WTMF vs. NTSX

Last updated Jun 4, 2026

WTMF (WisdomTree Managed Futures Strategy Fund) and NTSX (WisdomTree U.S. Efficient Core Fund) are both exchange-traded funds - WTMF is a Hedge Fund fund tracking the WisdomTree Managed Futures Index, while NTSX is a Diversified Portfolio fund actively managed by WisdomTree. WTMF is passively managed, while NTSX is actively managed. Over the past 5 years, WTMF returned 6.17%/yr vs 9.69%/yr for NTSX. At a 0.23 correlation, their price movements are largely independent. WTMF charges 0.65%/yr vs 0.20%/yr for NTSX.

Performance

WTMF vs. NTSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Managed Futures Strategy Fund (WTMF) and WisdomTree U.S. Efficient Core Fund (NTSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with WTMF having a 8.50% return and NTSX slightly higher at 8.62%.

WTMF

• 1D: -0.02%
• 1M: 1.05%
• YTD: 8.50%
• 6M: 8.44%
• 1Y: 22.55%
• 3Y*: 9.77%
• 5Y*: 6.17%
• 10Y*: 3.26%

NTSX

• 1D: -1.05%
• 1M: 4.37%
• YTD: 8.62%
• 6M: 7.83%
• 1Y: 25.27%
• 3Y*: 19.38%
• 5Y*: 9.69%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

WTMF vs. NTSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
WTMF WisdomTree Managed Futures Strategy Fund	8.50%	12.17%	3.20%	16.72%	-6.52%	9.48%	0.48%	-2.75%	0.04%
NTSX WisdomTree U.S. Efficient Core Fund	8.62%	18.82%	20.20%	22.70%	-25.84%	22.21%	24.87%	32.03%	-8.72%

Correlation

The correlation between WTMF and NTSX is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.43
Correlation (3Y) Calculated over the trailing 3-year period	0.48
Correlation (5Y) Calculated over the trailing 5-year period	0.37
Correlation (All Time) Calculated using the full available price history since Aug 3, 2018	0.23

Over the past year, WTMF and NTSX have become more correlated (0.43) than their long-term average of 0.23, meaning their price movements have been converging.

WTMF vs. NTSX - Sectors Allocation Comparison

Sectors	WTMF	NTSX
Industrials	17.7%	7.7%
Technology	17.0%	35.1%
Healthcare	16.5%	8.4%
Financial Services	15.8%	12.3%
Consumer Cyclical	8.4%	10.1%
Real Estate	6.1%	1.5%
Energy	6.1%	3.5%
Basic Materials	4.8%	1.4%
Utilities	2.9%	2.1%
Communication Services	2.4%	12.5%
Consumer Defensive	2.4%	5.5%

Return for Risk

WTMF vs. NTSX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

WTMF

WTMF Risk / Return Rank: 85
WTMF Sharpe Ratio Rank: 80
WTMF Sortino Ratio Rank: 79
WTMF Omega Ratio Rank: 83
WTMF Calmar Ratio Rank: 90
WTMF Martin Ratio Rank: 93

NTSX

NTSX Risk / Return Rank: 60
NTSX Sharpe Ratio Rank: 60
NTSX Sortino Ratio Rank: 58
NTSX Omega Ratio Rank: 59
NTSX Calmar Ratio Rank: 55
NTSX Martin Ratio Rank: 66

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

WTMF vs. NTSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and WisdomTree U.S. Efficient Core Fund (NTSX). 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.

