WTMF vs. QUAL
WTMF (WisdomTree Managed Futures Strategy Fund) and QUAL (iShares MSCI USA Quality Factor ETF) are both exchange-traded funds - WTMF is a Hedge Fund fund tracking the WisdomTree Managed Futures Index, while QUAL is a Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index. Both are passively managed. Over the past 10 years, WTMF returned 3.15%/yr vs 14.46%/yr for QUAL. At a 0.17 correlation, their price movements are largely independent. WTMF charges 0.65%/yr vs 0.15%/yr for QUAL.
Performance
WTMF vs. QUAL - Performance Comparison
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Returns By Period
In the year-to-date period, WTMF achieves a 7.65% return, which is significantly lower than QUAL's 9.44% return. Over the past 10 years, WTMF has underperformed QUAL with an annualized return of 3.15%, while QUAL has yielded a comparatively higher 14.46% annualized return.
WTMF
- 1D
- 0.59%
- 1M
- -0.91%
- YTD
- 7.65%
- 6M
- 7.62%
- 1Y
- 20.55%
- 3Y*
- 9.45%
- 5Y*
- 6.05%
- 10Y*
- 3.15%
QUAL
- 1D
- 0.47%
- 1M
- 2.14%
- YTD
- 9.44%
- 6M
- 9.29%
- 1Y
- 22.87%
- 3Y*
- 19.30%
- 5Y*
- 11.97%
- 10Y*
- 14.46%
WTMF vs. QUAL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
WTMF WisdomTree Managed Futures Strategy Fund | 7.65% | 12.17% | 3.20% | 16.72% | -6.52% | 9.48% | 0.48% | -2.75% | 0.24% | -3.40% |
QUAL iShares MSCI USA Quality Factor ETF | 9.44% | 12.65% | 22.29% | 30.88% | -20.50% | 26.94% | 17.04% | 33.89% | -5.70% | 22.26% |
Correlation
The correlation between WTMF and QUAL is 0.54, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.54 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.52 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.42 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.22 |
Correlation (All Time) Calculated using the full available price history since Jul 18, 2013 | 0.17 |
Over the past year, WTMF and QUAL have become more correlated (0.54) than their long-term average of 0.17, meaning their price movements have been converging.
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Return for Risk
WTMF vs. QUAL — Risk / Return Rank
WTMF
QUAL
WTMF vs. QUAL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and iShares MSCI USA Quality Factor ETF (QUAL). 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 | QUAL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.55 | ||
| Sortino ratioReturn per unit of downside risk | +0.65 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 1.31 | +0.13 |
| Calmar ratioReturn relative to maximum drawdown | 5.05 | 2.32 | +2.72 |
| Martin ratioReturn relative to average drawdown | 21.53 | 10.60 | +10.93 |
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Drawdowns
WTMF vs. QUAL - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.79%, smaller than the maximum QUAL drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for WTMF and QUAL.
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Drawdown Indicators
| WTMF | QUAL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.79% | -34.06% | +3.27% |
Max Drawdown (1Y)Largest decline over 1 year | -4.04% | -9.03% | +4.99% |
Max Drawdown (3Y)Largest decline over 3 years | -9.93% | -18.00% | +8.07% |
Max Drawdown (5Y)Largest decline over 5 years | -13.21% | -28.23% | +15.02% |
Max Drawdown (10Y)Largest decline over 10 years | -15.62% | -34.06% | +18.44% |
Current DrawdownCurrent decline from peak | -0.91% | -0.19% | -0.72% |
Average DrawdownAverage peak-to-trough decline | -17.67% | -4.10% | -13.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.94% | 1.99% | -1.05% |
Volatility
WTMF vs. QUAL - Volatility Comparison
The current volatility for WisdomTree Managed Futures Strategy Fund (WTMF) is 2.76%, while iShares MSCI USA Quality Factor ETF (QUAL) has a volatility of 3.63%. This indicates that WTMF experiences smaller price fluctuations and is considered to be less risky than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| WTMF | QUAL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.76% | 3.63% | -0.87% |
Volatility (6M)Calculated over the trailing 6-month period | 7.21% | 9.43% | -2.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.93% | 12.10% | -3.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.51% | 17.36% | -7.85% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.10% | 18.11% | -10.01% |
WTMF vs. QUAL - Expense Ratio Comparison
WTMF has a 0.65% expense ratio, which is higher than QUAL's 0.15% expense ratio.
Dividends
WTMF vs. QUAL - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 2.83%, more than QUAL's 0.87% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QUAL iShares MSCI USA Quality Factor ETF | 0.87% | 0.94% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% |
WTMF WisdomTree Managed Futures Strategy Fund | 2.83% | 3.04% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
WTMF and QUAL have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QUAL has higher volatility (3.63%) compared to WTMF (2.76%). In terms of maximum drawdown, WTMF dropped -30.79% vs QUAL's -34.06%.
On 10-year performance, QUAL leads with 14.46% vs 3.15% for WTMF. On fees, QUAL is cheaper at 0.15% per year. On volatility, WTMF has been the lower-risk option at 2.76%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, QUAL has performed better with a 14.46% return vs 3.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
QUAL is cheaper with a 0.15% expense ratio, compared with 0.65% for WTMF.
WTMF has the higher dividend yield at 2.83%, compared with 0.87% for QUAL.
WTMF is categorized as Hedge Fund, while QUAL is Large Cap Blend Equities. WTMF tracks WisdomTree Managed Futures Index, while QUAL tracks MSCI USA Sector Neutral Quality Index. They also come from different issuers: WisdomTree and iShares. Their fees differ too: 0.65% for WTMF and 0.15% for QUAL.
WTMF currently has the higher Sharpe Ratio (2.28 vs 1.74), 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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