WTMF vs. DBMF
WTMF (WisdomTree Managed Futures Strategy Fund) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both Systematic Trend funds. WTMF is passively managed, while DBMF is actively managed. Over the past 5 years, WTMF returned 6.10%/yr vs 8.28%/yr for DBMF. Their 0.30 correlation means their historical movements had little consistent relationship. WTMF charges 0.65%/yr vs 0.85%/yr for DBMF.
Performance
WTMF vs. DBMF - Performance Comparison
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Returns By Period
In the year-to-date period, WTMF achieves a 8.15% return, which is significantly lower than DBMF's 10.90% return.
WTMF
- 1D
- 1.31%
- 1M
- 0.66%
- 6M
- 5.79%
- YTD
- 8.15%
- 1Y
- 17.49%
- 3Y*
- 9.26%
- 5Y*
- 6.10%
- 10Y*
- 3.49%
- ALL TIME*
- 1.16%
DBMF
- 1D
- -0.61%
- 1M
- 0.75%
- 6M
- 3.08%
- YTD
- 10.90%
- 1Y
- 27.12%
- 3Y*
- 9.24%
- 5Y*
- 8.28%
- 10Y*
- —
- ALL TIME*
- 9.13%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $54.82M | $50.25M | $49.72M | |
| $1.09M | $1.14M | $1.10M |
WTMF vs. DBMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
WTMF WisdomTree Managed Futures Strategy Fund | 8.15% | 12.17% | 3.20% | 16.72% | -6.52% | 9.48% | 0.48% | -4.21% |
DBMF iMGP DBi Managed Futures Strategy ETF | 10.90% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.51% |
Correlation
The correlation between WTMF and DBMF is 0.52, 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. | 0.52 |
Correlation (3Y) Balances recent behavior with more history. | 0.41 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.29 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | 0.30 |
Over the past year, WTMF and DBMF have become more correlated (0.52) than their long-term average of 0.30, meaning their price movements have been converging.
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Return for Risk
WTMF vs. DBMF — Risk / Return Rank
WTMF
DBMF
WTMF vs. DBMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and iMGP 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.
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 | DBMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.22 | ||
| Sortino ratioReturn per unit of downside risk | -0.20 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.44 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | 4.35 | 4.46 | -0.11 |
| Martin ratioReturn relative to average drawdown | 16.74 | 15.20 | +1.54 |
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Drawdowns
WTMF vs. DBMF - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.79%, 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.
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Drawdown Indicators
| WTMF | DBMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.79% | -20.39% | -10.40% |
Max Drawdown (1Y)Largest decline over 1 year | -4.04% | -6.10% | +2.06% |
Max Drawdown (3Y)Largest decline over 3 years | -9.93% | -15.60% | +5.67% |
Max Drawdown (5Y)Largest decline over 5 years | -13.21% | -20.39% | +7.18% |
Max Drawdown (10Y)Largest decline over 10 years | -14.83% | — | — |
Current DrawdownCurrent decline from peak | -0.82% | -2.06% | +1.24% |
Average DrawdownAverage peak-to-trough decline | -17.54% | -6.48% | -11.06% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.05% | 1.79% | -0.74% |
Volatility
WTMF vs. DBMF - Volatility Comparison
WisdomTree Managed Futures Strategy Fund (WTMF) and iMGP DBi Managed Futures Strategy ETF (DBMF) have volatilities of 2.30% and 2.33%, 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.
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Volatility by Period
| WTMF | DBMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.30% | 2.33% | -0.03% |
Volatility (6M)Calculated over the trailing 6-month period | 7.20% | 9.81% | -2.61% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.14% | 12.70% | -3.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.37% | 12.44% | -3.07% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.13% | 12.36% | -4.23% |
WTMF vs. DBMF - Expense Ratio Comparison
WTMF has a 0.65% expense ratio, which is lower than DBMF's 0.85% expense ratio.
Dividends
WTMF vs. DBMF - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 2.81%, less than DBMF's 5.13% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 5.13% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% |
WTMF WisdomTree Managed Futures Strategy Fund | 2.81% | 3.04% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% |
Frequently Asked Questions
WTMF and DBMF have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DBMF has higher volatility (2.33%) compared to WTMF (2.30%). In terms of maximum drawdown, WTMF dropped -30.79% vs DBMF's -20.39%.
On 5-year performance, DBMF leads with 8.28% vs 6.10% for WTMF. 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.
Over the 5-year period, DBMF has performed better with a 8.28% return vs 6.10%. 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 0.85% for DBMF.
DBMF has the higher dividend yield at 5.13%, compared with 2.81% for WTMF.
They also come from different issuers: WisdomTree and iMGP. Their fees differ too: 0.65% for WTMF and 0.85% for DBMF.
DBMF currently has the higher Sharpe Ratio (2.15 vs 1.92), 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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