chart of Calmar ratio for WTMF, currently valued at 0.86, compared to the broader market0.005.0010.0015.000.860.11
The chart of Martin ratio for WTMF, currently valued at 2.00, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.000.38
WTMF
DBMF

The current WTMF Sharpe Ratio is 0.83, which is higher than the DBMF Sharpe Ratio of 0.19. The chart below compares the historical Sharpe Ratios of WTMF and DBMF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.83
0.19
WTMF
DBMF

Dividends

WTMF vs. DBMF - Dividend Comparison

WTMF's dividend yield for the trailing twelve months is around 3.27%, less than DBMF's 5.24% yield.


TTM202320222021202020192018
WTMF
WisdomTree Managed Futures Strategy Fund
3.27%4.74%5.29%14.71%0.47%1.63%3.59%
DBMF
iM DBi Managed Futures Strategy ETF
5.24%2.91%7.72%10.38%0.86%9.35%0.00%

Drawdowns

WTMF vs. DBMF - Drawdown Comparison

The maximum WTMF drawdown since its inception was -30.78%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for WTMF and DBMF. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-3.70%
-12.11%
WTMF
DBMF

Volatility

WTMF vs. DBMF - Volatility Comparison

WisdomTree Managed Futures Strategy Fund (WTMF) has a higher volatility of 3.46% compared to iM DBi Managed Futures Strategy ETF (DBMF) at 2.33%. This indicates that WTMF's price experiences larger fluctuations and is considered to be riskier than DBMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.46%
2.33%
WTMF
DBMF