WTMF vs. IMF
WTMF (WisdomTree Managed Futures Strategy Fund) and IMF (Invesco Managed Futures Strategy ETF) are both Systematic Trend funds. WTMF is passively managed, while IMF is actively managed. Over the past year, WTMF returned 18.77% vs 22.59% for IMF. Their 0.43 correlation means their historical movements had little consistent relationship. Both charge a 0.65% expense ratio.
Performance
WTMF vs. IMF - Performance Comparison
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Returns By Period
In the year-to-date period, WTMF achieves a 8.10% return, which is significantly lower than IMF's 13.08% return.
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%
IMF
- 1D
- 0.41%
- 1M
- 2.23%
- 6M
- 9.83%
- YTD
- 13.08%
- 1Y
- 22.59%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 2.79%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $99.09K | $127.43K | $386.40K | |
| $1.17M | $1.17M | $1.11M |
WTMF vs. IMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
WTMF WisdomTree Managed Futures Strategy Fund | 8.10% | 14.87% |
IMF Invesco Managed Futures Strategy ETF | 13.08% | -8.17% |
Correlation
The correlation between WTMF and IMF is 0.49, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.49 |
Correlation (All Time) Calculated using the full available price history since Mar 19, 2025 | 0.43 |
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Return for Risk
WTMF vs. IMF — Risk / Return Rank
WTMF
IMF
WTMF vs. IMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and Invesco Managed Futures Strategy ETF (IMF). 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 | IMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.08 | ||
| Sortino ratioReturn per unit of downside risk | +0.05 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.39 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 4.38 | 4.70 | -0.32 |
| Martin ratioReturn relative to average drawdown | 16.87 | 13.84 | +3.03 |
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Drawdowns
WTMF vs. IMF - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.79%, which is greater than IMF's maximum drawdown of -15.29%. Use the drawdown chart below to compare losses from any high point for WTMF and IMF.
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Drawdown Indicators
| WTMF | IMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.79% | -15.29% | -15.50% |
Max Drawdown (1Y)Largest decline over 1 year | -4.04% | -4.54% | +0.50% |
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 DrawdownCurrent decline from peak | -0.87% | -1.69% | +0.82% |
Average DrawdownAverage peak-to-trough decline | -17.53% | -7.87% | -9.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.05% | 1.54% | -0.49% |
Volatility
WTMF vs. IMF - Volatility Comparison
WisdomTree Managed Futures Strategy Fund (WTMF) has a higher volatility of 2.19% compared to Invesco Managed Futures Strategy ETF (IMF) at 2.08%. This indicates that WTMF's price experiences larger fluctuations and is considered to be riskier than IMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| WTMF | IMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.19% | 2.08% | +0.11% |
Volatility (6M)Calculated over the trailing 6-month period | 7.17% | 8.95% | -1.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.13% | 10.65% | -1.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.37% | 12.17% | -2.80% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.12% | 12.17% | -4.05% |
WTMF vs. IMF - Expense Ratio Comparison
Both WTMF and IMF have an expense ratio of 0.65%.
Dividends
WTMF vs. IMF - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 2.82%, more than IMF's 0.89% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
IMF Invesco Managed Futures Strategy ETF | 0.89% | 1.01% | 0.00% | 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
WTMF and IMF have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WTMF has higher volatility (2.19%) compared to IMF (2.08%). In terms of maximum drawdown, WTMF dropped -30.79% vs IMF's -15.29%.
On 1-year performance, IMF leads with 22.59% vs 18.77% for WTMF. Both ETFs have the same 0.65% expense ratio. On volatility, IMF has been the lower-risk option at 2.08%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, IMF has performed better with a 22.59% return vs 18.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
WTMF and IMF have the same expense ratio: 0.65% per year.
WTMF has the higher dividend yield at 2.82%, compared with 0.89% for IMF.
They also come from different issuers: WisdomTree and Invesco.
IMF currently has the higher Sharpe Ratio (2.01 vs 1.94), 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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