WTMF vs. SCHD
Compare and contrast key facts about WisdomTree Managed Futures Strategy Fund (WTMF) and Schwab US Dividend Equity ETF (SCHD).
WTMF and SCHD 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. SCHD is a passively managed fund by Charles Schwab that tracks the performance of the Dow Jones U.S. Dividend 100 Index. It was launched on Oct 20, 2011. Both WTMF and SCHD are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: WTMF or SCHD.
Performance
WTMF vs. SCHD - Performance Comparison
Returns By Period
In the year-to-date period, WTMF achieves a 3.05% return, which is significantly lower than SCHD's 15.93% return. Over the past 10 years, WTMF has underperformed SCHD with an annualized return of 1.04%, while SCHD has yielded a comparatively higher 11.46% annualized return.
WTMF
3.05%
0.95%
-2.19%
6.22%
4.59%
1.04%
SCHD
15.93%
-0.59%
9.36%
25.99%
12.42%
11.46%
Key characteristics
| WTMF | SCHD | |
|---|---|---|
| Sharpe Ratio | 0.83 | 2.25 |
| Sortino Ratio | 1.25 | 3.25 |
| Omega Ratio | 1.14 | 1.39 |
| Calmar Ratio | 0.49 | 3.05 |
| Martin Ratio | 2.00 | 12.25 |
| Ulcer Index | 3.26% | 2.04% |
| Daily Std Dev | 7.85% | 11.09% |
| Max Drawdown | -30.78% | -33.37% |
| Current Drawdown | -7.79% | -1.82% |
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WTMF vs. SCHD - Expense Ratio Comparison
WTMF has a 0.65% expense ratio, which is higher than SCHD's 0.06% expense ratio.
Correlation
The correlation between WTMF and SCHD is 0.08, 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. SCHD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and Schwab US Dividend Equity ETF (SCHD). 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. SCHD - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 3.27%, less than SCHD's 3.41% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
WTMF WisdomTree Managed Futures Strategy Fund | 3.27% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SCHD Schwab US Dividend Equity ETF | 3.41% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% | 2.63% | 2.47% |
Drawdowns
WTMF vs. SCHD - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.78%, smaller than the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for WTMF and SCHD. For additional features, visit the drawdowns tool.
Volatility
WTMF vs. SCHD - Volatility Comparison
WisdomTree Managed Futures Strategy Fund (WTMF) and Schwab US Dividend Equity ETF (SCHD) have volatilities of 3.46% and 3.55%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.