	WTMF	NTSX	Difference
Sharpe ratio: Return per unit of total volatility	2.62	2.06	+0.56
Sortino ratio: Return per unit of downside risk	3.60	2.81	+0.80
Omega ratio: Gain probability vs. loss probability	1.51	1.37	+0.14
Calmar ratio: Return relative to maximum drawdown	5.61	2.77	+2.84
Martin ratio: Return relative to average drawdown	25.08	12.25	+12.82
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

WTMF vs. NTSX - Sharpe Ratio Comparison

The current WTMF Sharpe Ratio is 2.62, which is comparable to the NTSX Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of WTMF and NTSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	WTMF	NTSX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.62	2.06	+0.56
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.66	0.57	+0.08
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.41	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.15	0.71	-0.56

Drawdowns

WTMF vs. NTSX - Drawdown Comparison

The maximum WTMF drawdown since its inception was -30.79%, roughly equal to the maximum NTSX drawdown of -31.34%. Use the drawdown chart below to compare losses from any high point for WTMF and NTSX.

Drawdown Indicators

	WTMF	NTSX	Difference
Max Drawdown Largest peak-to-trough decline	-30.79%	-31.34%	+0.55%
Max Drawdown (1Y) Largest decline over 1 year	-4.04%	-9.16%	+5.12%
Max Drawdown (3Y) Largest decline over 3 years	-9.93%	-16.82%	+6.89%
Max Drawdown (5Y) Largest decline over 5 years	-13.21%	-31.34%	+18.13%
Max Drawdown (10Y) Largest decline over 10 years	-15.99%	—	—
Current Drawdown Current decline from peak	-0.13%	-1.05%	+0.92%
Average Drawdown Average peak-to-trough decline	-17.71%	-6.79%	-10.92%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.90%	2.07%	-1.17%

Volatility

WTMF vs. NTSX - Volatility Comparison

The current volatility for WisdomTree Managed Futures Strategy Fund (WTMF) is 1.61%, while WisdomTree U.S. Efficient Core Fund (NTSX) has a volatility of 3.39%. This indicates that WTMF experiences smaller price fluctuations and is considered to be less risky than NTSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	WTMF	NTSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.61%	3.39%	-1.78%
Volatility (6M) Calculated over the trailing 6-month period	6.84%	9.58%	-2.74%
Volatility (1Y) Calculated over the trailing 1-year period	8.63%	12.31%	-3.68%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.46%	17.04%	-7.58%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.07%	18.27%	-10.20%

WTMF vs. NTSX - Expense Ratio Comparison

WTMF has a 0.65% expense ratio, which is higher than NTSX's 0.20% expense ratio.

Dividends

WTMF vs. NTSX - Dividend Comparison

WTMF's dividend yield for the trailing twelve months is around 2.80%, more than NTSX's 1.08% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
NTSX WisdomTree U.S. Efficient Core Fund	1.08%	1.14%	1.14%	1.21%	1.36%	0.82%	0.92%	1.42%	0.62%
WTMF WisdomTree Managed Futures Strategy Fund	2.80%	3.04%	3.57%	4.74%	5.29%	14.71%	0.47%	1.63%	3.59%

Frequently Asked Questions

Can I hold both WTMF and NTSX in my portfolio?

WTMF and NTSX have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, WTMF or NTSX?

NTSX has higher volatility (3.39%) compared to WTMF (1.61%). In terms of maximum drawdown, WTMF dropped -30.79% vs NTSX's -31.34%.

Which ETF is better, WTMF or NTSX?

On 5-year performance, NTSX leads with 9.69% vs 6.17% for WTMF. On fees, NTSX is cheaper at 0.20% per year. On volatility, WTMF has been the lower-risk option at 1.61%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, WTMF or NTSX?

Over the 5-year period, NTSX has performed better with a 9.69% return vs 6.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, WTMF or NTSX?

NTSX is cheaper with a 0.20% expense ratio, compared with 0.65% for WTMF.

Which ETF pays a higher dividend yield, WTMF or NTSX?

WTMF has the higher dividend yield at 2.80%, compared with 1.08% for NTSX.

What is the main difference between WTMF and NTSX?

WTMF is categorized as Hedge Fund, while NTSX is Diversified Portfolio. Their fees differ too: 0.65% for WTMF and 0.20% for NTSX.

Which has better risk-adjusted returns?

WTMF currently has the higher Sharpe Ratio (2.62 vs 2.06), 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.