WTMF vs. FMF
WTMF (WisdomTree Managed Futures Strategy Fund) and FMF (First Trust Managed Futures Strategy Fund) are both Hedge Fund funds. WTMF is passively managed, while FMF is actively managed. Over the past 10 years, WTMF returned 3.33%/yr vs 2.93%/yr for FMF. At a 0.31 correlation, their price movements are largely independent. WTMF charges 0.65%/yr vs 0.95%/yr for FMF.
Performance
WTMF vs. FMF - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with WTMF having a 9.05% return and FMF slightly lower at 8.63%. Over the past 10 years, WTMF has outperformed FMF with an annualized return of 3.33%, while FMF has yielded a comparatively lower 2.93% annualized return.
WTMF
- 1D
- 0.25%
- 1M
- 0.90%
- YTD
- 9.05%
- 6M
- 8.03%
- 1Y
- 22.40%
- 3Y*
- 10.53%
- 5Y*
- 6.45%
- 10Y*
- 3.33%
FMF
- 1D
- 0.58%
- 1M
- -1.90%
- YTD
- 8.63%
- 6M
- 9.11%
- 1Y
- 19.91%
- 3Y*
- 6.82%
- 5Y*
- 4.57%
- 10Y*
- 2.93%
WTMF vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
WTMF WisdomTree Managed Futures Strategy Fund | 9.05% | 12.17% | 3.20% | 16.72% | -6.52% | 9.48% | 0.48% | -2.75% | 0.24% | -3.40% |
FMF First Trust Managed Futures Strategy Fund | 8.63% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -5.16% | -2.64% | 1.70% |
Correlation
The correlation between WTMF and FMF is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.44 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.43 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.35 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.35 |
Correlation (All Time) Calculated using the full available price history since Aug 2, 2013 | 0.31 |
The correlation between WTMF and FMF shifts across timeframes, from 0.31 (all time) to 0.44 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
WTMF vs. FMF — Risk / Return Rank
WTMF
FMF
WTMF vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and First Trust Managed Futures Strategy Fund (FMF). 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 | FMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.44 | ||
| Sortino ratioReturn per unit of downside risk | +0.39 | ||
| Omega ratioGain probability vs. loss probability | 1.49 | 1.37 | +0.12 |
| Calmar ratioReturn relative to maximum drawdown | 5.57 | 5.85 | -0.27 |
| Martin ratioReturn relative to average drawdown | 23.95 | 16.12 | +7.83 |
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Drawdowns
WTMF vs. FMF - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.79%, which is greater than FMF's maximum drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for WTMF and FMF.
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Drawdown Indicators
| WTMF | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.79% | -22.21% | -8.58% |
Max Drawdown (1Y)Largest decline over 1 year | -4.04% | -3.42% | -0.62% |
Max Drawdown (3Y)Largest decline over 3 years | -9.93% | -7.25% | -2.68% |
Max Drawdown (5Y)Largest decline over 5 years | -13.21% | -14.98% | +1.77% |
Max Drawdown (10Y)Largest decline over 10 years | -15.26% | -16.89% | +1.63% |
Current DrawdownCurrent decline from peak | 0.00% | -2.17% | +2.17% |
Average DrawdownAverage peak-to-trough decline | -17.65% | -9.83% | -7.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.94% | 1.24% | -0.30% |
Volatility
WTMF vs. FMF - Volatility Comparison
WisdomTree Managed Futures Strategy Fund (WTMF) has a higher volatility of 2.67% compared to First Trust Managed Futures Strategy Fund (FMF) at 2.42%. This indicates that WTMF's price experiences larger fluctuations and is considered to be riskier than FMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| WTMF | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.67% | 2.42% | +0.25% |
Volatility (6M)Calculated over the trailing 6-month period | 7.14% | 7.22% | -0.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.91% | 9.58% | -0.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.50% | 10.74% | -1.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.10% | 11.65% | -3.55% |
WTMF vs. FMF - Expense Ratio Comparison
WTMF has a 0.65% expense ratio, which is lower than FMF's 0.95% expense ratio.
Dividends
WTMF vs. FMF - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 2.79%, less than FMF's 5.06% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 5.06% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
WTMF WisdomTree Managed Futures Strategy Fund | 2.79% | 3.04% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% | 0.00% |
Frequently Asked Questions
WTMF and FMF have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WTMF has higher volatility (2.67%) compared to FMF (2.42%). In terms of maximum drawdown, WTMF dropped -30.79% vs FMF's -22.21%.
On 10-year performance, WTMF leads with 3.33% vs 2.93% for FMF. On fees, WTMF is cheaper at 0.65% per year. On volatility, FMF has been the lower-risk option at 2.42%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, WTMF has performed better with a 3.33% return vs 2.93%. 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 0.95% for FMF.
FMF has the higher dividend yield at 5.06%, compared with 2.79% for WTMF.
They also come from different issuers: WisdomTree and First Trust. Their fees differ too: 0.65% for WTMF and 0.95% for FMF.
WTMF currently has the higher Sharpe Ratio (2.53 vs 2.09), 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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