WTMF vs. JEPI
Compare and contrast key facts about WisdomTree Managed Futures Strategy Fund (WTMF) and JPMorgan Equity Premium Income ETF (JEPI).
WTMF and JEPI are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. WTMF is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree Managed Futures Index. It was launched on Jan 5, 2011. JEPI is an actively managed fund by JPMorgan Chase. It was launched on May 20, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: WTMF or JEPI.
Performance
WTMF vs. JEPI - Performance Comparison
Returns By Period
In the year-to-date period, WTMF achieves a 3.05% return, which is significantly lower than JEPI's 14.44% return.
WTMF
3.05%
0.95%
-2.19%
6.22%
4.59%
1.04%
JEPI
14.44%
-0.20%
7.19%
17.88%
N/A
N/A
Key characteristics
| WTMF | JEPI | |
|---|---|---|
| Sharpe Ratio | 0.83 | 2.53 |
| Sortino Ratio | 1.25 | 3.52 |
| Omega Ratio | 1.14 | 1.50 |
| Calmar Ratio | 0.49 | 4.62 |
| Martin Ratio | 2.00 | 17.99 |
| Ulcer Index | 3.26% | 0.99% |
| Daily Std Dev | 7.85% | 7.05% |
| Max Drawdown | -30.78% | -13.71% |
| Current Drawdown | -7.79% | -1.35% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
WTMF vs. JEPI - Expense Ratio Comparison
WTMF has a 0.65% expense ratio, which is higher than JEPI's 0.35% expense ratio.
Correlation
The correlation between WTMF and JEPI is 0.27, 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. JEPI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and JPMorgan Equity Premium Income ETF (JEPI). 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.
Dividends
WTMF vs. JEPI - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 3.27%, less than JEPI's 7.15% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
WTMF WisdomTree Managed Futures Strategy Fund | 3.27% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% |
JEPI JPMorgan Equity Premium Income ETF | 7.15% | 8.40% | 11.67% | 6.59% | 5.79% | 0.00% | 0.00% |
Drawdowns
WTMF vs. JEPI - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.78%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for WTMF and JEPI. For additional features, visit the drawdowns tool.
Volatility
WTMF vs. JEPI - Volatility Comparison
WisdomTree Managed Futures Strategy Fund (WTMF) has a higher volatility of 3.46% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.17%. This indicates that WTMF's price experiences larger fluctuations and is considered to be riskier than JEPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.