WTMF vs. SGLP.L
WTMF (WisdomTree Managed Futures Strategy Fund) and SGLP.L (Invesco Physical Gold A) are both exchange-traded funds - WTMF is a Hedge Fund fund tracking the WisdomTree Managed Futures Index, while SGLP.L is a Precious Metals fund tracking the Gold. Both are passively managed. Over the past 10 years, WTMF returned 3.15%/yr vs 12.42%/yr for SGLP.L. At a 0.08 correlation, their price movements are largely independent. WTMF charges 0.65%/yr vs 0.12%/yr for SGLP.L.
Performance
WTMF vs. SGLP.L - Performance Comparison
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Different Trading Currencies
WTMF is traded in USD, while SGLP.L is traded in GBp. To make them comparable, the SGLP.L values have been converted to USD using the latest available exchange rates.
Returns By Period
In the year-to-date period, WTMF achieves a 7.65% return, which is significantly higher than SGLP.L's -2.23% return. Over the past 10 years, WTMF has underperformed SGLP.L with an annualized return of 3.15%, while SGLP.L has yielded a comparatively higher 12.42% 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%
SGLP.L
- 1D
- 2.69%
- 1M
- -9.63%
- YTD
- -2.23%
- 6M
- -1.73%
- 1Y
- 23.21%
- 3Y*
- 29.23%
- 5Y*
- 17.41%
- 10Y*
- 12.42%
WTMF vs. SGLP.L - 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% |
SGLP.L Invesco Physical Gold A | -2.23% | 65.19% | 26.00% | 12.92% | -0.12% | -3.76% | 23.67% | 19.25% | -1.60% | 11.32% |
Correlation
The correlation between WTMF and SGLP.L is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.30 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.22 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.17 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2011 | 0.08 |
Over the past year, WTMF and SGLP.L have become more correlated (0.30) than their long-term average of 0.08, meaning their price movements have been converging.
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Return for Risk
WTMF vs. SGLP.L — Risk / Return Rank
WTMF
SGLP.L
WTMF vs. SGLP.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and Invesco Physical Gold A (SGLP.L). 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 | SGLP.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.32 | ||
| Sortino ratioReturn per unit of downside risk | +1.75 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 1.19 | +0.25 |
| Calmar ratioReturn relative to maximum drawdown | 5.05 | 1.05 | +4.00 |
| Martin ratioReturn relative to average drawdown | 21.53 | 3.19 | +18.34 |
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Drawdowns
WTMF vs. SGLP.L - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.79%, smaller than the maximum SGLP.L drawdown of -66.38%. Use the drawdown chart below to compare losses from any high point for WTMF and SGLP.L.
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Drawdown Indicators
| WTMF | SGLP.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.79% | -66.38% | +35.59% |
Max Drawdown (1Y)Largest decline over 1 year | -4.04% | -22.75% | +18.71% |
Max Drawdown (3Y)Largest decline over 3 years | -9.93% | -22.75% | +12.82% |
Max Drawdown (5Y)Largest decline over 5 years | -13.21% | -22.75% | +9.54% |
Max Drawdown (10Y)Largest decline over 10 years | -15.62% | -22.75% | +7.13% |
Current DrawdownCurrent decline from peak | -0.91% | -20.68% | +19.77% |
Average DrawdownAverage peak-to-trough decline | -17.67% | -39.76% | +22.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.94% | 7.49% | -6.55% |
Volatility
WTMF vs. SGLP.L - Volatility Comparison
The current volatility for WisdomTree Managed Futures Strategy Fund (WTMF) is 2.76%, while Invesco Physical Gold A (SGLP.L) has a volatility of 7.18%. This indicates that WTMF experiences smaller price fluctuations and is considered to be less risky than SGLP.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| WTMF | SGLP.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.76% | 7.18% | -4.42% |
Volatility (6M)Calculated over the trailing 6-month period | 7.21% | 21.60% | -14.39% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.93% | 24.75% | -15.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.51% | 22.64% | -13.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.10% | 18.77% | -10.67% |
WTMF vs. SGLP.L - Expense Ratio Comparison
WTMF has a 0.65% expense ratio, which is higher than SGLP.L's 0.12% expense ratio.
Dividends
WTMF vs. SGLP.L - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 2.83%, while SGLP.L has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
SGLP.L Invesco Physical Gold A | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
WTMF WisdomTree Managed Futures Strategy Fund | 2.83% | 3.04% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% |
Frequently Asked Questions
WTMF and SGLP.L have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, SGLP.L is cheaper at 0.12% per year. The better choice depends on whether you care most about return, fees, risk, or income.
SGLP.L is cheaper with a 0.12% expense ratio, compared with 0.65% for WTMF.
WTMF is categorized as Hedge Fund, while SGLP.L is Precious Metals. WTMF tracks WisdomTree Managed Futures Index, while SGLP.L tracks Gold. They also come from different issuers: WisdomTree and Invesco. Their fees differ too: 0.65% for WTMF and 0.12% for SGLP.L.
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